SPX dealer positioning, the week of January 29, 2024
Jan 29 to Feb 2 · 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 29 | 4892.1 | 4927.7 | +35.6 +0.73% | 41.0 | +37.6 | 4863.4 crossed 2x | positive |
| Tuesday Jan 30 | 4924.0 | 4925.9 | +1.9 +0.04% | 13.7 | -1.8 | 4889.0 not crossed | positive |
| Wednesday Jan 31 | 4901.9 | 4845.5 | -56.4 -1.15% | 58.9 | -80.4 | 4843.2 crossed 4x | positive |
| Thursday Feb 1 | 4867.5 | 4905.9 | +38.5 +0.79% | 52.5 | +60.4 | 4822.5 not crossed | positive |
| Friday Feb 2 | 4912.8 | 4959.3 | +46.5 +0.95% | 66.5 | +53.4 | 4906.2 not crossed | positive |
Week: +69.2 points (+1.42%), close to close from 2024-01-26.
Ranges: 232.7 points over 5 sessions, the largest 66.5 on 2024-02-02.
Zero-gamma flip at the close: 4863.4 on the first session, 4906.2 on the last (+42.8 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Jan 30
10:00Consumer confidence (Conference Board)
spot -0.1 in the 15 minutes after 10:00; flip 4798.6 → 4862.3; net gamma long; walls 4798.6 / 4967.9 → 4862.3 / 4966.6 - Jan 30
10:00JOLTS job openings
Openings: actual 8.60M / prior 8.58M
spot -0.1 in the 15 minutes after 10:00; flip 4798.6 → 4862.3; net gamma long; walls 4798.6 / 4967.9 → 4862.3 / 4966.6 - Jan 30
16:05GOOGL earnings - Jan 30
16:05MSFT earnings - Jan 31
07:00MA earnings - Jan 31
08:30Quarterly refunding statement - Jan 31
09:30VIX settlement
spot -6.5 in the 15 minutes after 09:30; flip 4822.0 → 4870.8; net gamma long; walls 4822.0 / 4968.4 → 4870.8 / 4972.5 - Jan 31
14:00FOMC decision · high impact
Fed funds: actual 5.50% / prior 5.50%
spot -0.5 in the 15 minutes after 14:00; flip 4870.0 → 4857.0; net gamma long; walls 4870.0 / 4995.9 → 4857.0 / 4991.0 - Jan 31
14:30FOMC press conference · high impact
spot +26.3 in the 15 minutes after 14:30; flip 4857.9 → 4874.2; net gamma long; walls 4857.9 / 4989.4 → 4874.1 / 4982.1 - Feb 1
10:00ISM manufacturing PMI
spot +13.7 in the 15 minutes after 10:00; flip 4845.4 → 4809.9; net gamma long; walls 4845.4 / 4937.1 → 4809.9 / 4928.1 - Feb 1
16:05AAPL earnings - Feb 1
16:05AMZN earnings - Feb 1
16:05META earnings - Feb 2
07:00XOM earnings - Feb 2
08:30Nonfarm payrolls · high impact
Payrolls: actual 175K / prior 154K; Unemployment rate: actual 3.7% / prior 3.8% - Feb 2
08:30Durable goods orders
Durable goods m/m: actual -7.8% / prior 1.9%
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.