SPX Apr to May Rollover 16th Apr 2018
Rather coincidentally in the SPX our last comment was when it had closed at 2656.87 3-days ago, so a lot of huff and puff to travel -0.57.
The big change today is the return of the zone to 2695-2705, but we see this as being symptomatic of the amazingly low levels of ratio rather than directional.
As we said last time a 185-point wide Y ratio bandwidth is extreme, and unique.
And, as if the minimal Y ratio is not low enough the Y1 level is actually so low between 2645 and 2705 it might as well be the zone in its own right.
This really could be a rollover and expiry that sets records.
Range: 2620 to 2730
Type: On balance definitely bearish
For the first look at the May expiry and it does come across as bit of a compromise, with the zone here dissecting the two levels we have seen in April.
However, again we feel that this is just symptomatic of the dire levels of ratio currently present.
The rollover from one intermediary to another is always going to be low in ratio, but even so this is exceptional, even with a week to go before it becomes the alpha expiry.
The Y ratio bandwidth here is 200-points, so not a huge difference, which just goes to underline the fact that with such little ratio we could easily see 2% to 3% or more daily moves.
Range: 2595 to 2725