SPX dealer positioning, the week of July 29, 2024
Jul 29 to Aug 2 · 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 29 | 5471.4 | 5464.5 | -6.9 -0.13% | 40.4 | +5.2 | 5427.2 crossed 1x | positive |
| Tuesday Jul 30 | 5477.5 | 5436.3 | -41.2 -0.75% | 84.9 | -28.3 | 5409.5 crossed 9x | positive |
| Wednesday Jul 31 | 5501.8 | 5522.2 | +20.4 +0.37% | 56.3 | +85.9 | 5513.7 crossed 9x | positive |
| Thursday Aug 1 | 5544.9 | 5445.2 | -99.7 -1.80% | 151.2 | -77.0 | 5369.4 crossed 6x | positive |
| Friday Aug 2 | 5371.1 | 5345.8 | -25.3 -0.47% | 81.2 | -99.4 | 5340.6 crossed 10x | positive |
Week: -113.6 points (-2.08%), close to close from 2024-07-26.
Ranges: 414.1 points over 5 sessions, the largest 151.2 on 2024-08-01.
Zero-gamma flip at the close: 5427.2 on the first session, 5340.6 on the last (-86.6 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Jul 30
07:00PG earnings - Jul 30
10:00Consumer confidence (Conference Board)
spot -4.1 in the 15 minutes after 10:00; flip 5433.8 → 5424.2; net gamma long; walls 5433.8 / 5522.1 → 5424.2 / 5525.2 - Jul 30
10:00JOLTS job openings
Openings: actual 7.78M / prior 7.53M
spot -4.1 in the 15 minutes after 10:00; flip 5433.8 → 5424.2; net gamma long; walls 5433.8 / 5522.1 → 5424.2 / 5525.2 - Jul 30
16:05MSFT earnings - Jul 31
07:00MA earnings - Jul 31
08:30Quarterly refunding statement - Jul 31
09:30VIX settlement
spot -5.8 in the 15 minutes after 09:30; flip 5521.4 → 5538.4; net gamma short - Jul 31
14:00FOMC decision · high impact
Fed funds: actual 5.50% / prior 5.50%
spot +13.1 in the 15 minutes after 14:00; flip 5547.9 → 5534.7; net gamma short - Jul 31
14:30FOMC press conference · high impact
spot +9.7 in the 15 minutes after 14:30; flip 5535.6 → 5519.0; net gamma long (was short) - Jul 31
16:05META earnings - Aug 1
10:00ISM manufacturing PMI
spot -16.2 in the 15 minutes after 10:00; flip 5467.7 → 5499.2; net gamma long; walls 5467.7 / 5609.3 → 5499.2 / 5629.6 - Aug 1
16:05AAPL earnings - Aug 1
16:05AMZN earnings - Aug 2
07:00XOM earnings - Aug 2
08:30Nonfarm payrolls · high impact
Payrolls: actual 53K / prior 87K; Unemployment rate: actual 4.2% / prior 4.1% - Aug 2
08:30Durable goods orders
Durable goods m/m: actual 4.3% / prior -2.0%
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.