Nb. Our comment from the 10/13/21 (Not published)
Nb. Our comment on 10/18/21
And October certainly did “boil over” but as the market had been zone-bound for so long they certainly had the meat out of the sandwich.
And anyway, the EDSP of roughly where it closed was still in the Y ratios, and but 80-points above the top of its zone.
But at least it eventually made full use of all that Y ratio as it made a new all-time-high on Friday, but boy does it not like to make a meal out of it all.
Sadly, this door has now been firmly slammed shut in its face, as all but a little bit of Y ratio has disappeared above the zone.
Below it, it has gone altogether, which is a win for the bulls at least.
However, as a quick glance at the above table will tell you, the market is going to start the 5-week long November expiry already in R1 ratio, which no doubt will be a somewhat rude awakening.
But R2 is directly ahead, and then just 50-points above that R3 is lurking in ambush.
These are not impossible levels of hedge ratio, but when one considers that the market has been used to only seeing the level of futures selling generated by the minimal Y ratios, R2 and R3 are going to take some getting used to.
Also, please don’t forget that this is still an intermediary expiry, so sensitivity should also be heightened, although overall activity is very good considering.
The market might still be emboldened by Octobers bounce off R1, and the SPX may have some input here, but, for the moment at least, we can only see London skulking back to its zone.
Range: 7200 to 7250
Type: On balance only just bearish