SPX dealer positioning, the week of August 26, 2024
Aug 26 to Aug 30 · 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 26 | 5644.7 | 5616.9 | -27.8 -0.49% | 46.6 | -17.3 | 5618.4 crossed 17x | negative |
| Tuesday Aug 27 | 5603.6 | 5626.3 | +22.7 +0.40% | 35.7 | +9.4 | 5620.8 crossed 7x | positive |
| Wednesday Aug 28 | 5625.9 | 5592.7 | -33.1 -0.59% | 64.4 | -33.6 | 5593.7 crossed 23x | negative |
| Thursday Aug 29 | 5609.1 | 5592.7 | -16.4 -0.29% | 60.1 | 0.0 | 5620.4 crossed 6x | negative |
| Friday Aug 30 | 5618.3 | 5650.2 | +31.9 +0.57% | 66.4 | +57.5 | 5609.6 crossed 6x | positive |
Week: +16.0 points (+0.28%), close to close from 2024-08-23.
Ranges: 273.2 points over 5 sessions, the largest 66.4 on 2024-08-30.
Zero-gamma flip at the close: 5618.4 on the first session, 5609.6 on the last (-8.7 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Aug 26
08:30Durable goods orders
Durable goods m/m: actual 4.3% / prior -2.0% - Aug 27
10:00Consumer confidence (Conference Board)
spot +1.5 in the 15 minutes after 10:00; flip 5529.1 → 5544.0; net gamma long - Aug 28
09:30VIX settlement
spot -7.0 in the 15 minutes after 09:30; flip 5616.2 → 5581.2; net gamma long - Aug 28
16:05NVDA earnings - Aug 29
08:30GDP
GDP q/q: actual 3.3% / prior 3.6% - Aug 30 On the same day: index rebalance, month-end SPX
- Aug 30
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.2% / prior 0.2%
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.