Nb. Our comment for 19/04/24
So, here we are at the expiry of the SPX April expiry and just a week ago who would have thought we would be anywhere near the zone.
Actually, on rollover Wednesday when this index hit its intraday low of 5007.25, just 2.25-points above the zones’ upper boundary, we were more than happy with that.
So, today is just the icing on the cake.
To put this in perspective, the market for the rollover and expiry have been within a few points of its very narrow zone and, that is after, it has dropped from 5265, a whopping 5% drop.
So, to get within just a few points is exceptional.
To be fair, it could easily have gone the other way, and it is perhaps interesting to reread what we said way back on the 9th and interpret that with the value of hindsight.
Perhaps, the most significant aspect of all this is not so much where this index has ended this expiry, but rather the manner in which it has.
The point is that, and this is true for the FTSE100 as well, that this retrenchment has been very controlled and calm, despite the magnitude of it.
Coincidence or not, it is worth considering the fact that both the FTSE100 and SPX have ended up this expiry in or around their respective zones, and that is after both had been tangling with their respective R ratios.
We have always maintained, that every expiry the market, or more pertinently, the Fourth Estate attribute the move to, either geopolitical, interest rate/economic or technical reasons.
The point being, is that every market ignores the fact that this is a natural outcome of the derivative influence.
Finally, perhaps we should actually be grateful, as if panic or fear had been the dominant factor, then an orderly expiry around the zone would not have been even remotely possible.
Range: 5005 to 5255
Activity: Moderate
Type: On balance just bullish
www.hedgeratioanalysis.com
Nb. Our comment from the 09/04/24
It has been two trading days since our last comment, but sadly the picture isn’t that much clearer.
Friday saw the market recapture all that it had lost on the Thursday, adding weight to our expectation of whipsaw and volatility now the SPX is in the midst of a very wide Y ratio bandwidth.
Then yesterday, Monday, saw it stagnate. The entire trading range was just 23-points.
And in just two trading days we have seen the ratios below the zone slip back and recover.
Whereas, above the zone, they have pretty much consistently given up ground.
To us this means the bulls are still there, but not as active as before.
The key is going to be the zone, and everything we have seen so far this expiry says to us it is going to move up…so it really is just a question of to where?
Naturally, its never as simple as that, as please don’t lose sight of the fact that the Y ratio bandwidth currently goes from 4970 all the way up to 5305.
That is 335-points of absolutely minimal ratio, so the market could easily move anywhere within this bandwidth.
However, based on those very small margins, at the moment it is still looking good for the bulls.
Sometimes though, it can be prudent to ask oneself why there is so much Y ratio about. The only answer is that when uncertain less money is put down on the table and, with less participation, less ratio.
So, from what little there is, it is looking bullish, but there is precious little support under this market. Why we are not seeing 100 plus point moves a day is the real surprise, and if we start seeing those, then we could see a bit of momentum build.
Range: 5005 to 5305
Activity: Poor
Type: On balance bearish
www.hedgeratioanalysis.com
