As the SPX starts the Jan 2022 expiry there is far too much Y ratio still.

Covid vs the Santa rally as the SPX starts the Jan expiry.


Nb. Our comment from the 12/15/21 (Not published)


Nb. Our comment for 12/21/21


We have to start with the recently ended Dec expiry and, boy did they try hard to beat Y2 at 4705, with the ultimate failure resulting in an expiry nearer 4600 than 4700. However, this was still in the middle of the absolutely minimal Y1 ratio.

So, no problem, and just to add some icing on the cake the Jan expiry has its zone at 4600, so all in all a win: win situation.

That’s pretty much it for the good news though…unless you’re a vol trader that is.

The respective Y ratio bandwidths are actually slightly wider this expiry (Y1 = 235 & overall 435) but what is different is that they are almost evenly spaced out on either side of the zone.

This makes today very interesting for this expiry, as currently they are below their zone and therefore in bear territory.

To put this into perspective, yesterday in the FTSE it opened very weak, then went below its zone, but once it recovered from this dip it traded for the rest of the day right in the middle of its zone, around 7200 for those that don’t know.

So, for the SPX, the first target for today should be to regain its zone, then after that to hold onto it. Should it be particularly confident then it could even reclaim the bullish territory above its zone.

Considering what’s happening covid-wise at present, we think this is actually a very positive outcome considering. The question is whether it is just as a result of the market rebalancing itself post the Dec expiry (which gets our vote) or the bulls are back in town and have their sights still set on a Santa rally.

Of course, it could be a combination of these factors or something else entirely, but whatever it is then, you won’t get any ratio support until 4495 or resistance until 4730, so best plan accordingly.


Range:            4495  to  4595           

Activity:          Moderate

Type:              On balance decently bearish


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December 21st, 2021 by