SPX dealer positioning, the week of June 24, 2024
Jun 24 to Jun 28 · 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 24 | 5463.4 | 5449.7 | -13.8 -0.25% | 42.1 | -17.4 | 5465.6 crossed 7x | negative |
| Tuesday Jun 25 | 5459.0 | 5470.1 | +11.2 +0.20% | 24.9 | +20.5 | 5460.7 crossed 4x | positive |
| Wednesday Jun 26 | 5457.1 | 5478.7 | +21.5 +0.39% | 29.4 | +8.5 | 5464.6 crossed 3x | positive |
| Thursday Jun 27 | 5477.6 | 5481.9 | +4.3 +0.08% | 21.4 | +3.2 | 5476.1 crossed 20x | positive |
| Friday Jun 28 | 5488.3 | 5459.3 | -29.0 -0.53% | 70.9 | -22.6 | 5486.1 crossed 5x | negative |
Week: -7.8 points (-0.14%), close to close from 2024-06-21.
Ranges: 188.8 points over 5 sessions, the largest 70.9 on 2024-06-28.
Zero-gamma flip at the close: 5465.6 on the first session, 5486.1 on the last (+20.4 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Jun 25
10:00Consumer confidence (Conference Board)
spot +5.1 in the 15 minutes after 10:00; flip 5398.2 → 5401.3; net gamma long - Jun 26
08:30Housing starts
Housing starts: actual 1329K / prior 1379K - Jun 26
09:30VIX settlement
spot +1.7 in the 15 minutes after 09:30; flip 5430.8 → 5402.4; net gamma long - Jun 27
08:30Durable goods orders
Durable goods m/m: actual -0.0% / prior -0.2% - Jun 27
08:30GDP
GDP q/q: actual 3.6% / prior 0.8% - Jun 28 On the same day: index rebalance, month-end SPX
- Jun 28
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.1% / prior 0.2% - Jun 28
10:00UMich consumer sentiment (final)
Sentiment: actual 68.2 / prior 69.1; 1y inflation: actual 3% / prior 3.3%; 5y inflation: actual 3% / prior 3%
spot +17.1 in the 15 minutes after 10:00; flip 5472.5 → 5448.4; net gamma long - Jun 28 Quarter-end SPX expiry (the JPMorgan collar resets)
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.