SPX dealer positioning, the week of August 19, 2024
Aug 19 to Aug 23 · 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 Aug 19 | 5560.0 | 5606.8 | +46.8 +0.84% | 54.8 | +52.7 | 5573.6 crossed 4x | positive |
| Tuesday Aug 20 | 5605.8 | 5597.0 | -8.9 -0.16% | 33.1 | -9.8 | 5598.5 crossed 19x | negative |
| Wednesday Aug 21 | 5609.5 | 5620.1 | +10.5 +0.19% | 39.0 | +23.1 | 5611.7 crossed 26x | positive |
| Thursday Aug 22 | 5640.5 | 5571.4 | -69.2 -1.23% | 79.7 | -48.7 | 5590.9 crossed 5x | negative |
| Friday Aug 23 | 5603.9 | 5634.2 | +30.3 +0.54% | 54.9 | +62.8 | 5616.6 crossed 12x | positive |
Week: +80.1 points (+1.44%), close to close from 2024-08-16.
Ranges: 261.5 points over 5 sessions, the largest 79.7 on 2024-08-22.
Zero-gamma flip at the close: 5573.6 on the first session, 5616.6 on the last (+43.0 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Aug 21
08:30Nonfarm payrolls · high impact
Payrolls: actual 53K / prior 87K; Unemployment rate: actual 4.2% / prior 4.1% - Aug 21
09:30VIX settlement
spot +3.2 in the 15 minutes after 09:30; flip 5501.7 → 5529.4; net gamma long - Aug 21
13:0020-year bond auction, $16B
spot +0.2 in the 15 minutes after 13:00; flip 5553.9 → 5556.9; net gamma long - Aug 21
14:00FOMC minutes
spot -4.6 in the 15 minutes after 14:00; flip 5562.7 → 5562.6; net gamma long - Aug 23
08:30Housing starts
Housing starts: actual 1269K / prior 1318K - Aug 23
10:00UMich consumer sentiment (final)
Sentiment: actual 67.9 / prior 66.4; 1y inflation: actual 2.8% / prior 2.9%; 5y inflation: actual 3% / prior 3%
spot +17.1 in the 15 minutes after 10:00; flip 5537.8 → 5542.1; 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.