SPX dealer positioning, the week of April 8, 2024
Apr 8 to Apr 12 · 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 Apr 8 | 5208.6 | 5202.7 | -6.0 -0.11% | 20.5 | -2.0 | 5209.0 crossed 41x | negative |
| Tuesday Apr 9 | 5221.2 | 5209.8 | -11.4 -0.22% | 62.8 | +7.1 | 5189.3 crossed 9x | positive |
| Wednesday Apr 10 | 5150.1 | 5161.8 | +11.7 +0.23% | 39.3 | -48.0 | 5157.4 crossed 19x | positive |
| Thursday Apr 11 | 5171.9 | 5198.9 | +27.0 +0.52% | 71.8 | +37.1 | 5176.9 crossed 10x | positive |
| Friday Apr 12 | 5161.2 | 5122.8 | -38.4 -0.74% | 66.2 | -76.1 | 5131.7 crossed 9x | negative |
Week: -81.9 points (-1.57%), close to close from 2024-04-05.
Ranges: 260.5 points over 5 sessions, the largest 71.8 on 2024-04-11.
Zero-gamma flip at the close: 5209.0 on the first session, 5131.7 on the last (-77.3 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Apr 10
08:30CPI · high impact
CPI y/y: actual 3.5% / prior 3.2%; Core CPI m/m: actual 0.4% / prior 0.4% - Apr 10
09:30VIX settlement
spot -0.6 in the 15 minutes after 09:30; net gamma long (was short) - Apr 10
13:0010-year note auction, $39B (reopening)
spot -17.8 in the 15 minutes after 13:00; flip 5086.5 → 5085.3; net gamma long - Apr 10
14:00FOMC minutes
spot +6.5 in the 15 minutes after 14:00; flip 5090.2 → 5087.8; net gamma long - Apr 11
08:30PPI
PPI m/m: actual 0.1% / prior 0.5% - Apr 11
13:0030-year bond auction, $22B (reopening)
spot +15.6 in the 15 minutes after 13:00; flip 5096.4 → 5095.9; net gamma long - Apr 12
07:00JPM earnings - Apr 12
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 79.4; 1y inflation: prior 2.9%; 5y inflation: prior 2.8%
spot -13.6 in the 15 minutes after 10:00; flip 5097.0 → 5094.6; 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.