SPX dealer positioning, the week of September 30, 2024
Sep 30 to Oct 4 · 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 Sep 30 | 5727.8 | 5760.7 | +32.9 +0.57% | 59.9 | +23.0 | 5729.2 crossed 14x | positive |
| Tuesday Oct 1 | 5751.1 | 5708.0 | -43.1 -0.75% | 68.5 | -52.8 | 5712.3 crossed 18x | negative |
| Wednesday Oct 2 | 5691.8 | 5709.8 | +18.0 +0.32% | 45.2 | +1.9 | 5707.3 crossed 19x | positive |
| Thursday Oct 3 | 5696.6 | 5700.3 | +3.6 +0.06% | 40.3 | -9.6 | 5692.4 crossed 20x | positive |
| Friday Oct 4 | 5740.1 | 5750.3 | +10.2 +0.18% | 49.1 | +50.0 | 5725.2 crossed 22x | positive |
Week: +12.6 points (+0.22%), close to close from 2024-09-27.
Ranges: 263.1 points over 5 sessions, the largest 68.5 on 2024-10-01.
Zero-gamma flip at the close: 5729.2 on the first session, 5725.2 on the last (-4.1 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Sep 30 Quarter-end SPX expiry (the JPMorgan collar resets)
- Oct 1
10:00ISM manufacturing PMI
spot -20.6 in the 15 minutes after 10:00; flip 5625.0 → 5629.4; net gamma long - Oct 1
10:00JOLTS job openings
Openings: actual 7.52M / prior 7.43M
spot -20.6 in the 15 minutes after 10:00; flip 5625.0 → 5629.4; net gamma long - Oct 2
08:30GDP
GDP q/q: actual 3.3% / prior 3.6% - Oct 2
09:30VIX settlement
spot -15.6 in the 15 minutes after 09:30; flip 5642.1 → 5605.1; net gamma long - Oct 3
08:30Durable goods orders
Durable goods m/m: actual 0.9% / prior -1.1% - Oct 3
10:00ISM services PMI
spot -2.8 in the 15 minutes after 10:00; flip 5591.9 → 5639.9; net gamma long - Oct 4
08:30Nonfarm payrolls · high impact
Payrolls: actual 155K / prior 9K; Unemployment rate: actual 4.1% / prior 4.2%
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.