SPX dealer positioning, the week of July 8, 2024
Jul 8 to Jul 12 · 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 Jul 8 | 5575.6 | 5571.7 | -4.0 -0.07% | 18.4 | +4.6 | 5536.5 not crossed | positive |
| Tuesday Jul 9 | 5582.2 | 5577.1 | -5.1 -0.09% | 15.3 | +5.4 | 5543.9 crossed 3x | positive |
| Wednesday Jul 10 | 5591.6 | 5633.9 | +42.3 +0.76% | 47.5 | +56.8 | 5557.2 not crossed | positive |
| Thursday Jul 11 | 5634.6 | 5586.2 | -48.5 -0.86% | 64.2 | -47.8 | 5554.2 crossed 14x | positive |
| Friday Jul 12 | 5595.1 | 5611.9 | +16.7 +0.30% | 61.2 | +25.7 | 5545.7 crossed 1x | positive |
Week: +44.8 points (+0.80%), close to close from 2024-07-05.
Ranges: 206.5 points over 5 sessions, the largest 64.2 on 2024-07-11.
Zero-gamma flip at the close: 5536.5 on the first session, 5545.7 on the last (+9.2 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Jul 9
10:00Fed Chair testimony
spot -2.4 in the 15 minutes after 10:00; flip 5525.4 → 5529.5; net gamma long; walls 5525.4 / 5612.1 → 5529.4 / 5618.0 - Jul 10
09:30VIX settlement
spot -1.4 in the 15 minutes after 09:30; flip 5523.7 → 5520.6; net gamma long; walls 5523.7 / 5596.4 → 5520.6 / 5628.5 - Jul 10
13:0010-year note auction, $39B (reopening)
spot +3.6 in the 15 minutes after 13:00; flip 5548.3 → 5551.4; net gamma long; walls 5548.3 / 5622.8 → 5551.4 / 5623.1 - Jul 11
08:30CPI · high impact
CPI y/y: actual 3.0% / prior 3.2%; Core CPI m/m: actual 0.1% / prior 0.1% - Jul 11
13:0030-year bond auction, $22B (reopening)
spot +3.4 in the 15 minutes after 13:00; flip 5590.2 → 5589.7; net gamma short - Jul 12
07:00JPM earnings - Jul 12
08:30PPI
PPI m/m: actual 0.4% / prior 0.0% - Jul 12
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 68.2; 1y inflation: prior 3%; 5y inflation: prior 3%
spot +3.2 in the 15 minutes after 10:00; flip 5503.6 → 5512.5; net gamma long; walls 5503.6 / 5666.5 → 5512.5 / 5654.9
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.