Has the SPX’s zone bottomed out?

Has the SPX's zone bottomed out?


Nb. Our comment from the 03/02/22


The very reason we include our previous comment (above) is for easy reference and continuity. Therefore, following directly on from the test of R1 then at 4295 on the 22nd Feb we saw the market the very next day blast straight past that to R2, then at 4220, with the intraday low of 4221.51.

There is no denying that these were very nervous times so, for the ratios to have any affect at all, was very remarkable.

The day of the invasion the intraday low was 4114.65, just (again) twenty odd points above R3, but with the spike in the vega and the alacrity of the fall a bit of pre-emption was always very likely.

On the 25th Feb the zone moved down to 4395-4405, which is roughly where the market gravitated to but, very noticeably, it never tested the bottom boundary at 4395.

Yesterday, the 1st March, we saw the intraday low of 4279.54, when Y2 was at 4295.

And as we said last time “that it will respond to the dynamic delta is a good sign, as irrational fear (or greed) is never good” but as a triple expiry coupled with the fact there was so much Y ratio around it was always going to be extremely volatile even without the added issues of the invasion, so the fact that the ratios are even an influence can only be a good sign.

However, that’s pretty much where the good signs end, as the zone will almost definitely move down to 4295-4305, making the third downwards move in this expiry already.

Well, perhaps there maybe one more good sign, as if the zone does move down AND the market stays above 4305 then, by default, this market will find itself in bullish territory, and it has been a while since we have last seen that.

For the record the Y1 ratio bandwidth has shrunk from 260 to 210-points, and the overall Y ratio bandwidth from 435 to 360, so still ridiculously wide, meaning that even under normal conditions we would expect a trading range of at least 5% this expiry and yet, here we are, seven days in and the market literally hasn’t moved, albeit in a very exciting way.


Range:            4295  to  4395           

Activity:          Moderate

Type:              On balance decently bullish



Nb. Our comment for 03/08/22


Well, we obviously got our move down in the zone, but it was not so cut and dried as we believed back on the 2nd.

Essentially, we saw some strength come into the ratios, so we didn’t actually see the move down until yesterday, the 7th.

This was a bit of a surprise, especially under the circumstance, but considering the intraday low last Friday 4th was 4284.98 (Y2 was 4295) and the close was 4328.87 meant that despite the bounce off this minor ratio level, without the zone actually moving down, it resulted in the fact it was still in bear territory.

This was a shame, as it sort of scuppered our hope of the market getting back into bullish territory.

Of course, on Monday when it did move down, the market did as well.

Although, it is not all bad news, as the ratios continue to show signs of strength below the zone.

And, in fact, there is no longer any Y1 below the new zone…and don’t forget last week this index bounced off Y2 not once but twice. However, considering what is happening in the world, we suspect this is not really something to depend upon.

But it is nevertheless a good sign (please see previous comments), as is the fact that the ratios here have strengthened enough for the Y1 ratio bandwidth to shrink to 160, although overall it remains at 360-points.

Here, we would like to point out our comments on the FTSE as they are just as true here, albeit the SPX is behaving, so far at least, far more rationally than we would ever have imagined.

So, at the end of the day, the SPX is now in the R1 ratio bandwidth, with R2 now a relatively short distance away, so this market will experience some dynamic delta futures buying for certain. What they make of it is an entirely different matter, but the recent precedent is at least promising.


Range:            4165  to  4245           

Activity:          Moderate

Type:              Neutral

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March 8th, 2022 by