SPX dealer positioning, the week of May 20, 2024
May 20 to May 24 · 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 20 | 5306.7 | 5307.4 | +0.7 +0.01% | 20.4 | +5.0 | 5286.2 not crossed | positive |
| Tuesday May 21 | 5302.3 | 5322.4 | +20.1 +0.38% | 22.9 | +15.0 | 5278.1 not crossed | positive |
| Wednesday May 22 | 5317.8 | 5306.1 | -11.7 -0.22% | 35.4 | -16.3 | 5287.7 crossed 6x | positive |
| Thursday May 23 | 5335.3 | 5267.8 | -67.5 -1.26% | 76.8 | -38.3 | 5241.0 crossed 1x | positive |
| Friday May 24 | 5286.0 | 5304.0 | +18.0 +0.34% | 32.8 | +36.2 | 5243.6 crossed 1x | positive |
Week: +1.6 points (+0.03%), close to close from 2024-05-17.
Ranges: 188.2 points over 5 sessions, the largest 76.8 on 2024-05-23.
Zero-gamma flip at the close: 5286.2 on the first session, 5243.6 on the last (-42.6 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- May 22
09:30VIX settlement
spot +2.2 in the 15 minutes after 09:30; flip 5257.6 → 5278.6; net gamma long; walls 5257.6 / 5332.3 → 5278.6 / 5344.7 - May 22
13:0020-year bond auction, $16B
spot +2.6 in the 15 minutes after 13:00; flip 5291.6 → 5291.6; net gamma long; walls 5291.6 / 5346.1 → 5291.6 / 5344.9 - May 22
14:00FOMC minutes
spot -4.5 in the 15 minutes after 14:00; flip 5297.7 → 5292.4; net gamma long; walls 5297.7 / 5344.2 → 5292.4 / 5340.8 - May 22
16:05NVDA earnings - May 23
08:30Housing starts
Housing starts: actual 1379K / prior 1297K - May 24
08:30Durable goods orders
Durable goods m/m: actual -0.2% / prior 1.7% - May 24
10:00UMich consumer sentiment (final)
Sentiment: actual 69.1 / prior 77.2; 1y inflation: actual 3.3% / prior 3.2%; 5y inflation: actual 3% / prior 3%
spot -2.2 in the 15 minutes after 10:00; flip 5210.4 → 5225.3; net gamma long; walls 5210.4 / 5334.8 → 5225.3 / 5344.2
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.