SPX dealer positioning, the week of August 12, 2024
Aug 12 to Aug 16 · 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 12 | 5357.7 | 5343.6 | -14.1 -0.26% | 44.3 | -1.5 | 5293.4 crossed 1x | positive |
| Tuesday Aug 13 | 5381.4 | 5434.5 | +53.1 +0.99% | 54.1 | +90.9 | 5301.8 not crossed | positive |
| Wednesday Aug 14 | 5444.7 | 5455.1 | +10.4 +0.19% | 46.3 | +20.5 | 5395.3 not crossed | positive |
| Thursday Aug 15 | 5512.0 | 5541.8 | +29.8 +0.54% | 41.8 | +86.7 | 5490.6 not crossed | positive |
| Friday Aug 16 | 5526.3 | 5554.1 | +27.8 +0.50% | 34.9 | +12.3 | 5516.7 not crossed | positive |
Week: +208.9 points (+3.91%), close to close from 2024-08-09.
Ranges: 221.4 points over 5 sessions, the largest 54.1 on 2024-08-13.
Zero-gamma flip at the close: 5293.4 on the first session, 5516.7 on the last (+223.3 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Aug 13
08:30PPI
PPI m/m: actual 0.0% / prior 0.4% - Aug 14
08:30CPI · high impact
CPI y/y: actual 2.9% / prior 3.0%; Core CPI m/m: actual 0.2% / prior 0.1% - Aug 14
09:30VIX settlement
spot -10.5 in the 15 minutes after 09:30; flip 5302.5 → 5357.6; net gamma long; walls 5302.5 / 5567.9 → 5357.6 / 5545.2 - Aug 15
07:00WMT earnings - Aug 15
08:30Retail sales
Retail sales m/m: actual 0.9% / prior -0.0% - Aug 16
08:30Housing starts
Housing starts: actual 1269K / prior 1318K
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.