SPX dealer positioning, the week of August 5, 2024
Aug 5 to Aug 9 · 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 Aug 5 | 5126.1 | 5187.7 | +61.7 +1.20% | 122.9 | -158.1 | 5080.9 crossed 16x | positive |
| Tuesday Aug 6 | 5206.5 | 5238.9 | +32.3 +0.62% | 115.6 | +51.1 | 5225.9 crossed 6x | positive |
| Wednesday Aug 7 | 5300.5 | 5200.2 | -100.3 -1.89% | 131.6 | -38.7 | 5221.8 crossed 10x | negative |
| Thursday Aug 8 | 5256.3 | 5321.2 | +64.8 +1.23% | 90.9 | +121.0 | 5231.9 crossed 1x | positive |
| Friday Aug 9 | 5312.6 | 5345.1 | +32.5 +0.61% | 58.0 | +24.0 | 5256.8 not crossed | positive |
Week: -0.6 points (-0.01%), close to close from 2024-08-02.
Ranges: 518.9 points over 5 sessions, the largest 131.6 on 2024-08-07.
Zero-gamma flip at the close: 5080.9 on the first session, 5256.8 on the last (+175.9 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Aug 5
10:00ISM services PMI
spot -23.9 in the 15 minutes after 10:00; net gamma short - Aug 5
14:00Senior loan officer survey (SLOOS)
spot -5.6 in the 15 minutes after 14:00; flip 4971.3 → 5052.8; net gamma long; walls 4971.3 / 5315.2 → 5052.8 / 5314.1 - Aug 7
09:30VIX settlement
spot +15.3 in the 15 minutes after 09:30; net gamma short (was long) - Aug 7
13:0010-year note auction, $42B
spot -20.2 in the 15 minutes after 13:00; flip 5239.2 → 5246.1; net gamma long; walls 5239.2 / 5374.1 → 5246.1 / 5382.2 - Aug 8
07:00LLY earnings - Aug 8
13:0030-year bond auction, $25B
spot +1.9 in the 15 minutes after 13:00; flip 5201.0 → 5180.7; net gamma long; walls 5201.0 / 5318.2 → 5180.7 / 5322.8 - Aug 9
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 66.4; 1y inflation: prior 2.9%; 5y inflation: prior 3%
spot +24.0 in the 15 minutes after 10:00; flip 5164.0 → 5130.9; net gamma long; walls 5164.0 / 5410.7 → 5130.9 / 5412.2
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.