After a perfect Sept expiry, Oct for the SPX could get very volatile.

Nb. Our comment from 09/24/19 (Not published)


Range:            2870  to  2995

Activity:          Strong  

Type:              On balance bearish





Nb. Our comment on 09/27/19


Firstly, we must say what a perfect expiry September was, despite it being a triple, as on the rollover Wednesday it hardly deviated from around the 3000 level.

Which is exactly where we had the zone.

In fact, that entire expiry week, was very much centred around our zone of 2995-3005.

So, no real surprise to see October’s zone in exactly the same spot.

The really pertinent day was on Tuesday 24th September when the intraday high was 3007.98, a test of the zone’s upper boundary.

And the fact, the market, finished so far below the bottom boundary was equally significant.

Of course, all week now, it has been in bear territory, namely below the zone.

The other really important fact is how much Y ratio there is in this expiry.

Admittedly, it has narrowed significantly, but below the zone the Y ratio bandwidth still goes all the way down to 2895, an absolutely whopping 100-points.

We are back to the more normal 4-week expiry, but if you think it has been volatile, then it most certainly has the capacity, with all this Y ratio about, to really go up a gear, or even several.

In fact, we think these small 25-point, or 1% moves, are the abnormal ones, and fully expect to see 2% to 3% daily moves before long.


 Range:           2895  to  2995           

Activity:          Moderate       

Type:              On balance bearish

September 27th, 2019 by