A totally different rollover and expiry looms for the SPX

After another huge bounce of Y2 it is all down to the zone now for the SPX.

 

Nb. Our comment from the 10/06/21

 

The jury (please see above) didn’t really take long to decide, and it certainly wasn’t in favour of the bulls.

In our first note of this expiry, and therefore repeated in our second, we took pains to point out that at the very start of this expiry Y2 was at 4295.

It may have jumped to 4345 but, the reason we highlighted 4295 was because it still represented a step-up in ratio and that it had been tested on the very first day of this expiry, with the intraday low of 4305.91 on the 20th Sept.

The market then recovered back to its zone, which was where it was in our last comment, before finishing that week at 4357.04 having been as low as 4288.52.

The point of mentioning all this is to highlight the significance of these levels throughout this expiry so far.

On this Monday 4th Oct we saw the intraday low of 4278.94, and which being strike 3 was a very impressive hold, resulting in the close yesterday, coincidentally back at our old friend 4345.

And as one can see in the table above, Y2 is back to where it was and all the other ratios below the zone have slipped back as well.

It is not yet over for the bulls, after all there is still a week and a half to go in this expiry, but it is looking rather dire, as if they don’t react today, perhaps tomorrow, then we could very likely see the zone start to move down.

Early days, but 4345-4355 is looking likely, and if that does happen it will obviously have ramifications for the rollover and actual expiry.

In the meantime, 4295 is now on strike 4, and as these ratios are also now receding, support here is going to be a very big ask indeed.

At the moment this index’s saving grace is where its zone is currently, but watch this space as it’s not going to get any quieter as we head towards the final week, and that’s for sure.

 

Range:            4295  to  4445           

Activity:          Poor

Type:              On balance only just bullish

 

 

Nb. Our comment for 10/12/21

 

It is certainly going to be a very interesting rollover and expiry for the SPX this time round.

We say this because for the first time in absolutely ages, that at this point in the expiry, the market is below its zone.

So, rather than having to curb the exuberance the shoe is most definitely on the other foot, as with just days to go the zone hasn’t moved.

And what’s more, at the moment the zone in November is also at the exact same level.

This is not to say that we won’t, or can’t, see 4395-4405 still become the next level, but as this is still above the current market the above conditions still apply.

The hard part seems to have been done as well, as last Wednesday the market went back down to test Y2 for the fourth time with the intraday low of 4290.49, followed by a most remarkable swing as it finished almost 74-points above here.

Of course, we can’t lose sight of Y2 now being on strike 5, a valiant effort by any calculation, but with the rollover tomorrow and the expiry on Friday, generally the zone starts to exert its influence.

How much that will prove to be is a very difficult question to answer, as there is still a Y1 ratio bandwidth of a massive 210-points, and there is an obvious reason why we class the Y ratios as “minimal”.

However, as this market continues to react to even this small level of dynamic delta, displaying a remarkable degree of sensitivity, so bearing this in mind anywhere north of 4380 gets the market into the lowest minimal Y1 ratio.

At the end of the day, or expiry in this instance, it wasn’t that long ago we would be happy to see the expiry achieve just getting into the Y ratios but, in this era of heightened sensitivity obviously where the zone is now would be best, failing that around 4400. But nobody should be badly hit by any settlement in the Y ratios.   

 

Range:            4295  to  4445           

Activity:          Moderate

Type:              Bearish

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October 12th, 2021 by