SPX dealer positioning, the week of September 2, 2024
Sep 2 to Sep 6 · 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 Sep 2 | no session | ||||||
| Tuesday Sep 3 | 5614.8 | 5527.8 | -86.9 -1.55% | 106.8 | -122.4 | 5512.5 crossed 1x | positive |
| Wednesday Sep 4 | 5512.2 | 5520.5 | +8.3 +0.15% | 47.4 | -7.3 | 5473.2 crossed 1x | positive |
| Thursday Sep 5 | 5520.2 | 5500.5 | -19.6 -0.36% | 63.8 | -19.9 | 5446.4 not crossed | positive |
| Friday Sep 6 | 5516.5 | 5409.2 | -107.3 -1.94% | 115.0 | -91.3 | 5364.8 crossed 37x | positive |
Week: -241.0 points (-4.26%), close to close from 2024-08-30.
Ranges: 333.1 points over 4 sessions, the largest 115.0 on 2024-09-06.
Zero-gamma flip at the close: 5512.5 on the first session, 5364.8 on the last (-147.7 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- Sep 3
10:00ISM manufacturing PMI
spot -17.7 in the 15 minutes after 10:00; flip 5537.2 → 5536.2; net gamma long; walls 5537.2 / 5684.9 → 5536.2 / 5681.5 - Sep 4
08:30Durable goods orders
Durable goods m/m: actual -1.1% / prior 4.3% - Sep 4
09:30VIX settlement
spot +14.0 in the 15 minutes after 09:30; net gamma long (was short) - Sep 4
10:00JOLTS job openings
Openings: actual 7.43M / prior 7.42M
spot +17.8 in the 15 minutes after 10:00; flip 5424.8 → 5410.5; net gamma long; walls 5424.8 / 5588.7 → 5410.5 / 5589.2 - Sep 5
10:00ISM services PMI
spot -10.8 in the 15 minutes after 10:00; flip 5417.1 → 5462.5; net gamma long; walls 5417.1 / 5567.5 → 5462.5 / 5587.4 - Sep 5
16:05AVGO earnings - Sep 6
08:30Nonfarm payrolls · high impact
Payrolls: actual 9K / prior 53K; Unemployment rate: actual 4.2% / prior 4.2%
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.