SPX Jan expiry very thin indeed.

Nb. Our comment from 12/18/19 (Not published)


Nb. Our comment on 12/27/19


It is always tricky at this time of year, what with half days and Europe being closed for 2 days but the US for only one.

So, thin markets, which are vulnerable to the Santa rally, or what we refer to as the “Bonus Rally”, but there are aspects already apparent for the Jan expiry, now just a few days old.

The first is how very thin it is, with the highest level of ratio being just R3.

Secondly, how much Y ratio there is around.

Thirdly, where the market is currently in relation to the ratio and zone levels.

However, comparing the 18th to the 27th (right to left in the above table) it is plainly obvious the ratios are building below the zone, and retreating above it, both bullish.

As is the fact the zone should soon start moving upwards.

In opposition, is the fact the index is already in the R2 ratio bandwidth with only R3 above, just over 1% away.

What should be a sobering thought, is that the corresponding R ratios do not even start until 3045, an impressive 200-points away.

It may not get a scare, and like Dec, just keep knocking on that ratio door until it gives way, but you should at least be aware that should the bulls commitment waver there is next to nothing below this market to give it any support, which gets our alarm bells ringing at least.


Range:            3230  to  3280          

Activity:          Average      

Type:              Bearish

December 27th, 2019 by