Will it be rinse and repeat this expiry for the SPX ?
Nb. Our comment from 10/17/19
Well we didn’t get the (probable) move down in the zone to 2945-2955.
However, the very day we published pretty much took that off the table anyway.
To set the scene, the market was still below this potential move down, despite having recovered 44-points gain in the previous two days, when it gapped-up at the open, to, the very significant, 2963.07.
Above the level of where the zone move might be, and as this was also the intraday low, it changed the dynamic somewhat.
The move could still have happened of course, but considering where it closed Tuesday (2995.68), in time for rollover Wednesday, it was obvious the zone hadn’t changed at all.
The ratios have improved below the stationary zone, hardly surprising under the circumstances, but there is still a lot of very minimal Y1 ratio around.
Under these conditions it is hugely impressive that this index has performed a near perfect expiry.
Only nearly perfect, as at the start, it only tested the upper boundary of its zone (24th Sept intraday and expiry high 3007.98), rather than the R ratio.
Nevertheless, had you known where the ratios were, you would have seen this all the way down to R2, arguably R1, which was at 2870, so taking that, you could have had a 130-point round trip, or 8.7%, in just 4-weeks.
Really looking forward to the November expiry, so will post the ratios for that early next week hopefully.
Range: 2935 to 2995 or 2995 to 3005
Type: On balance bearish
Nb. Our comment on 10/22/19
Please remember the comment above, from the 17th October, is for the October expiry, whereas this comment, 22nd October, is for the November expiry.
As we are talking about the US and November, it is the month of Thanksgiving, however, best remember that this expiry ends on the 15th, so over a week before.
The reason we mention this, is because it is really very unusual (not) for the US indices to experience a little fillip at this time of year.
Obviously, we couldn’t expect much more from the last expiry, so the big question is how is this one shaping up?
To say the ratios have filled in below the zone is perhaps an understatement, however, this would also be the case, when we say it was very underdeveloped to start with.
They have also filled in above the zone, but not by nearly as much.
Nevertheless, at the end of the day, we are in the same boat as the last expiry, being that there is still an absolutely whopping 150-points of Y ratio around.
The reason we have published today, is that for the first time since the start of the last expiry, we have tested the upper boundary of the zone.
No need to explain what happened back then, so suffice it to say, 3005, is a really critical level.
And if they get a little bit of the Christmas sprit going, there is another very significant level just a bit further on, being R1 at 3045.
We would like to think that this time they will test the R ratios above the zone, but there is no disguising the fact that these are an awful lot closer to the current market than the corresponding ones below the zone.