SPX dealer positioning, the week of June 10, 2024
Jun 10 to Jun 14 · 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 Jun 10 | 5338.0 | 5360.6 | +22.6 +0.42% | 31.4 | +15.7 | 5350.4 crossed 2x | positive |
| Tuesday Jun 11 | 5343.6 | 5375.6 | +31.9 +0.60% | 48.2 | +15.0 | 5348.8 crossed 2x | positive |
| Wednesday Jun 12 | 5419.6 | 5420.7 | +1.1 +0.02% | 33.5 | +45.1 | 5424.6 crossed 7x | negative |
| Thursday Jun 13 | 5434.8 | 5434.1 | -0.7 -0.01% | 33.7 | +13.4 | 5424.0 crossed 14x | positive |
| Friday Jun 14 | 5413.1 | 5431.3 | +18.1 +0.33% | 26.4 | -2.8 | 5419.7 crossed 7x | positive |
Week: +86.4 points (+1.62%), close to close from 2024-06-07.
Ranges: 173.3 points over 5 sessions, the largest 48.2 on 2024-06-11.
Zero-gamma flip at the close: 5350.4 on the first session, 5419.7 on the last (+69.4 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Jun 11
13:0010-year note auction, $39B (reopening)
spot +7.1 in the 15 minutes after 13:00; flip 5298.6 → 5297.2; net gamma long - Jun 11
16:05ORCL earnings - Jun 12
08:30CPI · high impact
CPI y/y: actual 3.2% / prior 3.4%; Core CPI m/m: actual 0.1% / prior 0.3% - Jun 12
09:30VIX settlement
spot +12.1 in the 15 minutes after 09:30; net gamma long (was short) - Jun 12
14:00FOMC decision · high impact
Fed funds: actual 5.50% / prior 5.50%
spot +4.1 in the 15 minutes after 14:00; flip 5396.2 → 5399.8; net gamma long - Jun 12
14:30FOMC press conference · high impact
spot -9.2 in the 15 minutes after 14:30; flip 5390.8 → 5362.7; net gamma long - Jun 12
16:05AVGO earnings - Jun 13
08:30PPI
PPI m/m: actual 0.0% / prior 0.5% - Jun 13
13:0030-year bond auction, $22B (reopening)
spot +4.2 in the 15 minutes after 13:00; flip 5382.6 → 5377.0; net gamma long - Jun 14
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 69.1; 1y inflation: prior 3.3%; 5y inflation: prior 3%
spot -6.3 in the 15 minutes after 10:00; flip 5318.2 → 5330.0; 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.