Nb. Our comment from the 09/20/21
Turns out that there was just one last “hurrah” in the September expiry, and with the EDSP of 7031.68 it was all about the zone at the end.
Which is really what is all about in the October expiry as well, as here the zone is now 7000-7100, which is in fact slightly higher than it was in September.
This does however throw a degree of confusion over whether the support at 6950 on Friday was down to the hangover of Sept’s bottom boundary, or an early test of R1 in Oct.
Either way, it held firm, but it remains a very critical level in this expiry, meaning the first couple of days could decide the next 4-weeks.
If R1 doesn’t hold, and if you compare the two tables above, it has only very recently become R1 from Y2, then the market will find itself in a 250-point wide bandwidth.
Of course, we must also point out that currently this index is below its zone, so it actually starts this expiry already in bear territory, which won’t please many.
Furthermore, the terrible irony of it all, is that all that woe this index had in Sept trying to get past R2 at 7150 and then R3 at 7200 is now no longer a problem, with R1 above the zone not kicking in until 7250.
But, first things first, and that is a hold at R1, and then to recapture its new zone.
Finally, don’t forget that we are now back to an intermediary expiry, so everything gets taken down a notch, or at least it should, as overall activity is about a quarter of what we saw in September’s triple witching expiry.
Range: 6950 to 7000
Activity: Very good
Type: On balance bearish
Nb. Our comment on 09/27/21
Again, we have to harper on about the data, and if you believe the muck that is the official stuff then all we can say is more fool you.
Last Monday was all about R1 at 6950, and the official open was 6963.64, which is blatantly rubbish (we are finding it hard to be polite btw) as it was nearer 6883, which means R1 didn’t really have a chance. Or more importantly, the dynamic delta, which in this instance would have been futures buying, didn’t even have a chance to kick-in.
Then again, on the Tuesday, the official open was 6903.91, but back in the real world it was actually nearer 6945. Which again, is highly significant, as that is right on R1.
Once that had been “recaptured” then it was all going to be about the zone. The intraday high on the 21st was 7004.88 for example. Then we were again back into the realms of fantasy, with the open on the 22nd officially being 6980.98, but in fact it was nearer 7034, which puts it firmly back inside its zone.
The intraday high of 7090.48 providing the first test of its zone’s upper boundary, and by definition this also meant it was a zone bandwidth test (both ends in a day).
Normally, this means a breakout the next day, which it almost achieved, getting as high as 7131.43, but for some reason then capitulated.
This was bit of a surprise to us, as above 7100 it is only the minimal Y1, which is in fact so minimal we could easily see it becoming the next zone, so it really doesn’t carry much dynamic delta at all. If fact so little it would be hard to distinguish from normal everyday futures activity.
But, the zone itself is a safety haven, and we suspect this is what it is all about, and on twitter we have been mentioning synchronicity a lot, as the SPX also ended the week in its zone having followed a very similar path to the FTSE in its first week of the Oct expiry. Naturally “safety” also equals undecided, which is the natural place for a market to gravitate to should there be no great desire to take a side. So, this week, will be all about whether or not it wants to take a view, or just happily languish.
Range: 7000 to 7100
Activity: Very good