SPX Oct to Nov Rollover 16th Oct 2018
Well, here we are at another rollover in the SPX and at this exact point in the last expiry when we were looking forward to this the October expiry we said “so left to its own devices then it has a potential 150-point trading range”.
So, be honest, back on the 19th September did you honestly think we would see a 150-point trading range, indeed, didn’t think so.
The intraday high was 2939.86 (nb. R1 was at 2945) and the intraday low, so far at least, was 2710.51, to give a range of 229.31-points in fact.
Of course, the ratios evolved over the course of the expiry, and once any index, but especially the SPX, has dumped 150-points there is going to be quite a head of steam built up, so R1 would have been doing exceptionally well to hold the market under those conditions.
Also, it didn’t help with the ratios crumbling under the pressure, for example R3 was 2745 just two trading days ago.
Activity is as high as it has been, the zone has stubbornly not moved, yet, so if this index can back into the Y ratios (above 2795) it could still manage a salvageable expiry.
Range: 2720 to 2760
Activity: Very good
Type: On balance only just bearish
So, the question on everybody’s lips is how will November pan out, and great if you are a trader we think.
Heart-attack inducing for fund managers.
The huge difference this time round is the last expiry, October, was coming off the back of a very decent and compliant September expiry.
Whereas, November, is trying to form while the market is still under October’s control, which has been a little tumultuous, to say the least.
Therefore, it should be no surprise that it is very underdeveloped, and it still has 4 more days before it takes control on Monday, so it will fill in for sure, but it is not ideal conditions for sure.
However, the fact that the zone is 2845-2855 here is a clue, and we think 2820-2830 is a distinct possibility as well.
The real issue is how much Y ratio bandwidth will there be?
Where the zone is and how much Y ratio still present on Monday will dictate this expiry, and we are not going to proffer any opinion at this stage for the very reasons outlined above.
Range: 2740 to 2845