SPX dealer positioning, the week of February 26, 2024
Feb 26 to Mar 1 · 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 26 | 5093.2 | 5069.6 | -23.6 -0.46% | 26.5 | -20.0 | 5080.8 crossed 17x | negative |
| Tuesday Feb 27 | 5075.3 | 5079.1 | +3.8 +0.08% | 20.1 | +9.5 | 5070.1 crossed 8x | positive |
| Wednesday Feb 28 | 5064.6 | 5070.2 | +5.7 +0.11% | 16.8 | -8.9 | 5068.0 crossed 32x | positive |
| Thursday Feb 29 | 5090.0 | 5095.2 | +5.2 +0.10% | 40.7 | +24.9 | 5084.4 crossed 11x | positive |
| Friday Mar 1 | 5102.5 | 5137.4 | +34.9 +0.68% | 44.6 | +42.2 | 5119.9 crossed 4x | positive |
Week: +47.8 points (+0.94%), close to close from 2024-02-23.
Ranges: 148.7 points over 5 sessions, the largest 44.6 on 2024-03-01.
Zero-gamma flip at the close: 5080.8 on the first session, 5119.9 on the last (+39.1 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Feb 26
08:30Housing starts
Housing starts: actual 1378K / prior 1504K - Feb 27
08:30Durable goods orders
Durable goods m/m: actual -7.8% / prior 1.9% - Feb 27
09:30VIX settlement
spot -8.1 in the 15 minutes after 09:30; flip 5035.0 → 5030.1; net gamma long - Feb 27
10:00Consumer confidence (Conference Board)
spot -2.8 in the 15 minutes after 10:00; flip 5024.8 → 5027.6; net gamma long - Feb 28
08:30GDP
GDP q/q: actual 0.8% / prior 3.4% - Feb 29 On the same day: index rebalance, month-end SPX
- Feb 29
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.5% / prior 0.2% - Mar 1
10:00ISM manufacturing PMI
spot +8.6 in the 15 minutes after 10:00; flip 5064.4 → 5050.0; 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.