SPX , NDX & DJX Ratio Table 23rd May 2018
Surprising SPX, and the first one is that there have been no changes at all in the ratios.
This for the start of an expiry is odd, but especially so for a triple.
And just to compound this, surprise number two is the fact that there is still 135-points of Y ratio still present, in itself weird enough but when we don’t see any changes when the ratios are this low to begin with is even stranger.
Number three is the fact the ratios only go as high as R3, which is very low for a triple, and the fact that they don’t get even that high for a very long way either side.
Just bear in mind that the Y ratio bandwidth alone goes from 2620, 100-points away, up to 2755, just 30-points away, but with so little ratio here at all we suspect the driving force may well prove to be the DJX.
Range: 2705 to 27855
Type: On balance only just bearish
Poor old NDX, as the only surprising thing, nay coincidental thing here, is that when we last commented (16th May) the market was 6888.54, so in the last week it has moved just +5.08-points.
Considering this includes the expiry, which incidentally was 6884.87, so also represents a minimal move, for such an index prone to big moves this is unusual.
The only ratio to change is Y2 above the zone, which comes in a bit, but same old as no R ratios at all, slightly more surprising for a triple, but reveals just how unloved derivatives remain in this index.
Range: 6825 to 7075
Surprising DJX, and the main one is that it’s all change here.
This means even the zone, but more surprisingly is that it has slipped, not by much, but it is the direction more than anything else.
Interestingly on Monday, high 25086, was the top boundary of the old zone, 25100.
More to the point the Delta ratio, which was 226.2%, is now just 168.6%, which is still lop-sided, but shows a huge swing towards balancing.
26100 still remains a target, although evidently now there are a lot of others who think otherwise, so perhaps it is now a line in the sand.
However, with so much Y ratio now present the only thing we can say for certain is that it could be a very volatile expiry.
Range: 24600 to 24800 or 24800 to 25100
Type: On balance bearish