SPX dealer positioning, the week of October 21, 2024
Oct 21 to Oct 25 · 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 21 | 5858.9 | 5853.4 | -5.5 -0.09% | 41.2 | -10.6 | 5806.1 not crossed | positive |
| Tuesday Oct 22 | 5827.8 | 5851.7 | +23.9 +0.41% | 38.8 | -1.8 | 5784.0 crossed 1x | positive |
| Wednesday Oct 23 | 5833.9 | 5796.6 | -37.3 -0.64% | 69.9 | -55.1 | 5734.7 not crossed | positive |
| Thursday Oct 24 | 5813.4 | 5809.8 | -3.6 -0.06% | 31.0 | +13.2 | 5753.3 crossed 1x | positive |
| Friday Oct 25 | 5841.1 | 5808.1 | -32.9 -0.56% | 61.6 | -1.7 | 5797.5 crossed 4x | positive |
Week: -55.9 points (-0.95%), close to close from 2024-10-18.
Ranges: 242.4 points over 5 sessions, the largest 69.9 on 2024-10-23.
Zero-gamma flip at the close: 5806.1 on the first session, 5797.5 on the last (-8.6 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Oct 23
09:30VIX settlement
spot -3.7 in the 15 minutes after 09:30; flip 5737.6 → 5773.7; net gamma long; walls 5737.6 / 5851.1 → 5773.7 / 5876.2 - Oct 23
13:0020-year bond auction, $13B (reopening)
spot -14.4 in the 15 minutes after 13:00; flip 5771.1 → 5765.1; net gamma long; walls 5771.1 / 5852.2 → 5765.1 / 5848.3 - Oct 23
16:05TSLA earnings - Oct 24
08:30Housing starts
Housing starts: actual 1357K / prior 1394K - Oct 25
08:30Durable goods orders
Durable goods m/m: actual 0.9% / prior -1.1% - Oct 25
10:00UMich consumer sentiment (final)
Sentiment: actual 70.5 / prior 70.1; 1y inflation: actual 2.7% / prior 2.7%; 5y inflation: actual 3% / prior 3.1%
spot +2.7 in the 15 minutes after 10:00; flip 5776.3 → 5774.8; net gamma long; walls 5776.3 / 5873.8 → 5774.8 / 5884.0
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.