Nb. Our comment from the 11/19/20 (Not published)
Nb. Our comment for 11/24/20
For those that read our comment on the 17th then they would know what some of the ratios for the Dec expiry were back then.
Then, in the above table, we have todays referenced against the 19th.
Hopefully, this will give you a far better idea of how they have developed to this stage.
The cross-over point was on Monday, as when the market closed on Friday at 3557.54, R1 was standing at 3555, but on the 23rd, R1 had slipped further, to 3605, meaning this index actually managed to start this expiry in their Y ratios. Which is important.
Back on the 21st October, and please do check, we said;” Even though it has an extra week, please note the expiry is on the 20th, so just before Thanksgiving. We mention this, as it would be so unusual (not) for the American indices to have a rally, even hitting highs, in the run up to this holiday.”
Admittedly we didn’t suspect the vaccine as the catalyst, but then again, we never even bother trying to work out what that might be, but rather where the actual market will be and when.
Historically, this week is a nightmare to call, as many are away, and as they say about missing cats, but, anyway, it will all depend how aggressive it becomes when it starts knocking on the R ratios doors, and, of course, how many are around to care.
Next week, from about Tuesday on, a bit of rationality generally returns.
However, there are a few points to note, and a big one is that the Y ratio bandwidth is 310-points, basically unheard-of in the biggest of the big expiries (nb. normally zilch).
The zone will move up, 3495-3505 in all likelihood.
The highest ratio, within range at least, is just R3, truly pathetic for this gargantuan expiry, where we would normally see B (and above) ratios.
The big question is always going to be how will this index react to any futures activity generated by the dynamic delta, and until it starts hitting the R ratios we just don’t know, but this week has not been a good yardstick, at least in the past that is.
Fantastic trading range though, just a shame its at this time of year.
Range: 3405 to 3605
Type: On balance only just bearish