SPX dealer positioning, the week of January 8, 2024
Jan 8 to Jan 12 · 5 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 8 | 4703.7 | 4763.8 | +60.0 +1.28% | 60.3 | +67.4 | 4679.1 crossed 1x | positive |
| Tuesday Jan 9 | 4735.6 | 4755.2 | +19.6 +0.41% | 34.6 | -8.6 | 4706.9 crossed 3x | positive |
| Wednesday Jan 10 | 4760.4 | 4782.6 | +22.2 +0.47% | 34.6 | +27.4 | 4742.3 not crossed | positive |
| Thursday Jan 11 | 4794.1 | 4780.1 | -14.1 -0.29% | 55.5 | -2.5 | 4764.4 crossed 26x | positive |
| Friday Jan 12 | 4795.5 | 4782.6 | -12.9 -0.27% | 31.3 | +2.5 | 4742.6 not crossed | positive |
Week: +86.2 points (+1.83%), close to close from 2024-01-05.
Ranges: 216.3 points over 5 sessions, the largest 60.3 on 2024-01-08.
Zero-gamma flip at the close: 4679.1 on the first session, 4742.6 on the last (+63.5 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Jan 10
08:30Nonfarm payrolls · high impact
Payrolls: actual 154K / prior 127K; Unemployment rate: actual 3.8% / prior 3.7% - Jan 10
09:30VIX settlement
spot +7.1 in the 15 minutes after 09:30; net gamma long (was short) - Jan 10
13:0010-year note auction, $37B (reopening)
spot -0.1 in the 15 minutes after 13:00; flip 4730.5 → 4737.2; net gamma long; walls 4730.5 / 4799.2 → 4737.2 / 4797.6 - Jan 11
08:30CPI · high impact
CPI y/y: actual 3.3% / prior 3.1%; Core CPI m/m: actual 0.3% / prior 0.3% - Jan 11
13:0030-year bond auction, $21B (reopening)
spot +8.4 in the 15 minutes after 13:00; flip 4759.4 → 4763.9; net gamma long (was short) - Jan 12
07:00JPM earnings - Jan 12
07:00UNH earnings - Jan 12
08:30PPI
PPI m/m: actual -0.1% / prior 0.1% - Jan 12
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 69.7; 1y inflation: prior 3.1%; 5y inflation: prior 2.9%
spot 0.0 in the 15 minutes after 10:00; flip 4743.2 → 4744.1; net gamma long; walls 4743.2 / 4851.5 → 4744.1 / 4838.6
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.