SPX dealer positioning, the week of March 18, 2024
Mar 18 to Mar 22 · 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 18 | 5162.0 | 5150.1 | -11.9 -0.23% | 28.4 | +34.4 | 5129.6 not crossed | positive |
| Tuesday Mar 19 | 5138.9 | 5177.4 | +38.5 +0.75% | 48.2 | +27.2 | 5182.3 crossed 4x | negative |
| Wednesday Mar 20 | 5178.5 | 5223.8 | +45.3 +0.88% | 53.2 | +46.5 | 5198.9 crossed 8x | positive |
| Thursday Mar 21 | 5251.5 | 5242.6 | -8.9 -0.17% | 18.8 | +18.7 | 5218.5 crossed 1x | positive |
| Friday Mar 22 | 5240.8 | 5234.2 | -6.7 -0.13% | 15.1 | -8.4 | 5206.0 not crossed | positive |
Week: +118.4 points (+2.31%), close to close from 2024-03-15.
Ranges: 163.7 points over 5 sessions, the largest 53.2 on 2024-03-20.
Zero-gamma flip at the close: 5129.6 on the first session, 5206.0 on the last (+76.4 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Mar 19
08:30Housing starts
Housing starts: actual 1555K / prior 1378K - Mar 19
13:0020-year bond auction, $13B (reopening)
spot -4.5 in the 15 minutes after 13:00; flip 5087.6 → 5089.5; net gamma long; walls 5087.6 / 5176.5 → 5089.5 / 5175.6 - Mar 20
09:30VIX settlement
spot -5.1 in the 15 minutes after 09:30; flip 5082.3 → 5122.1; net gamma long; walls 5082.3 / 5234.5 → 5122.1 / 5238.7 - Mar 20
14:00FOMC decision · high impact
Fed funds: actual 5.50% / prior 5.50%
spot +4.9 in the 15 minutes after 14:00; net gamma short - Mar 20
14:30FOMC press conference · high impact
spot +12.4 in the 15 minutes after 14:30; net gamma short - Mar 22
10:00UMich consumer sentiment (final)
Sentiment: actual 79.4 / prior 76.9; 1y inflation: actual 2.9% / prior 3%; 5y inflation: actual 2.8% / prior 2.9%
spot -1.9 in the 15 minutes after 10:00; flip 5197.5 → 5199.3; net gamma long; walls 5197.5 / 5273.4 → 5199.3 / 5272.3
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.