It has been a while since we covered the SPX, so first and foremost this is a five-week triple expiry, the third of the year and so, generally, the second biggest of the year.
Therefore, the second thing we must mention is that it isn’t, as even what should be the smallest “biggie”, March, was far bigger than this September expiry is at this stage.
This is readily apparent in the very unusual amount of Y ratio around, which in years gone by, in a triple witching expiry, it would be more usual to have none altogether.
This means, in a word, volatility, and to expect lots of it.
Basically a 160-point wide bandwidth of Y ratio in a triple witching expiry means it will be an absolute roller-coaster, so hang on tight, and the real market will only reveal itself once it starts interacting with the R ratios.
Once, we get some dynamic delta activity and see how the market reacts to having to deal with that resultant futures activity, then we will see what the true feeling is behind any move.