SPX dealer positioning, the week of February 12, 2024
Feb 12 to Feb 16 · 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 Feb 12 | 5026.3 | 5022.1 | -4.1 -0.08% | 29.7 | -3.6 | 5003.2 not crossed | positive |
| Tuesday Feb 13 | 4955.4 | 4952.1 | -3.3 -0.07% | 50.3 | -70.0 | 4992.9 crossed 3x | negative |
| Wednesday Feb 14 | 4981.8 | 5001.1 | +19.3 +0.39% | 43.0 | +49.0 | 4948.2 crossed 6x | positive |
| Thursday Feb 15 | 5005.6 | 5030.2 | +24.5 +0.49% | 32.4 | +29.1 | 4972.0 not crossed | positive |
| Friday Feb 16 | 5026.5 | 5004.9 | -21.6 -0.43% | 37.6 | -25.3 | 4973.9 not crossed | positive |
Week: -20.9 points (-0.42%), close to close from 2024-02-09.
Ranges: 193.0 points over 5 sessions, the largest 50.3 on 2024-02-13.
Zero-gamma flip at the close: 5003.2 on the first session, 4973.9 on the last (-29.3 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Feb 13
08:30CPI · high impact
CPI y/y: actual 3.1% / prior 3.3%; Core CPI m/m: actual 0.4% / prior 0.3% - Feb 14
08:30PPI
PPI m/m: actual 0.3% / prior -0.1% - Feb 14
09:30VIX settlement
spot -2.2 in the 15 minutes after 09:30; net gamma long (was short) - Feb 15
08:30Retail sales
Retail sales m/m: actual -0.8% / prior 0.1% - Feb 16
08:30Housing starts
Housing starts: actual 1378K / prior 1504K - Feb 16
08:30PPI
PPI m/m: actual 0.3% / prior -0.1%
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.