All about the zone now for the SPX

R1 did its job in the SPX, but now all about the zone.


Nb. Our comment from the 06/16/20


Absolutely by the book, and exactly as we said; “Now it is back in the Y ratios the only thing that we can say with any certainty, is expect volatility, or more pointedly, the continuation of, and whipsaw”. Please see above.

Volatility, check, and whipsaw, probably one of the biggest ever, being from down 76-points to being up 38-points for a 114-point swing, so definitely, check.

Actually, our other expectation has come in as well, with the zone moving to 2995-3005.

Probably helped the bulls’ case, as when it went north it very likely passed the market going the other way.

It is still in a stupidly wide Y ratio bandwidth, which now makes 3155 rather significant.

However, at the end of the day, if you lob a several trillion-dollar hand grenade into the market during the rollover and expiry week, what do you expect.

The sincere concern, is that the powers that be remain so totally ignorant of natural market forces, that when they see the market get repulsed by R2 and head back towards its zone, they panic.

It was foreseeable, therefore predictable, and if you don’t believe this then just read our comments for this expiry, and, so therefore, a perfectly normal market reaction.

No need to panic, as if that is what they have done, and we believe so, then it not only reveals a total lack of understanding, but the fact that what they are doing is misguided, and therefore also wrong.

Your decision then, stimulus vs. rollover.


Range:            2795  to  3155         

Activity:          Moderate

Type:              On balance bearish




Nb. Our comment for 06/18/20


The very day we published the SPX went up to R1, with an intraday high of 3153.45.

In fact, pre-market, the futures had it considerably higher than that, nearer 3165 just before the open.

It was quite a tussle, and those that knew there was a decent amount of dynamic delta futures selling at that exact point, could just see the confusion in the market.

It did take a while, but eventually the market succumbed to the selling.

Interestingly, it didn’t go very far, but then with the recently announced stimulus package, we think it was rather impressive R1 actually worked.

We should say, that yesterday, there were no changes in the ratios above the zone from what they were on the 16th.

The point being, that it is only today that R1 has slipped from 3155 out to 3205.

With a day to go, and under the circumstances, an expiry anywhere in the Y ratios would be a result.

However, it is worth remembering that this index has seen its zone move, from at the start of this expiry, 2795-2805, in two steps, to where it is currently, 2995-3005.

Obviously, at this time, activity spikes, but by going by the ROC, we would not be altogether surprised to see one more zone move, to 3095-3105.

The real test now will be when this index moves into their July expiry, as these intermediaries are historically considerably less populated, and after the last three trips we have seen, this is only going to be worse than normal.

So, at the end of the day, we may be very grateful that the SPX is responding to just R1, but only a few we suspect, will welcome the return of another gargantuan Y ratio bandwidth.


Range:            2795  to  3205         

Activity:          Moderate 

Type:              Neutral

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June 18th, 2020 by