Nb. Our comment from the 04/13/22 (Not published)
Nb. Our comment for 04/20/22
Firstly, we have to say what a tremendous and fascinating expiry the April one was.
Basically, if you can cast your minds back to last week, on Thursday 13th it jumped 49.14-points to close at 4446.59, which essentially enabled the settlement price to come in on that Friday at 4452.07, right in our zone. So, you can probably add remarkable to that superlative list as well, as with so little ratio around at all, you are talking fine-tuning to the “n’th” degree.
Anyway, looking at the ratio alignment in the new May expiry, which is in fact two trading days old now, and it’s basically more of the same.
Albeit, with a couple of noticeable differences. The first being, that immediately after the expiry, the SPX gave up everything it gained on the Thursday.
This just cemented the fact it was going to start May below its zone, which has remained unchanged whereas April’s zone ended at 4445-4455 so, it was more of a case of exaggerating it.
The second difference is the Delta Ratio, which was 39.0% on the 18th, way below the 50% mark, which indicates an upward bias.
Otherwise, it is probably even scarier than the last expiry as the Y1 ratio bandwidth currently stands at 335-points, and the overall Y ratio bandwidth at 535-points, a colossal 12%.
At the moment the SPX is still exhibiting signs of ultra-sensitivity (vis a vis the expiry on Friday) but, if this dissipates, then we really could see some big moves. And by that we do mean a lot bigger than yesterday’s 70-points.
Also, although we do admit we are currently dealing with extremely fine margins, it is looking possible that 4445-4455 could become the next zone in May as well, which means the market is actually above it at the moment.
Range: 4295 to 4495
Type: On balance only just bearish