Expiry rally in the SPX or are the bulls actually back?

A very early test looms for the SPX in the Nov expiry


Nb. Our comment from the 10/15/21 (Not published)


Nb. Our comment for 10/19/21


Although we are now in the November expiry, we just can’t not mention the end of October’s, as in our last comment the market had just closed at 4361.19 and our zone was stubbornly still at 4445-4455, and come the expiry the settlement price was 4463.66, which is definitely a bit hit in our books.

Nevertheless, this is still very pertinent for this expiry, as markets still being slaves to misdiagnosing the derivative influence, means that there is more than likely a bit of latent momentum remaining.

Which is essentially what we subscribe yesterday’s move to.

However today, there are more than likely to encounter Y2 at 4505 above the zone, and it is this reaction which will tell us what we need to know.

Namely being whether the recent rally was indeed all down to the expiry, or that the bulls are back in town, committed and in control.

Obviously, you know what we think, but best to spell it out.

Don’t forget this is still an intermediary expiry, and it is a five-week one, which may go some way to explaining why it is developing so slowly.

For the record the Y1 ratio bandwidth is 210-points and the overall Y ratio bandwidth 410-points, so actually wider (worse?) than last trip.

It has been a long time since this market faced dynamic delta of the variety that means futures selling, in fact it never got past just testing its zones upper boundary in the first week of the last expiry, so how the market reacts if/when it tests Y2 will define the rest of this week and very probably the next we suspect.

Whatever the outcome, it is definitely a good way to start a new expiry as at the very least it gets people engaged.


Range:            4445  to  4505           

Activity:          Average

Type:              On balance only just bearish


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October 19th, 2021 by