Obviously, the end of the March expiry was a train wreck, and because of this, the next expiry, April, just can’t adjust quickly enough.
This remains the case, as the table above shows a very unusual ratio configuration.
However, it does appear as if 5550-5650 will very probably be the next zone.
Which, if this is then the case, it is worth noting that the close on Thursday, 5815.73, would have been above it, as would have been Wednesday’s, at 5688.20.
Basically, it is just struggling to find a degree of normality, which it will just not do until the zone does actually change.
Then, and only then, can the ratios either side start adjusting into the more regular pattern.
However, if the zone does become 5550-5650, then we would expect to see R1 kick in at 5450 below it, and 5850 above it, but in the meantime, the above is what it is.
This would then still leave a 400-point Y ratio bandwidth, which would include the zone, but would give plenty of room for manoeuvre to this market.
It would be nice to see this market return to normal, not that it was acting normally prior to this, but past experience, specifically 2009 and 1987, suggest that it takes a good few months or expiries, for this to happen.
Although, this is more a London specific problem, as the US derivative markets “spin-on-a-dime” and practically adjust overnight, or at least in a matter of weeks, not months.