Significant SPX Ratio changes.

Significant Ratio changes in the SPX


Nb. Our comment from the 08/04/20


Look, it may feel exciting, but really the SPX hasn’t shown its real colours yet.

Basically, it is hardly an achievement to move ahead, or in either direction in fact, while you are in the middle of the absolute minimal Y1 ratio.

It was very possibly the very first time this index has even challenged Y2 yesterday, and this expiry in now into its third week. NB. Intraday high was 3302.73.

This is hardly aggressive stuff, in reality, the fact it has only been moving 30 to 50-points a day, under these conditions, it is actually rather pathetic.

The lack of interest aside, the other aspects are all rather bullish.

The zone has moved up to where it was expected to, and, more to the point, it doesn’t look like it wants to stop, with 3320-3330 and 3345-3355 both on the cards now.

Also, below the zone the ratios are rising, and above it, they continue to fall.

The problem is that this is all happening by default, as the lack of involvement is acutely apparent, which means it could turn in the blink of an eye, especially as there is no commitment behind it at all.

Therefore, the problem remains, the Y ratio bandwidth is still 410-points wide.

OK, so that has narrowed slightly, but not by much, as it is as if this bandwidth is moving up as a block, rather than be pressured by the ratios below rising far faster than those above are falling.

Considering it hardly takes anything to shift Y1, and the fact that this bandwidth is so wide, these levels are so far away from where the market is, it really is a grave concern this total lack of activity.

With Y2 now just above, and R1 not that much further on, we should see soon enough if there is any depth at all to this move, but evidence so far suggests not.


Range:            3205  to  3345         

Activity:          Moderate 

Type:              On balance bearish


Nb. Our comment for 08/07/20


The table above doesn’t necessarily reveal the entire story, so it is well worth actually reading this, especially if you are a trader.

For those of you who are trading, then you will know exactly to what we refer, as on Monday the intraday high was 3302.73. Not even mentioning the FTSE and 5850.

Then, on Tuesday, the epic battle this market had with Y2 at 3305 was magical to behold, assuming that is, you knew where Y2, and the inevitable dynamic delta hedging, stood.

We use the word “magical”, as that is exactly what was needed, as in literally the last seconds of trading, to get the market across the line.

It doesn’t matter how it does it, but it’s the end result that counts.

For those who have been readers for a while, will be familiar with the more usual method employed, the “quarterback sneak”.

Obviously, once across, in what we would term, the cowardly manner (least expensive also), it meant the next level was R1.

In our last note, this was at 3345, and apologies if you traded on that yesterday, although the drawdown would have been 6-points, it might still work, as this level moved to 3355 the very next day, Wednesday 5th August.

Which just goes to highlight a very important point, in that these ratios evolve, especially as they are trade driven, so we should publish daily, but as we don’t, at least you should be aware of this issue.

This couldn’t be more pertinent to what is happening below the zone, as, on the table above, it looks like the ratios are simply continuing their steady climb, but yesterday, well from Wednesday actually, Y2 was 3045 and R2 2870.

So, in fact, they have fallen slightly.

Now, this is far too early to call it a trend, but it is significant nonetheless.

Anyway, it is all down to R1 now, and as they say, the proof is in the pudding (or dynamic delta for us).


Range:            3205  to  3355          

Activity:          Poor 

Type:              Bullish


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August 7th, 2020 by