SPX dealer positioning, the week of February 5, 2024
Feb 5 to Feb 9 · 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 Feb 5 | 4947.1 | 4942.9 | -4.2 -0.08% | 37.2 | -16.4 | 4942.9 crossed 11x | positive |
| Tuesday Feb 6 | 4953.4 | 4953.8 | +0.4 +0.01% | 20.5 | +10.9 | 4942.1 crossed 42x | positive |
| Wednesday Feb 7 | 4977.5 | 4994.9 | +17.4 +0.35% | 30.7 | +41.1 | 4989.1 crossed 6x | positive |
| Thursday Feb 8 | 4992.2 | 4998.3 | +6.1 +0.12% | 11.6 | +3.4 | 4993.1 crossed 35x | positive |
| Friday Feb 9 | 5000.1 | 5025.8 | +25.7 +0.51% | 29.6 | +27.5 | 5016.5 crossed 1x | positive |
Week: +66.5 points (+1.34%), close to close from 2024-02-02.
Ranges: 129.6 points over 5 sessions, the largest 37.2 on 2024-02-05.
Zero-gamma flip at the close: 4942.9 on the first session, 5016.5 on the last (+73.6 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Feb 5
10:00ISM services PMI
spot -10.0 in the 15 minutes after 10:00; flip 4907.1 → 4912.1; net gamma long - Feb 5
14:00Senior loan officer survey (SLOOS)
spot +1.4 in the 15 minutes after 14:00; flip 4910.9 → 4911.1; net gamma long - Feb 6
07:00LLY earnings - Feb 7
09:30VIX settlement
spot -8.6 in the 15 minutes after 09:30; net gamma long (was short) - Feb 7
13:0010-year note auction, $42B
spot +5.6 in the 15 minutes after 13:00; flip 4931.9 → 4931.8; net gamma long - Feb 8
13:0030-year bond auction, $25B
spot +3.3 in the 15 minutes after 13:00; flip 4964.1 → 4966.4; net gamma long - Feb 9
08:30CPI · high impact
CPI y/y: actual 3.1% / prior 3.3%; Core CPI m/m: actual 0.4% / prior 0.3% - Feb 9
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 79; 1y inflation: prior 2.9%; 5y inflation: prior 2.9%
spot +0.1 in the 15 minutes after 10:00; flip 4924.2 → 4938.7; net gamma long
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.