Big battle ahead with R2 for the SPX

Uncanny similarities in the SPX with the Mch triple expiry.


Nb. Our comment from the 08/25/20


The SPX is metaphorically the polar opposite of the FTSE.

So, where the FTSE was way below its zone, here, in the SPX, it is way above theirs.

There are a few mitigating factors, primarily the FTSE had just tested R3, where here it is still in the Y ratios.

Also, where the SPX’s zone stands, is more of a hangover from the last expiry.

Which, is somewhat appropriate, as we can’t see much difference in this expiry set up to August’s.

Therefore, basically expect more of the same, a rising zone, falling ratios above it and rising beneath it.

And, our main concern also remains exactly the same, that the Y ratio bandwidth is a stupidly massive 435-points wide.

For us, therefore, the only unanswered question, is the degree of sensitivity to the dynamic delta we can expect from the SPX this trip, especially as, historically, triples have only been reversal sensitive to DR and above.

Hopefully we won’t have to wait too long, as R1 is currently at 3445, just a smidgen above where the market is now.

Finally, this trip is no longer chasing a high, as all highs are now new all-time ones.

Bizarrely, if markets are this good under these conditions, the new scary scenario, is the old normality, which takes a bit to get one’s head around.


Range:            3205  to  3445         

Activity:          Moderate 

Type:              Neutral





Nb. Our comment for 08/31/20


Well the SPX has shown it has a bit of strength behind it at last, and all very predictable in that it has taken a triple to get the juices flowing again.

Ordinarily, we would expect an index to trade between very high levels of ratio, DR and the B’s, in a triple, but as one can see, the ratios only go as high as R3.

Which just goes to highlight how weird the overall situation is, as this is, and there is no other word for it, pathetic levels of activity produced ratios.

In the last few expiries this index has quite happily marched upwards through retreating ratios, but has struggled when it came up against, sometimes just Y2, but definitely R1.

So, it hasn’t really been tested properly in four to five months, so facing off against R2 is bit of an unknown.

Sadly, how it beat R1 is not much of a help either, as when we last published, on the 25th August, that very day this market hit 3444.21, and closed at 3443.62.

Which was all well and good, as R1 was at 3445, but the next day it gapped up at the open to 3449.97, leapfrogging R1 altogether, so it didn’t really answer any questions as that is sort of a cheat really.

If it does get over R2, then it has plenty of room before encountering R3, but, and this is a big but, back in the March expiry (the first triple of 2020 hem hem) R1 was at 3385 and R2 3405, however the then all time high had just been hit the week before,3393.52.

Out of curiosity, the corresponding R1 (i.e. Below the zone) was at 3195, giving a Y ratio bandwidth of just under 200-points, whereas today, this bandwidth stands at 485-points, so please don’t make the mistake of thinking this is a risk-free market.

The similarities are uncanny, but this time we know what we are dealing with, at least disease-wise, although the jury may still be out economically speaking.


Range:            3480  to  3510         

Activity:          Moderate 

Type:              Neutral


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August 31st, 2020 by