SPX dealer positioning, the week of September 16, 2024
Sep 16 to Sep 20 · 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 16 | 5623.7 | 5632.4 | +8.7 +0.15% | 29.0 | +6.7 | 5582.9 crossed 1x | positive |
| Tuesday Sep 17 | 5656.8 | 5634.0 | -22.8 -0.40% | 53.6 | +1.7 | 5589.7 not crossed | positive |
| Wednesday Sep 18 | 5637.4 | 5618.3 | -19.1 -0.34% | 59.2 | -15.7 | 5589.0 crossed 2x | positive |
| Thursday Sep 19 | 5711.9 | 5714.3 | +2.4 +0.04% | 46.3 | +96.0 | 5649.8 not crossed | positive |
| Friday Sep 20 | 5701.1 | 5702.5 | +1.4 +0.02% | 40.8 | -11.8 | 5661.2 not crossed | positive |
Week: +76.8 points (+1.37%), close to close from 2024-09-13.
Ranges: 228.8 points over 5 sessions, the largest 59.2 on 2024-09-18.
Zero-gamma flip at the close: 5582.9 on the first session, 5661.2 on the last (+78.3 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Sep 17
08:30Retail sales
Retail sales m/m: actual -0.3% / prior 0.9% - Sep 17
13:0020-year bond auction, $13B (reopening)
spot -0.3 in the 15 minutes after 13:00; flip 5581.4 → 5578.2; net gamma long; walls 5581.4 / 5720.3 → 5578.2 / 5722.5 - Sep 18
08:30Housing starts
Housing starts: actual 1394K / prior 1269K - Sep 18
09:30VIX settlement
spot +0.8 in the 15 minutes after 09:30; flip 5614.8 → 5432.1; net gamma long; walls 5614.8 / 5915.8 → 5432.1 / 5778.9 - Sep 18
14:00FOMC decision · high impact
Fed funds: actual 5.00% / prior 5.50%
spot -22.7 in the 15 minutes after 14:00; net gamma long (was short) - Sep 18
14:30FOMC press conference · high impact
spot -17.4 in the 15 minutes after 14:30; flip 5605.5 → 5615.8; net gamma long; walls 5605.5 / 5735.0 → 5615.8 / 5749.2
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.