SPX dealer positioning, the week of June 17, 2024
Jun 17 to Jun 21 · 4 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 Jun 17 | 5423.3 | 5472.6 | +49.3 +0.91% | 66.9 | +41.3 | 5390.1 not crossed | positive |
| Tuesday Jun 18 | 5478.0 | 5486.7 | +8.6 +0.16% | 17.6 | +14.1 | 5443.2 not crossed | positive |
| Wednesday Jun 19 | no session | ||||||
| Thursday Jun 20 | 5496.6 | 5472.8 | -23.8 -0.43% | 47.3 | -13.8 | 5454.1 crossed 4x | positive |
| Friday Jun 21 | 5463.8 | 5467.0 | +3.2 +0.06% | 23.9 | -5.8 | 5421.6 crossed 1x | positive |
Week: +35.8 points (+0.66%), close to close from 2024-06-14.
Ranges: 155.7 points over 4 sessions, the largest 66.9 on 2024-06-17.
Zero-gamma flip at the close: 5390.1 on the first session, 5421.6 on the last (+31.5 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- Jun 18
08:30Retail sales
Retail sales m/m: actual 0.8% / prior -0.0% - Jun 18
09:30VIX settlement
spot +4.8 in the 15 minutes after 09:30; flip 5395.1 → 5423.7; net gamma long; walls 5395.1 / 5540.1 → 5423.7 / 5508.1 - Jun 18
13:0020-year bond auction, $13B (reopening)
spot +0.9 in the 15 minutes after 13:00; flip 5433.3 → 5433.1; net gamma long; walls 5433.3 / 5520.7 → 5433.1 / 5520.5 - Jun 20
08:30Housing starts
Housing starts: actual 1329K / prior 1379K
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.