Can the SPX get to its zone for the expiry.

The SPX has a fight on its hands to be near its zone for the rollover or expiry.


Nb. Our comment for 12/13/22


And they were doing so well, getting the market back to 3990 and just below the zone as we entered the final week of the December expiry.

Also, don’t forget, this was when London was going the other way and trying to get back inside its zone, below 7450.

Still got a few days yet, so it certainly isn’t over this expiry. It just means they are going to have to work for it if they want a successful outcome.

Of course, this is a success for derivatives, so please bear that in mind.

As we are now on substack it is perhaps worth pointing out that when this research was valued by institutions, or pre-MiFID II, we used to cover the FTSE100, DAX, CAC, HSI, DJIA, NDX and the SPX. And our reports were daily but, more importantly, before the respective market opened.

Which makes this look a tad curve-fitting but, above the zone, although R3 now starts at 4180, we would have mentioned there is what we call a significant step-up at 4105.

Anyway, last week we did get our test of R1 at 3945 (please see comment below), but not the one we were hoping for, R2 at 3895.

Evidently this was enough, especially for a “meandering market”, but it seems the CPI figures have scuppered that.

Also, we do take pains to point out that the huge increase in overall activity in the final week of the biggest of the big expiries very often get misdiagnosed. This to us is such a case in point. It’s not as if the Fed tapering rate rises is new news after all.

What it does mean is that this expiry has a good bit of fight left in it, which is always exciting, if not tradable.

Finally, at least as yet, no pretenders to being the new zone, so 4000 is the bullseye.


Range:            3995  to  4005           

Activity:          Only just registered

Type:              On balance not bearish



Nb. Our comment from the 12/06/22


We made the point in our last comment (30th Nov – please see below-) that in the absence of a meaningful test of a ratio/delta level the SPX was in essence just meandering.

Luckily, we didn’t have to wait very long, courtesy of the Fed mentioning it might ease the pace of rate hikes, the market leapt up to 4080 on the very day we published.

Obviously, the market got carried away with itself and, no surprise, having been so aimless for so long it was crying out to let off some steam.

The trouble with that was, for the next two days, Thursday and Friday, it was stuck in the R2 bandwidth not being able to make any progress in either direction.

We actually thought, that they had solved the problem on the Friday, what with that massive gap down at the open which took the market down to 4040.17, and below R2 at 4055.

Can’t explain why it finished back at where it started but, as the ratio/delta levels hadn’t changed, a repeat was always a distinct possibility.

Coincidence or not, we were also not surprised to see the market finish yesterday back within its zone when it did repeat this yesterday.

Our problem is, that it is a week early, as the rollover and expiry are not until next week.

In a perfect world, we would like to see this market test R1 at 3945, or even R2 at 3895, as don’t forget there is no minimal Y ratio above the zone, so the market is now well accustomed to R1.

Just to remind everyone, the perfect expiry is when the market test one level of ratio on one side of the zone, then goes on to test the same level on the other side before finishing in or around its zone. Although anywhere in the Y ratio for the SPX is more than acceptable.


Range:            3995  to  4005           

Activity:          Only just registered

Type:              On balance not bearish

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December 15th, 2022 by