SPX dealer positioning, the week of September 9, 2024
Sep 9 to Sep 13 · 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 Sep 9 | 5451.4 | 5470.6 | +19.2 +0.35% | 48.8 | +61.4 | 5376.9 not crossed | positive |
| Tuesday Sep 10 | 5490.4 | 5497.1 | +6.8 +0.12% | 54.7 | +26.5 | 5425.6 not crossed | positive |
| Wednesday Sep 11 | 5483.6 | 5554.3 | +70.7 +1.29% | 152.7 | +57.2 | 5616.0 crossed 2x | negative |
| Thursday Sep 12 | 5553.0 | 5594.9 | +41.9 +0.76% | 64.9 | +40.6 | 5523.4 crossed 1x | positive |
| Friday Sep 13 | 5602.6 | 5625.7 | +23.0 +0.41% | 33.7 | +30.8 | 5576.3 not crossed | positive |
Week: +216.4 points (+4.00%), close to close from 2024-09-06.
Ranges: 354.8 points over 5 sessions, the largest 152.7 on 2024-09-11.
Zero-gamma flip at the close: 5376.9 on the first session, 5576.3 on the last (+199.4 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Sep 9
16:05ORCL earnings - Sep 11
08:30CPI · high impact
CPI y/y: actual 2.6% / prior 2.9%; Core CPI m/m: actual 0.3% / prior 0.2% - Sep 11
09:30VIX settlement
spot -17.7 in the 15 minutes after 09:30; flip 5730.3 → 5367.7; net gamma long (was short) - Sep 11
13:0010-year note auction, $39B (reopening)
spot +12.9 in the 15 minutes after 13:00; flip 5364.4 → 5369.1; net gamma long; walls 5364.4 / 5522.8 → 5369.1 / 5520.3 - Sep 12
08:30PPI
PPI m/m: actual 0.3% / prior 0.0% - Sep 12
13:0030-year bond auction, $22B (reopening)
spot +4.7 in the 15 minutes after 13:00; flip 5472.6 → 5477.7; net gamma long; walls 5472.6 / 5626.9 → 5477.7 / 5626.0 - Sep 13
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 67.9; 1y inflation: prior 2.8%; 5y inflation: prior 3%
spot +7.1 in the 15 minutes after 10:00; flip 5498.3 → 5502.4; net gamma long; walls 5498.3 / 5679.6 → 5502.4 / 5681.0
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.