Nb. Our comment from the 07/17/20 (August expiry not published)
Nb. Our comment on 07/20/20
It is always a difficult transition when we go from one intermediary expiry to another, as the volumes are just not there.
To try and put just a little bit of perspective on it, we are about 20% below where the July expiry was at this same stage, and if you compare August to the last triple, June, then the current expiry is about an eighth of the size.
These are therefore big numbers of underlying open interest we are talking about, that directly translate into the corresponding lack of equity business as a result.
Therefore, to compensate, we quite often see a big increase in sensitivity, again, directly attributable to the lack of activity.
The enormous problem with this though, is when the market suddenly stops being sensitive to Y2, normally due to a big, or impactful, news story, and reverts to the more normal mid R ratios, as these are now a long way away.
August is just such a case, as the distance between the R1 ratios, normally referred to as the Y ratio bandwidth, is 500-points, or 8%.
At least we are in a 5-week expiry, so it has plenty of time, and being just 60-points below Y2, we may well find out quite soon whether or not, it will retain its current degree of sensitivity.
Also, August is generally a quiet month, but as it has been such a strange year already, we are not going to assume that anything will be as it has been.
Range: 6250 to 6450
Activity: Very good