Nb. Our comment from the 10/07/20
Please be our guest and check what we said last time, as rather than having to repeat it, this is why we include it in this comment.
The zone has moved, and to 3345-3355.
Also, this may not be the end of it, but early days yet.
The surprise was it has taken so long, as it has literally just moved today, despite the market “hovering in its vicinity” for so long.
The other aspect was what we said about Y2, then at 3405.
Of course, 3405 featured prominently this week, this being the demarcation line of a significant step-up in ratio, as much as moving from one Y ratio to another can be.
Although, we have pointed out previously, that this expiry is proving to be extremely sensitive, as it was Y2 it bounced up from when the market hit 3195 earlier on this expiry.
As Y2 is currently 3455, then in the last day or so it has also been slowly climbing to this level from the aforementioned 3405, and yesterday, for example, was 3430, which considering the intraday high was 3431.56, says a lot.
Perhaps, something else worth a cursory glance, is that the intraday low was 3354.54, or the top of the new zone.
The fact that the market is following a retreating Y2 ratio, is good news, as is the upwardly mobile zone, but when it is hitting Y2 and a piece of bad news comes out, then what happened yesterday is only to be expected.
Don’t lose sight of the fact that the Y ratio bandwidth in its entirety is still a gobsmacking 385-points.
The real issue is that the ratio movement is painstakingly slow, and we are now entering the end-game of this expiry, so it may well just run out of time.
The fact that both puts and calls saw money coming off the table, with still a week and a half to go, just sums up the lack of involvement, and hence its sensitivity, at present.
Range: 3355 to 3455
Activity: Very poor
Type: On balance not bullish
Nb. Our comment for 10/14/20
The SPX has certainly started to get a bit more aggressive, but it has had so much scope, this is hardly earth-shattering news, as let’s face it, we are only talking about R1.
It seems an absolute age ago this index was bouncing up off Y2, way down there at 3195, but in reality, it was only in the first few days of this expiry.
Back then, Y2 went from 3195 all the way up to 3455, and please put your hand on your heart and then say that you expected this market to transverse that entire 260-point bandwidth during the course of this expiry, as we said was likely.
Although, to be fair, we did say that it was entirely possible, and normal, for a market to transverse the entire Y ratio bandwidth, which, as R1 to R1 then went from 3095 to 3555, was actually a staggering 460-points.
In the end it seems it covered Y2 to R1, but, and again, hand on heart, did you honestly see this coming as our table did, or has.
Funnily enough, as R1 above the zone had come in to 3505, about mid expiry, but since it has started to retreat, and yesterday was back to 3555.
Of course, today, it is 3570, but as it is the rollover, we think the test it made on Monday was enough, and now it is all about the expiry.
So, the big question, is where will the zone end up?
And, don’t forget, at the start of this expiry it was 3295-3305, so it has therefore already climbed 100-points.
Well, it could easily be 3495-3505, but we really don’t think it matters much anymore, especially under these unique conditions.
Normally, you would only see, almost at most, a 30-point Y1 ratio bandwidth, so the actual zone was far more significant, than now, when we have a 210-point Y1 ratio bandwidth.
For us, it is more about the overall picture now, and make no mistake, the risks are here now, in a mirror image of how it was back February.
The Y ratio bandwidth is still 375-points, or 10.7%, so don’t get fooled by the market “strength”, as its opposition is the absolutely feeble Y ratios.
If you are a bull, enjoy, but please don’t be fooled into believing there is any weight of actual money (buying) behind it.
Range: 3405 to 3570
Type: On balance only just bearish