SPX dealer positioning, the week of February 19, 2024
Feb 19 to Feb 23 · 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 Feb 19 | no session | ||||||
| Tuesday Feb 20 | 4989.1 | 4974.6 | -14.5 -0.29% | 37.6 | -30.3 | 4943.6 not crossed | positive |
| Wednesday Feb 21 | 4965.1 | 4981.5 | +16.4 +0.33% | 34.6 | +6.8 | 4928.5 not crossed | positive |
| Thursday Feb 22 | 5044.0 | 5087.1 | +43.1 +0.85% | 53.8 | +105.6 | 5007.6 not crossed | positive |
| Friday Feb 23 | 5103.3 | 5089.6 | -13.7 -0.27% | 29.3 | +2.5 | 5062.9 crossed 5x | positive |
Week: +84.7 points (+1.69%), close to close from 2024-02-16.
Ranges: 155.3 points over 4 sessions, the largest 53.8 on 2024-02-22.
Zero-gamma flip at the close: 4943.6 on the first session, 5062.9 on the last (+119.3 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- Feb 20
07:00WMT earnings - Feb 21
09:30VIX settlement
spot -2.6 in the 15 minutes after 09:30; flip 4909.4 → 4912.9; net gamma long; walls 4909.4 / 4980.8 → 4912.9 / 5005.0 - Feb 21
13:0020-year bond auction, $16B
spot -0.1 in the 15 minutes after 13:00; flip 4925.2 → 4928.0; net gamma long; walls 4925.2 / 5000.3 → 4928.0 / 5001.0 - Feb 21
14:00FOMC minutes
spot +0.1 in the 15 minutes after 14:00; flip 4927.1 → 4925.0; net gamma long; walls 4927.1 / 5002.8 → 4924.9 / 5002.7 - Feb 21
16:05NVDA earnings - Feb 23
10:00UMich consumer sentiment (final)
Sentiment: actual 76.9 / prior 79; 1y inflation: actual 3% / prior 2.9%; 5y inflation: actual 2.9% / prior 2.9%
spot +4.2 in the 15 minutes after 10:00; flip 5064.0 → 5060.5; net gamma long; walls 5064.0 / 5130.7 → 5060.5 / 5132.1
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.