At last the SPX takes on some ratio.

At last the SPX takes on some ratio.


Nb. Our comment from the 02/02/21


Well, the market most certainly has not quietened down, so all as normal and very much expected in our eyes.

Therefore, please do not read too much, in fact anything at all, into these moves, as they are simply a result of there being virtually no ratio around.

In fact, it is worth pointing out that the intraday low on Thursday 29th was 3694.12, which many may remember was the bottom boundary of the old zone, when it was 3695-3705 just a few days ago.

The point of mentioning this is that this level still represents a step-up in ratio, albeit a step-up within the Y1 ratio bandwidth means it is hardly big, it was still evidently sufficient, which means this index is still extremely sensitive.

Please don’t forget it was Y2, then at 3855, that caught this market with the intraday high of 3859.75, back on Wednesday 20th Jan.

Getting back to the present, and at last we have seen some decent activity, and on both sides, so at least the ratios are moving.

However, the zone is the all-important level, and the failure to reach it after last Thursday’s rally should have been a warning.

Interestingly we are seeing 3745-3755 make a move to being the next one, which would be bit of a game changer as it’s a bearish move, so we will keep a weather eye on developments here.

Although the respective Y ratio bandwidths have shrunk, there is still plenty of room there, with Y1 still being 275-points wide for example.

Furthermore, we still have almost a full three weeks to go in this expiry, so now we are seeing activity, as long as it continues, we should now start seeing things go up a notch or two as we enter the back nine.

Food for thought: Just imagine what might happen if this market became aggressive and now fancied taking on the R ratios?


Range:            3595  to  3795           

Activity:          Good

Type:              Neutral



Nb. Our comment for 02/05/21


As things are now getting a lot more interesting, we thought it would be nice to keep you updated.

When we say “interesting” what we really mean is that this index is at last taking on some ratio, so we now get to see just how committed they really are.

Of course, the last time this market met Y2, then at 3855, it retreated all the way back to 3695.

And although Y2 yesterday was at 3870 (nb. where it closed) it was fascinating to watch first how it rebounded from 3855 early on, then later, when it had established a beachhead as it were, it couldn’t get further than 3860 for almost the rest of the entire trading day.

For the record, although R1 looks unchanged at 3945, in the meantime it has been initially 3940, then yesterday 3935, before reverting today.

Also, in our last note, we mentioned that at last activity had picked up, well ever since those fateful words it has been negligible.

Another aspect to note, is that for a large part of this expiry, Y2 was entrenched at 3905, so although it has come in recently, now the ratios above the zone are in retreat, we would anticipate it ending up back there before very long. Perhaps early next week.

Last note we mentioned we would keep a weather eye on 3745-3755 potential to become the next zone, and it got as close as you could possibly get, but never actually took the plunge, and now it is very rapidly looking less and less likely.

Finally, please don’ lose sight of the fact that we are only talking about Y2, as although it has proved too much so far this expiry, historically, it should be no more than a speedbump. In fact, even R1 has only been a delaying tactic in the past.

At the end of the day this market has been incredibly sensitive to just small amounts of ratio, and therefore dynamic delta, and we have no evidence to suggest that this will not continue to be the case, but it is unusual that’s all.


Range:            3805  to  3880           

Activity:          Only just registered

Type:              N/A


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February 5th, 2021 by