SPX Jne expiry should be fun.

Nb. Our comment from 05/17/19 (Not published online)





Nb. Our comment on 05/21/19

In our last comment covering the May expiry we said we expected to see the zone there finish at 2845-2855, which it duly did.

The reason we mention this, is because this expiry, the June triple, is still at the old level, but this is purely due to the fact that these “biggies” just aren’t so nimble on their feet.

 So, even though it hasn’t changed, please take it for granted that the zone here should be 2845-2855.

And, although it has just been two trading days, since we last looked at the ratios there have not been many changes.

Therefore, the fact that so much Y ratio persists below the zone is not a good thing, and until the zone changes, this will retard development undoubtedly.

Also, don’t forget this is a five-week expiry.

Put these two elements together, and you will, and currently do, have, 135-points of Y ratio.

And in a triple.

To put this into perspective, normally we would not expect to see any at all.

On top of this, you should be aware that the serious R ratios below the zone, do not start until the low 2700’s, and then, they only go up to R3, an incredibly long way shy of the B level ratio we would expect to see in a triple.

Above the zone, it is slightly better, but it still only gets as high as DR ratio, so far from ideal.

So potentially a fantastic trading expiry, but for asset managers probably a worst-case scenario, as with the trading range in the Y ratio alone of 2795 all the way up to 2930, you have nigh on a 5% range.

Assuming this is one-way, as more than likely, just as in May, it will be one way, than a reverse to cover the other way, before reversing again for the finish, so easily 10%.

Get your timing wrong when you are considering this degree of percent and it will not look pretty, but for traders, it should be great fun.

Range:            2795  to  2895           

Activity:          Moderate         

Type:              On balance only just bearish            

May 21st, 2019 by