SPX dealer positioning, the week of November 25, 2024
Nov 25 to Nov 29 · 4 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 25 | 6002.1 | 5986.1 | -16.0 -0.27% | 54.2 | +16.6 | 5946.8 not crossed | positive |
| Tuesday Nov 26 | 6001.3 | 6021.4 | +20.1 +0.34% | 30.5 | +35.3 | 5957.0 crossed 1x | positive |
| Wednesday Nov 27 | 6012.5 | 5998.0 | -14.5 -0.24% | 34.3 | -23.4 | 5960.4 crossed 1x | positive |
| Thursday Nov 28 | no session | ||||||
| Friday Nov 29 | 6005.2 | 6035.7 | +30.6 +0.51% | 39.1 | +37.8 | 5992.3 not crossed | positive |
Week: +66.2 points (+1.11%), close to close from 2024-11-22.
Ranges: 158.1 points over 4 sessions, the largest 54.2 on 2024-11-25.
Zero-gamma flip at the close: 5946.8 on the first session, 5992.3 on the last (+45.5 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- Nov 26
08:30Housing starts
Housing starts: actual 1370K / prior 1357K - Nov 26
10:00Consumer confidence (Conference Board)
spot -0.7 in the 15 minutes after 10:00; flip 5918.8 → 5931.6; net gamma long; walls 5918.8 / 6053.0 → 5931.6 / 6048.7 - Nov 26
14:00FOMC minutes
spot -3.2 in the 15 minutes after 14:00; flip 5956.8 → 5959.0; net gamma long; walls 5956.8 / 6039.5 → 5959.0 / 6039.1 - Nov 27
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.3% / prior 0.3% - Nov 27
08:30Durable goods orders
Durable goods m/m: actual 0.3% / prior 0.9% - Nov 27
08:30GDP
GDP q/q: actual 1.9% / prior 3.3% - Nov 27
09:30VIX settlement
spot +4.2 in the 15 minutes after 09:30; flip 6023.8 → 5942.0; net gamma long (was short)
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.