Exciting ride from Y2 to Y2 ratio for the SPX

From Y2 at 3695 all the way up to the corresponding Y2 at 4005 so, all we need now, is a finish in its zone.


Nb. Our comment from the 11/08/22


It was good timing to publish our last comment on the 1st, as that very day this market ended at 3856.10, right on its zone.

This made the next day, Wednesday the 2nd, the critical day.

Basically, the market had to choose to stay above the zone and therefore remain in bullish territory, or to relinquish its newly established beachhead.

We hope it came across that we were a bit sceptical of the rise, and saw it mainly as the market drifting upwards in absence of any ratio “traction” whatsoever.

And in keeping with our belief that this expiry will be an exciting one, the following day, Thursday 3rd, saw this index capitulate all the way down to Y2 at 3695, with the intraday low of 3698.15.

We are not convinced that the intraday low of 3708.84 was another test of Y2, as being a bit far away from 3695, we think it was more like one of those cases where it was you first.

Of course, when nobody wants to be the first to test a level again, the market often reverses short of the actual level.

Decent recovery though, but now the market is stranded in no-man’s land.

Not a bad place to be, especially when there is no ratio to speak of.

However, you now know that the market knows that the zone is at 3850 and Y2 is at 3695.

We have no idea which way it will jump next, and there have been no meaningful ratio developments to indicate a preference either way, so we can’t really help at the moment.

What we can say though, is although activity has been truly abysmal so far this expiry, in the last couple of days we have seen a small tick up. Which, if this continues and grows, means the current fence-sitting shouldn’t last much longer.


Range:            3695  to  3845           

Activity:          Poor

Type:              On balance only just bullish



Nb. Our comment for 11/15/22


It didn’t take long from our last comment before the market knew which way it wanted to “jump”.

Where the ratio is concerned, it can only offer clues as to which way and even then, nothing is guaranteed.

What the ratio does tell you, is that a) a big move is very likely, and b) the potential, or extent, of that move.

We often think that people now want to be spoon fed with everything as, to us at least, this knowledge seems inadequate nowadays.

Anyway, in our last comment we covered the bounce up off Y2 at 3695, the intraday and expiry low being 3698.15 on the 3rd November.

Last Friday and this Monday, the 11th and 14th respectively, it was the turn of the corresponding Y2 ratio, at 4005.

Those two days saw intraday highs of 4001.48 and 4008.97.

As we said on twitter, although 4005 is still Y2 today, it is so by the narrowest of margins, and anyway, another test would be strike 3.

So, from our viewpoint, we have got the expiry low, and pretty much nailed the high (although being on strike 3 and with the rollover tomorrow we would say our job was done on Friday 11th). And that makes a nice run of 310-points between 3695 and 4005, or 8.4% and, equally importantly, in just one expiry.

Getting back to the present, for us to claim a perfect expiry, all we need now is for it to either rollover or expire in its zone.

The trouble is, in this final week, this is a very fluid situation.

And partly why we took pains to point out the 4005 was on strike 3, is that we also suspect the zone will end up at 3995-4005.

So, a bit of overshoot is highly likely but, at the end of the day…or expiry if you like…we are more than happy with what the ratios have achieved in this expiry already.


Range:            3855  to  4005           

Activity:          Very poor

Type:              Bearish


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November 15th, 2022 by