It is very difficult to appreciate that
this is in fact a triple witch expiry, or quadruple as the US likes to call
them, as the activity remains so low.
The level overall is much more befitting
a biggie, but it all looks passive.
And, we are back to that ridiculously
However, and as we pointed out, the
bottom boundary is hugely significant.
Last Thursday, the 23rd, this
index got as low as 25328 before finishing at 25490.
At the time we mentioned how
statistically irrelevant 10-points is on a twenty-five-thousand-point index,
and the opening gap up the next day just went to underline this.
The fact that the next day, Friday, the
intraday low was 25496, was also very telling.
So, yesterday, it was looking good, but
right towards the end the market got spooked, and, hey presto, strike 3.
The only good news is that the next
level of support is actually rather close, and it jumps straight in at R2,
please see above table.
Otherwise, it’s going to be all down to
the SPX, please see our previous comment on the 21st May, and from
our calculations on the 28th R2 here is still at 2770.
The expiry still has a very long way to
go, but it is heating up nicely, and now we are testing levels, both in this
index, the DJX, but also the SPX, this will ignite activity, if only because of
the dynamic delta, so the fun starts now, for us at least.
Range: 25000 to
Activity: Very poor
Nb. Comment on 06/07/19
Well, we certainly hope you are having
fun by now.
Shortly after our last comment the
bottom boundary did indeed cave in, and as it was already on strike 3 this was
hardly a surprise.
This then left R2 at 25000 as the next
line of support, and if the SPX was having a titanic battle with their R2, the
DJX was certainly not being overshadowed.
Last Friday and on Monday this index
closed at 24815 and 24819 respectively, which was very troubling as both were
deep inside their R2 bandwidth.
The only saving grace was that on both
days the SPX was just then hitting their R2.
It seems it was the SPX that turned the
tide, although with this index being in their R2 then it would most certainly
have aided and abetted.
It is a triple, so big numbers are more
likely than not, but it is worth bearing in mind that the strength of the
bearish sentiment took two indices in R2, which is a lot of dynamic delta
futures buying, to eventually turn the tide.
The fact that this index bounced
straight back up into their zone is only what we would expect, and the same
goes for the SPX.
The unexpected part is how much Y ratio
there still is in both, especially as this expiry is a triple, where we would
expect to see none, or at least, very little.
The only ratios to change here are Y2
drops to Y1 and DR comes in to 24000, both below the zone.
As it stands this index is now back in its super-wide zone, so happy days, but the real battle will be the SPX we believe, and there, might it even get back to bullish territory?