SPX dealer positioning, the week of September 23, 2024
Sep 23 to Sep 27 · 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 23 | 5713.0 | 5718.8 | +5.8 +0.10% | 17.9 | +16.3 | 5672.2 not crossed | positive |
| Tuesday Sep 24 | 5723.1 | 5734.4 | +11.3 +0.20% | 34.3 | +15.6 | 5705.7 not crossed | positive |
| Wednesday Sep 25 | 5740.2 | 5721.3 | -18.9 -0.33% | 26.9 | -13.1 | 5694.0 not crossed | positive |
| Thursday Sep 26 | 5760.8 | 5746.2 | -14.6 -0.25% | 38.4 | +24.9 | 5717.8 crossed 1x | positive |
| Friday Sep 27 | 5754.6 | 5737.7 | -16.9 -0.29% | 33.9 | -8.4 | 5707.4 not crossed | positive |
Week: +35.2 points (+0.62%), close to close from 2024-09-20.
Ranges: 151.4 points over 5 sessions, the largest 38.4 on 2024-09-26.
Zero-gamma flip at the close: 5672.2 on the first session, 5707.4 on the last (+35.2 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Sep 24
10:00Consumer confidence (Conference Board)
spot +1.1 in the 15 minutes after 10:00; flip 5581.6 → 5599.3; net gamma long; walls 5581.6 / 5777.8 → 5599.3 / 5769.9 - Sep 25
08:30Housing starts
Housing starts: actual 1394K / prior 1269K - Sep 25
09:30VIX settlement
spot -3.7 in the 15 minutes after 09:30; flip 5655.8 → 5616.9; net gamma long; walls 5655.8 / 5788.7 → 5616.9 / 5786.0 - Sep 26
08:30Durable goods orders
Durable goods m/m: actual -1.1% / prior 4.3% - Sep 26
08:30GDP
GDP q/q: actual 3.3% / prior 3.6% - Sep 26
16:05COST earnings - Sep 27
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.2% / prior 0.2% - Sep 27
10:00UMich consumer sentiment (final)
Sentiment: actual 70.1 / prior 67.9; 1y inflation: actual 2.7% / prior 2.8%; 5y inflation: actual 3.1% / prior 3%
spot +0.0 in the 15 minutes after 10:00; flip 5662.6 → 5672.7; net gamma long; walls 5662.7 / 5821.5 → 5672.7 / 5815.6
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.