First look at the SPX August expiry.

We would be more surprised if the SPX wasn’t this volatile.

Nb. Our comment from the 07/19/21 (Not published)


Nb. Our comment for 07/21/21


It has certainly been an exciting start to the August expiry, but regular readers should not have been at all surprised.

Although it is a shame, as back in the day, throughout the rollover week (last week) we would publish daily the expiring month on the left and the upcoming month on the right, in the table above.

This always gave more of a sense of how the upcoming front month was shaping up.

Our only moan is that the market, once it gets below its zone, doesn’t bounce off Y2 – even our step-up level was just below 4200.

Anyway, a lot of the recent fallout was courtesy of Europe, and didn’t the FTSE break out of its zone crying “freedom at last”. Although it was perhaps not the freedom many expected.

Getting back to the August SPX and only today have they brought it up to speed (adding 75 strikes no less), which just goes to show how incredibly underdeveloped it was before.

However, the first couple of days of this expiry have shaken a few awake, so activity has been good, today not so much, and overall, it’s still dismal.

This leaves the Y1 ratio bandwidth at 235-points, and the complete Y ratio bandwidth 460-points, so these moves are only to be expected.

In fact, so much so that should we not be seeing these moves it would then be more of a worry.

We suspect it is going to feel like a very long five-week expiry, as it is really the same old song that we have seen and heard for the last several expiries, with the only prospect of breaking this monotony might be the next triple coming up, September.


Range:            4305  to  4405           

Activity:          Moderate

Type:              On balance just bearish


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July 21st, 2021 by