SPX April to May Ratio Rollover Table 20th April 2018
The SPX went on a trip almost as spectacular as that of the NDX (17.1%) as here they toyed with R3 at the start of this expiry circa 2595 and then it basically followed it all the way down with little bounces to when it was 2555 and the market low was 2553.80.
So, from the close of the March expiry, 2752.01, it dropped to R3 at 2555, hitting 2553.80 before climbing all the way back up to finish within spitting distance of its zone on expiry at 2693.13.
That is a total round trip of 337.54-points or 12.27%, not bad for 5-weeks.
For the record the NDX closed on their zones bottom boundary 6775 (6774.89) whereas the DJX finished just 63-points above their zones upper boundary 24600 (24664) which is as close a compromise as you’re likely to get.
Range: 2670 to 2705
Type: On balance only just bearish
For the last look at May before it becomes the alpha expiry and the most impressive aspect is that it has maintained almost all its Y ratio despite activity being so high.
For the record the ratios do not predict what will happen or what the market may do, the only thing they reveal is where futures buying and selling will occur (dynamic delta hedging) and a guide to how much to expect.
Obviously in the April expiry this index was sensitive to the amount of futures buying generated by it hitting R3, and in the absence of any bigger external influence the natural point at which the market should expire is its zone.
What it will be sensitive to in May remains to be seen, but above are today’s levels.
Range: 2595 to 2695 or 2695 to 2705
Type: On balance bearish