First look at the SPX Oct expiry ratios

The SPX starts the Oct intermediary expiry with few, if any, positive signs.


Nb. Our comment from the September Expiry


Apologies we didn’t get the chance to publish one last comment in the expiry week.

Regardless of this though, you should have all had a decent experience as our “serious Ratio level for the SPX”, namely 3895, did indeed prove to be the turning point of the entire expiry.

Well, at least until the final couple of days. Which by then the entire ratio picture had changed anyway, as is the norm with these things.

But, in-between, the market bounced from R2 at 3895 all the way back up to 4119.28, a very impressive 224.28-points, which made our expiry, so the final few days were not that significant to us really.

For the record, the settlement price was 3871.24, but 3895 had slipped from R2 to R1. With R2 finishing at 3845.

The zone was still at 4000, so although the sharp fall in the ratios eased the pain, the end result was not that good for derivatives.

At the end it was just Y2 ratio from the zone down to 3895, so not enormously painful, but still enough to smart.



 Nb. Our comment for 09/20/2022


And before you know it, here we are in the October expiry.

Which means we have returned to the intermediary ones, and not only that, but this is a five-week expiry as well.

This can sometimes mean the first week can be a slow-burner, however from the overall level of activity, as well as the daily one, this does not appear to be the case this time.

Reinforcing this, is the change we have seen in the ratios so far this expiry already.

Below the zone, we have seen the appearance of Y1, while at the same time, both R1 and R2 have seen significant dips.

However, the big changes have come above the zone, where in the space of just a few trading days, all the ratios have come in significantly. To the tune of a 100-points, or more.

Admittedly, the zone is unchanged but, the way the ratios are developing, is very bearish.

Of course, October is but two days old, so one shouldn’t jump to conclusions.

On top of which, from R1 to R1, it is now 3795 up to 4205, a whopping 410-points. Not as bad as we have seen, but a widening from September.

Which in itself is not good, as the Y ratio bandwidth has been ridiculously wide for far too long now, and to see the narrowing in Sept now reversed is simply not good.

Unless you are a vol trader that is, as such a wide trading range is certainly not going to hurt your cause any.

For the rest of us, the bearish movement in the ratios is what it is. All it really needs is the confirmation of a move down in the zone.

Or, for the market to break back up over it, and therefore back into bullish territory, which they singularly failed to hold onto in the last expiry, so that’s not a good sign either. All told, not an auspicious start really.


Range:            3795  to  3995           

Activity:          Average

Type:              On balance only just bullish

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September 20th, 2022 by