SPX dealer positioning, the week of March 11, 2024
Mar 11 to Mar 15 · 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 11 | 5115.0 | 5118.6 | +3.6 +0.07% | 31.5 | -5.8 | 5074.1 not crossed | positive |
| Tuesday Mar 12 | 5142.3 | 5175.5 | +33.2 +0.65% | 62.9 | +56.9 | 5098.4 crossed 1x | positive |
| Wednesday Mar 13 | 5175.8 | 5165.4 | -10.4 -0.20% | 23.6 | -10.0 | 5135.2 crossed 1x | positive |
| Thursday Mar 14 | 5173.6 | 5151.4 | -22.2 -0.43% | 51.8 | -14.0 | 5113.2 crossed 1x | positive |
| Friday Mar 15 | 5127.8 | 5115.8 | -12.0 -0.23% | 32.0 | -35.7 | 5080.0 crossed 1x | positive |
Week: -8.6 points (-0.17%), close to close from 2024-03-08.
Ranges: 201.9 points over 5 sessions, the largest 62.9 on 2024-03-12.
Zero-gamma flip at the close: 5074.1 on the first session, 5080.0 on the last (+5.9 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Mar 11
16:05ORCL earnings - Mar 12
08:30CPI · high impact
CPI y/y: actual 3.2% / prior 3.1%; Core CPI m/m: actual 0.4% / prior 0.4% - Mar 12
13:0010-year note auction, $39B (reopening)
spot -2.2 in the 15 minutes after 13:00; flip 5079.1 → 5080.9; net gamma long; walls 5079.1 / 5189.5 → 5080.9 / 5191.5 - Mar 13
09:30VIX settlement
spot -6.6 in the 15 minutes after 09:30; flip 5361.9 → 5136.1; net gamma long (was short) - Mar 13
13:0030-year bond auction, $22B (reopening)
spot +3.6 in the 15 minutes after 13:00; flip 5130.3 → 5131.0; net gamma long; walls 5130.3 / 5209.6 → 5131.0 / 5206.7 - Mar 14
08:30PPI
PPI m/m: actual 0.5% / prior 0.3% - Mar 14
08:30Retail sales
Retail sales m/m: actual 0.7% / prior -0.8% - Mar 14
09:53MO halt (news pending)
spot +1.1 in the 15 minutes after 09:53; flip 5133.1 → 5127.9; net gamma long; walls 5133.1 / 5225.1 → 5127.9 / 5217.1
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.