SPX dealer positioning, the week of December 30, 2024
Dec 30 to Jan 3 · 4 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 Dec 30 | 5898.8 | 5907.3 | +8.5 +0.14% | 70.4 | -64.1 | 5918.0 crossed 4x | negative |
| Tuesday Dec 31 | 5925.9 | 5883.8 | -42.1 -0.71% | 60.8 | -23.4 | 5889.8 crossed 23x | negative |
| Wednesday Jan 1 | no session | ||||||
| Thursday Jan 2 | 5917.1 | 5868.4 | -48.7 -0.82% | 101.3 | -15.4 | 5871.1 crossed 20x | negative |
| Friday Jan 3 | 5900.1 | 5942.7 | +42.6 +0.72% | 59.2 | +74.3 | 5927.8 crossed 2x | positive |
Week: -28.7 points (-0.48%), close to close from 2024-12-27.
Ranges: 291.6 points over 4 sessions, the largest 101.3 on 2025-01-02.
Zero-gamma flip at the close: 5918.0 on the first session, 5927.8 on the last (+9.8 points).
Closed in positive gamma: 1 of 4 sessions.
Events this week
- Dec 31
09:30VIX settlement
spot -9.5 in the 15 minutes after 09:30; flip 5840.3 → 5805.3; net gamma long - Dec 31
10:00Consumer confidence (Conference Board)
spot -11.3 in the 15 minutes after 10:00; flip 5794.2 → 5793.3; net gamma long - Dec 31 Quarter-end SPX expiry (the JPMorgan collar resets)
- Jan 2
10:00ISM manufacturing PMI
spot +5.7 in the 15 minutes after 10:00; flip 5763.9 → 5779.3; 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.