SPX dealer positioning, the week of March 4, 2024
Mar 4 to Mar 8 · 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 Mar 4 | 5129.4 | 5131.6 | +2.2 +0.04% | 20.9 | -5.8 | 5111.7 not crossed | positive |
| Tuesday Mar 5 | 5109.4 | 5078.4 | -31.0 -0.61% | 56.3 | -53.2 | 5069.2 crossed 32x | positive |
| Wednesday Mar 6 | 5112.0 | 5104.9 | -7.1 -0.14% | 35.3 | +26.4 | 5100.2 not crossed | positive |
| Thursday Mar 7 | 5135.2 | 5157.4 | +22.3 +0.43% | 34.4 | +52.6 | 5105.1 not crossed | positive |
| Friday Mar 8 | 5161.9 | 5124.4 | -37.6 -0.73% | 68.4 | -33.1 | 5134.1 crossed 18x | negative |
Week: -13.0 points (-0.25%), close to close from 2024-03-01.
Ranges: 215.4 points over 5 sessions, the largest 68.4 on 2024-03-08.
Zero-gamma flip at the close: 5111.7 on the first session, 5134.1 on the last (+22.4 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Mar 5
08:30Durable goods orders
Durable goods m/m: actual 0.7% / prior -7.8% - Mar 5
10:00ISM services PMI
spot -10.7 in the 15 minutes after 10:00; flip 5081.1 → 5082.0; net gamma long; walls 5081.1 / 5145.8 → 5082.0 / 5148.2 - Mar 6
08:30Fed Chair testimony - Mar 6
09:30VIX settlement
spot -2.9 in the 15 minutes after 09:30; flip 5008.7 → 5071.8; net gamma long; walls 5008.7 / 5142.0 → 5071.8 / 5147.3 - Mar 6
10:00JOLTS job openings
Openings: actual 8.38M / prior 8.52M
spot -4.4 in the 15 minutes after 10:00; flip 5079.9 → 5073.9; net gamma long; walls 5079.9 / 5152.9 → 5073.9 / 5165.1 - Mar 7
16:05AVGO earnings - Mar 7
16:05COST earnings - Mar 8
08:30Nonfarm payrolls · high impact
Payrolls: actual 206K / prior 175K; Unemployment rate: actual 3.9% / prior 3.7% - Mar 8
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 76.9; 1y inflation: prior 3%; 5y inflation: prior 2.9%
spot +2.3 in the 15 minutes after 10:00; flip 5122.3 → 5121.2; net gamma long; walls 5122.3 / 5211.7 → 5121.2 / 5222.6
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.