SPX dealer positioning, the week of November 18, 2024
Nov 18 to Nov 22 · 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 18 | 5871.5 | 5893.1 | +21.6 +0.37% | 39.6 | +22.7 | 5855.8 not crossed | positive |
| Tuesday Nov 19 | 5861.4 | 5916.8 | +55.4 +0.95% | 67.1 | +23.7 | 5882.2 crossed 1x | positive |
| Wednesday Nov 20 | 5914.6 | 5916.7 | +2.2 +0.04% | 59.1 | -0.1 | 5828.7 not crossed | positive |
| Thursday Nov 21 | 5940.0 | 5948.9 | +8.8 +0.15% | 74.9 | +32.2 | 5857.6 crossed 1x | positive |
| Friday Nov 22 | 5952.9 | 5969.6 | +16.6 +0.28% | 27.6 | +20.7 | 5936.2 crossed 1x | positive |
Week: +99.2 points (+1.69%), close to close from 2024-11-15.
Ranges: 268.4 points over 5 sessions, the largest 74.9 on 2024-11-21.
Zero-gamma flip at the close: 5855.8 on the first session, 5936.2 on the last (+80.4 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Nov 19
07:00WMT earnings - Nov 19
08:30Housing starts
Housing starts: actual 1370K / prior 1357K - Nov 20
09:30VIX settlement
spot -20.7 in the 15 minutes after 09:30; net gamma long; walls 5559.7 / 5958.3 → 5797.1 / 5972.3 - Nov 20
10:00Fed Chair testimony
spot -23.4 in the 15 minutes after 10:00; flip 5805.1 → 5786.4; net gamma long; walls 5805.1 / 5970.5 → 5786.4 / 5965.1 - Nov 20
13:0020-year bond auction, $16B
spot -0.2 in the 15 minutes after 13:00; flip 5810.1 → 5815.1; net gamma long; walls 5810.1 / 5943.9 → 5815.1 / 5943.3 - Nov 20
16:05NVDA earnings - Nov 22
10:00UMich consumer sentiment (final)
Sentiment: actual 71.8 / prior 70.5; 1y inflation: actual 2.6% / prior 2.7%; 5y inflation: actual 3.2% / prior 3%
spot -9.9 in the 15 minutes after 10:00; flip 5896.1 → 5892.1; net gamma long; walls 5896.1 / 6029.1 → 5892.1 / 6030.6
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.