SPX dealer positioning, the week of December 16, 2024
Dec 16 to Dec 20 · 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 Dec 16 | 6067.1 | 6073.9 | +6.8 +0.11% | 24.6 | +23.6 | 6027.4 crossed 1x | positive |
| Tuesday Dec 17 | 6045.6 | 6050.1 | +4.5 +0.07% | 21.7 | -23.8 | 6007.5 not crossed | positive |
| Wednesday Dec 18 | 6046.8 | 5872.8 | -174.0 -2.88% | 197.3 | -177.2 | 5971.1 crossed 5x | negative |
| Thursday Dec 19 | 5921.7 | 5867.9 | -53.8 -0.91% | 65.6 | -4.9 | 5782.3 not crossed | positive |
| Friday Dec 20 | 5838.1 | 5933.1 | +95.0 +1.63% | 144.6 | +65.2 | 5921.5 crossed 17x | positive |
Week: -117.2 points (-1.94%), close to close from 2024-12-13.
Ranges: 453.8 points over 5 sessions, the largest 197.3 on 2024-12-18.
Zero-gamma flip at the close: 6027.4 on the first session, 5921.5 on the last (-105.9 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Dec 17
08:30Retail sales
Retail sales m/m: actual 0.5% / prior 0.7% - Dec 17
13:0020-year bond auction, $13B (reopening)
spot -1.6 in the 15 minutes after 13:00; flip 6003.3 → 6004.1; net gamma long; walls 6003.3 / 6086.2 → 6004.0 / 6085.7 - Dec 18
08:30Housing starts
Housing starts: actual 1300K / prior 1370K - Dec 18
09:30VIX settlement
spot -2.3 in the 15 minutes after 09:30; flip 5729.1 → 5983.6; net gamma long; walls 5729.1 / 6143.8 → 5983.6 / 6102.4 - Dec 18
14:00FOMC decision · high impact
Fed funds: actual 4.50% / prior 4.75%
spot -33.2 in the 15 minutes after 14:00; flip 6016.8 → 6007.5; net gamma long; walls 6016.8 / 6113.4 → 6007.5 / 6116.5 - Dec 18
14:30FOMC press conference · high impact
spot -1.6 in the 15 minutes after 14:30; flip 6005.8 → 5995.2; net gamma long (was short) - Dec 19
08:30GDP
GDP q/q: actual 1.9% / prior 3.3% - Dec 20
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.1% / prior 0.3%
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.