SPX already battling R1

Nb. Our comment from 06/25/19


It will be interesting to see if the July expiry will carry the same aggression as June’s did.

On which subject, we did get R2 ratio all the way up to the corresponding R2 ratio, with the intraday high of 2958.06 on Thursday, so that made it a perfectly balanced expiry.

Sadly, the only aspect missing was the finish in its zone.

Looking forward, into July, then a quick comparison between the two tables above will tell you that the ratio below the zone has come in considerably, whereas above it, this has been far more tentative.

This is backed up by, not only the high level of activity, but also by its type.

So, the only real question that remains is how aggressive the bulls will be able to be now it’s a new trip.

Historically, if the triple can only get up to R2, then an intermediate expiry should struggle with even R1.

Rather oddly, and against most other market commentators, we see these markets as behaving perfectly rationally.

In fact, were the index not to travel the length of their Y ratio bandwidth, then we would find this weird, no matter how wide it is.

In fact, in a triple, it is very rare that you even get a 20-point Y ratio bandwidth, let alone the 150-points we saw in June.

However, in intermediates, then such wide bandwidths are far more common.

Furthermore, coming up against the naturally occurring dynamic delta occasioned by hitting R2 and reversing, is, again, perfectly rational.

Pushing through, to DR or even the B ratios, is when the market is irrational, as it would be ignoring all that futures activity in the opposite direction.

To put all this into plain English, then for this expiry, we would fully expect a trading range of 2970 all the way down to 2795.

Hopefully, then back up to finish in the zone by the 17th July.

The great unknown, is whether it will take R1, R2 or perhaps even higher.

But, at the end of the day, you at least know where those levels are currently.


Range:             2905  to  2955 / 2970

Activity:            Strong   

Type:                On balance bearish



Nb. Our comment on 07/03/19


Well, the “great unknown” has been answered as the intraday high here was 2977.93.

Back on the 25th June R1 was standing at 2970, and today it is 2980, so on Monday the 1st it was probably about half way between the two.

Therefore, we see that as a test of R1, not a breach.

Otherwise, it is looking good, as the zone looks set to move up to 2920-2930, obviously the ratio above the zone are moving out (hence the R1 drift), and as you can see in the table above, they coming in below the zone.

All three are bullish signs.

So, the only problem, is are the bulls that committed that they will buy all those futures forced onto the market through the dynamic delta at R1?

And, now R2 is back to 3005, it is less than 1% above R1, so two hurdles very close together.

The cynics might say, yet another record high on the 4th July, and it happens more often than not, so it’s a tough one to judge, as historically, when so many are away from their desks, it can get a little out of kilter.

But, R2 was enough to stop the triple witching June expiry, both as support and as resistance, so we have to say it should prove too much for July.

And, despite the ratios coming in below the zone, the R ratios down there don’t even start until you hit 2820, and that’s a very long way away indeed.


Range:             2905  to  2980           

Activity:            Moderate       

Type:                On balance only just bearish

July 6th, 2019 by