SPX dealer positioning, the week of May 6, 2024
May 6 to May 10 · 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 May 6 | 5149.0 | 5180.4 | +31.3 +0.61% | 31.9 | +51.6 | 5111.4 not crossed | positive |
| Tuesday May 7 | 5188.8 | 5188.8 | -0.0 -0.00% | 19.8 | +8.4 | 5152.6 not crossed | positive |
| Wednesday May 8 | 5170.8 | 5187.9 | +17.1 +0.33% | 22.6 | -0.9 | 5141.9 not crossed | positive |
| Thursday May 9 | 5191.2 | 5213.8 | +22.6 +0.44% | 33.2 | +25.9 | 5153.9 not crossed | positive |
| Friday May 10 | 5227.2 | 5223.9 | -3.3 -0.06% | 28.9 | +10.1 | 5183.8 not crossed | positive |
Week: +95.1 points (+1.85%), close to close from 2024-05-03.
Ranges: 136.3 points over 5 sessions, the largest 33.2 on 2024-05-09.
Zero-gamma flip at the close: 5111.4 on the first session, 5183.8 on the last (+72.4 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- May 6
14:00Senior loan officer survey (SLOOS)
spot +1.9 in the 15 minutes after 14:00; flip 5100.2 → 5103.3; net gamma long; walls 5100.1 / 5187.4 → 5103.3 / 5185.4 - May 8
09:30VIX settlement
spot +3.3 in the 15 minutes after 09:30; flip 4958.7 → 5080.4; net gamma long; walls 4958.7 / 5227.3 → 5080.4 / 5209.0 - May 8
13:0010-year note auction, $42B
spot +0.2 in the 15 minutes after 13:00; flip 5122.1 → 5126.9; net gamma long; walls 5122.1 / 5209.6 → 5126.9 / 5209.5 - May 9
13:0030-year bond auction, $25B
spot +2.8 in the 15 minutes after 13:00; flip 5143.6 → 5143.9; net gamma long; walls 5143.6 / 5224.2 → 5143.9 / 5223.5 - May 10
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 77.2; 1y inflation: prior 3.2%; 5y inflation: prior 3%
spot -4.6 in the 15 minutes after 10:00; flip 5186.0 → 5184.5; net gamma long; walls 5186.0 / 5269.0 → 5184.5 / 5272.5
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.