Head’s up, the 2nd triple for the SPX is upon us.



Nb. Our comment from the 05/13/20


We did not publish a comment on the June expiry, only on the May one.

Which, for the record, settled at 2827.52, and, in the end, our zone had moved back down to 2845-2855.

Although, and as we said at the time, anywhere in the Y ratios would be fine.

And as it happened, the zone, which is zero, or no ratio at all, had gone from 2795-2805, up to 2895-2905, and then back down 2845-2855.

So, with the market finishing amid the range the zone was fluctuating in, which it couldn’t do unless the ratio levels were minimal, it better than we ever would have hoped to achieve at the start of this expiry.




Nb. Our comment for 05/19/20


We don’t think it is coincidence either, that as the June expiry zone remained throughout at 2795-2805, that the expiring May was pulled down back towards this level.

So, what about June, and, more importantly, what to expect.

Firstly, we have discounted Monday’s move, as we see this as just the direct result of June forcing the May expiry back down towards 2800’s, when it really wanted to be around the 2900’s.

Once this works its way out of the system, then there are a couple of formalities to point out.

One is that this is the second triple of 2020, and therefore prone to big moves.

Second, this is a five-week expiry, so a lot longer than usual.

Now, this is out of the way, looking at the overall level of ratio it is appalling, dire even, and especially so for a triple.

And, it’s far more than just a lack thereof, as it is the dispersal as much as anything, as there is hardly any increase going on as one moves away from the zone, in either direction.

For a triple, we should be seeing at least one, sometimes two, levels of B ratio.

However, what is more normal, is the lack of Y ratio below the zone, which used to be quite common in a triple.

However, this can’t be said for above the zone, where there is just over 200-points.

No prizes for guessing the path of least resistance for this market.

But, as triples used to, quite normally, travel between the high R, DR or even the B ratios, over the course of an expiry, there is really nothing here that should give it any undue cause for concern if it put its mind to it.

Basically, about 400-points either side of the zone should cover it, and whether or not your bullish or bearish, we personally don’t think this degree of potential range over a five-week period is a good thing.

Perhaps fundamental analysis will clear everything up, but we are not holding our breathe.


Range:            2805  to  3005         

Activity:          Poor 

Type:              Neutral

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May 19th, 2020 by