SPX dealer positioning, the week of November 11, 2024
Nov 11 to Nov 15 · 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 Nov 11 | 6016.4 | 6002.1 | -14.3 -0.24% | 29.5 | +5.9 | 5972.5 not crossed | positive |
| Tuesday Nov 12 | 6004.7 | 5984.5 | -20.2 -0.34% | 47.1 | -17.5 | 5959.7 not crossed | positive |
| Wednesday Nov 13 | 5990.5 | 5986.5 | -4.0 -0.07% | 39.9 | +1.9 | 5932.4 not crossed | positive |
| Thursday Nov 14 | 5992.0 | 5949.4 | -42.7 -0.71% | 48.3 | -37.1 | 5931.0 not crossed | positive |
| Friday Nov 15 | 5913.5 | 5870.4 | -43.1 -0.73% | 60.6 | -79.0 | 5839.6 not crossed | positive |
Week: -125.8 points (-2.10%), close to close from 2024-11-08.
Ranges: 225.4 points over 5 sessions, the largest 60.6 on 2024-11-15.
Zero-gamma flip at the close: 5972.5 on the first session, 5839.6 on the last (-132.9 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Nov 11
14:00Senior loan officer survey (SLOOS)
spot -0.2 in the 15 minutes after 14:00; flip 5971.6 → 5972.6; net gamma long; walls 5971.6 / 6035.1 → 5972.7 / 6031.3 - Nov 13
08:30CPI · high impact
CPI y/y: actual 2.6% / prior 2.4%; Core CPI m/m: actual 0.3% / prior 0.3% - Nov 13
09:30VIX settlement
spot -0.3 in the 15 minutes after 09:30; flip 5892.2 → 5914.9; net gamma long; walls 5892.2 / 6013.9 → 5914.9 / 6042.8 - Nov 14
08:30PPI
PPI m/m: actual 0.3% / prior 0.3% - Nov 15
08:30Retail sales
Retail sales m/m: actual 0.7% / prior 0.9%
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.