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.