SPX dealer positioning, the week of October 7, 2024
Oct 7 to Oct 11 · 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 Oct 7 | 5732.1 | 5694.2 | -37.9 -0.66% | 50.4 | -56.1 | 5672.3 not crossed | positive |
| Tuesday Oct 8 | 5721.6 | 5752.1 | +30.4 +0.53% | 40.3 | +57.9 | 5683.3 not crossed | positive |
| Wednesday Oct 9 | 5747.4 | 5793.8 | +46.4 +0.81% | 51.0 | +41.8 | 5734.0 not crossed | positive |
| Thursday Oct 10 | 5774.1 | 5780.4 | +6.3 +0.11% | 28.2 | -13.5 | 5723.2 crossed 1x | positive |
| Friday Oct 11 | 5780.1 | 5815.9 | +35.8 +0.62% | 42.4 | +35.6 | 5771.6 not crossed | positive |
Week: +65.6 points (+1.14%), close to close from 2024-10-04.
Ranges: 212.2 points over 5 sessions, the largest 51.0 on 2024-10-09.
Zero-gamma flip at the close: 5672.3 on the first session, 5771.6 on the last (+99.3 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Oct 9
09:30VIX settlement
spot +4.4 in the 15 minutes after 09:30; flip 5739.7 → 5672.0; net gamma long; walls 5739.7 / 5794.9 → 5672.0 / 5803.7 - Oct 9
13:0010-year note auction, $39B (reopening)
spot +4.8 in the 15 minutes after 13:00; flip 5729.1 → 5727.3; net gamma long; walls 5729.1 / 5801.1 → 5727.3 / 5802.6 - Oct 9
14:00FOMC minutes
spot +0.1 in the 15 minutes after 14:00; flip 5727.0 → 5726.3; net gamma long; walls 5727.0 / 5805.3 → 5726.3 / 5806.8 - Oct 10
08:30CPI · high impact
CPI y/y: actual 2.4% / prior 2.6%; Core CPI m/m: actual 0.3% / prior 0.3% - Oct 10
13:0030-year bond auction, $22B (reopening)
spot -6.2 in the 15 minutes after 13:00; flip 5718.9 → 5712.5; net gamma long; walls 5719.0 / 5828.2 → 5712.5 / 5828.6 - Oct 11
07:00JPM earnings - Oct 11
08:30PPI
PPI m/m: actual 0.3% / prior 0.3% - Oct 11
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 70.1; 1y inflation: prior 2.7%; 5y inflation: prior 3.1%
spot +22.8 in the 15 minutes after 10:00; flip 5688.4 → 5698.6; net gamma long; walls 5688.4 / 5837.5 → 5698.6 / 5831.7
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.