Please remember the comment above, from the 17th October, is for the October expiry, whereas this comment, 22nd October, is for the November expiry.
As we are talking about the US and November, it is the month of Thanksgiving, however, best remember that this expiry ends on the 15th, so over a week before.
The reason we mention this, is because it is really very unusual (not) for the US indices to experience a little fillip at this time of year.
Obviously, we couldn’t expect much more from the last expiry, so the big question is how is this one shaping up?
To say the ratios have filled in below the zone is perhaps an understatement, however, this would also be the case, when we say it was very underdeveloped to start with.
They have also filled in above the zone, but not by nearly as much.
Nevertheless, at the end of the day, we are in the same boat as the last expiry, being that there is still an absolutely whopping 150-points of Y ratio around.
The reason we have published today, is that for the first time since the start of the last expiry, we have tested the upper boundary of the zone.
No need to explain what happened back then, so suffice it to say, 3005, is a really critical level.
And if they get a little bit of the Christmas spirit going, there is another very significant level just a bit further on, being R1 at 3045.
We would like to think that this time they will test the R ratios above the zone, but there is no disguising the fact that these are an awful lot closer to the current market than the corresponding ones below the zone.
Range: 2995 to 3005 or 3005 to 3045
Activity: Very good
Type: On balance bearish
Nb. Our comment on 10/28/19
It looks like we are going to get our wish of this index testing its R ratios above the zone.
However, what we should have mentioned on the 22nd, was that the Delta Ratio here was just 33%
And, today, it has hardy changed, being 33.7%, and anything below 50% we see as bullish.
Hence, our wish to see a test of the R ratio, still at 3045.
In fact, the ratios above the zone have strengthened, most notably R3 which has come in from 3125 to 3105.
More noticeable though, is the utter lack of movement below the zone.
However, the first real test of the bullish commitment will come with R1 at 3045, and then at 3070.
Although, we would like to point out, that there is a step-up in the ratios at 3055, as this is where they switch to being close to the top of the R1 band, rather than being at the bottom.
Of course, please don’t forget the corresponding R1 ratio level does not appear until you get all the way down to 2895.
Looks like the Nov expiry is just getting started.