It has been a long time since the SPX tested Y2 this side of its zone.

Starting the Oct expiry below its zone was bit of a shock for the SPX it seems.


Nb. Our comment from the 09/16/21 (Not published)


Nb. Our comment for 09/21/21


The important aspect is that anyone who has read our comments over the last few expiries should have been in no doubt whatsoever about this potential pullback.

The only shame is that we still don’t publish the ending expiry ratio table next to the forthcoming expiry ratio table in the rollover week, as then you would have also known about which levels to watch out for.

Interestingly the zone in October has been very solid where it is, despite September’s jump to 4500. We say “interestingly” as just like the FTSE, where this index closed last Friday was below it, and therefore in bear territory.

However, the really critical level yesterday, was Y2 at 4340, as had you known that it was there you would have picked up on the support it gave this index for at least half an hour, before capitulating. The fact the market then went a further 35-points below it, had us looking at R1 as the next level but, and this was probably more to do with the DJX, it recovered. Also, on the very first day of an expiry, especially when markets are challenging virgin territory, the actual ratio levels can be somewhat formative, and as you can see in the above table, last Thursday Y2 was actually 4295. For the record, yesterdays intraday low was 4305.91.

Perhaps more significant for today, was yesterdays close, which was back above Y2.

Possibly most important of all, it has seemingly galvanised everyone as we have now had two consecutive days of “strong” activity here, on what was otherwise shaping up to be yet another expiry when the market was stuck in automatic.

The end result of this has been the Y1 ratio bandwidth only being 190-points, and the overall Y ratio bandwidth just 345-points. Of course, these are still stupidly wide, but both are considerably less wide than they have been, and furthermore, at least so far, have reversed the trend of them actually growing wider.

Also, it has certainly kick-started this intermediary expiry into life early on, which will hopefully continue.


Range:            4340  to  4445           

Activity:          Strong

Type:              Neutral


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September 21st, 2021 by