SPX dealer positioning, the week of July 1, 2024
Jul 1 to Jul 5 · 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 Jul 1 | 5475.6 | 5474.7 | -0.9 -0.02% | 31.0 | +15.4 | 5424.1 not crossed | positive |
| Tuesday Jul 2 | 5458.6 | 5508.8 | +50.1 +0.92% | 50.4 | +34.1 | 5434.7 crossed 1x | positive |
| Wednesday Jul 3 | 5511.5 | 5534.7 | +23.2 +0.42% | 27.4 | +25.9 | 5542.0 crossed 2x | negative |
| Thursday Jul 4 | no session | ||||||
| Friday Jul 5 | 5536.5 | 5567.1 | +30.6 +0.55% | 38.6 | +32.4 | 5505.3 crossed 1x | positive |
Week: +107.8 points (+1.98%), close to close from 2024-06-28.
Ranges: 147.3 points over 4 sessions, the largest 50.4 on 2024-07-02.
Zero-gamma flip at the close: 5424.1 on the first session, 5505.3 on the last (+81.2 points).
Closed in positive gamma: 3 of 4 sessions.
Events this week
- Jul 1
10:00ISM manufacturing PMI
spot -23.7 in the 15 minutes after 10:00; flip 5425.3 → 5416.7; net gamma long; walls 5425.3 / 5535.1 → 5416.7 / 5546.7 - Jul 2
10:00JOLTS job openings
Openings: actual 7.78M / prior 7.53M
spot -3.4 in the 15 minutes after 10:00; flip 5406.5 → 5408.1; net gamma long; walls 5406.5 / 5494.4 → 5408.1 / 5508.3 - Jul 3
08:30Durable goods orders
Durable goods m/m: actual -2.0% / prior -0.0% - Jul 3
09:30VIX settlement
spot +1.6 in the 15 minutes after 09:30; flip 5468.7 → 5465.7; net gamma long; walls 5468.7 / 5529.6 → 5465.7 / 5549.3 - Jul 3
10:00ISM services PMI
spot +5.4 in the 15 minutes after 10:00; flip 5465.4 → 5468.4; net gamma long; walls 5465.4 / 5549.7 → 5468.4 / 5548.2 - Jul 3
14:00FOMC minutes - Jul 5
08:30Nonfarm payrolls · high impact
Payrolls: actual 87K / prior 78K; Unemployment rate: actual 4.1% / prior 3.9%
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.