SPX dealer positioning, the week of January 1, 2024
Jan 1 to Jan 5 · 4 of 5 days traded · each session free to replay
| Day | Open | Close | Change | Range | Close to close | Flip at the close | Gamma at the close |
|---|---|---|---|---|---|---|---|
| Monday Jan 1 | no session | ||||||
| Tuesday Jan 2 | 4744.3 | 4742.8 | -1.5 -0.03% | 30.9 | -30.5 | 4705.8 not crossed | positive |
| Wednesday Jan 3 | 4723.3 | 4704.9 | -18.3 -0.39% | 28.1 | -37.9 | 4685.3 not crossed | positive |
| Thursday Jan 4 | 4701.7 | 4688.6 | -13.1 -0.28% | 37.8 | -16.3 | 4682.5 not crossed | positive |
| Friday Jan 5 | 4691.4 | 4696.4 | +5.0 +0.11% | 37.8 | +7.8 | 4661.7 not crossed | positive |
Week: -76.9 points (-1.61%), close to close from 2023-12-29.
Ranges: 134.7 points over 4 sessions, the largest 37.8 on 2024-01-05.
Zero-gamma flip at the close: 4705.8 on the first session, 4661.7 on the last (-44.1 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- Jan 2
10:00ISM manufacturing PMI
spot -4.3 in the 15 minutes after 10:00; flip 4695.5 → 4701.4; net gamma long; walls 4695.5 / 4809.2 → 4701.4 / 4806.7 - Jan 3
09:30VIX settlement
spot -4.3 in the 15 minutes after 09:30; flip 4667.2 → 4693.0; net gamma long; walls 4667.1 / 4770.5 → 4693.0 / 4768.4 - Jan 3
10:00JOLTS job openings
Openings: actual 8.60M / prior 8.58M
spot -10.1 in the 15 minutes after 10:00; flip 4692.9 → 4695.6; net gamma long; walls 4692.9 / 4766.0 → 4695.6 / 4771.8 - Jan 3
14:00FOMC minutes
spot -5.9 in the 15 minutes after 14:00; flip 4689.1 → 4690.2; net gamma long; walls 4689.1 / 4755.5 → 4690.2 / 4755.2 - Jan 4
10:00ISM services PMI
spot +8.8 in the 15 minutes after 10:00; flip 4663.5 → 4659.4; net gamma long; walls 4663.5 / 4745.9 → 4659.4 / 4744.0 - Jan 5
08:30Nonfarm payrolls · high impact
Payrolls: actual 154K / prior 127K; Unemployment rate: actual 3.8% / prior 3.7% - Jan 5
08:30Durable goods orders
Durable goods m/m: actual 1.9% / prior 4.4%
Prices are SPX at the minute. Change is close minus open; close to close is against the previous finished session. The zero-gamma flip is the terminal's measured flip at the close, and "crossed" counts the minutes the tape changed sides of it. Gamma at the close is where the close sat against that flip. Events are the market calendar's high and medium impact rows; the line under an in-session event is what the book did in the fifteen minutes after it, from the day's own payload. Nothing here is a forecast; see the Terms.