SPX just knock, knock knocking on the R ratio door.

Nb. Our comment from 11/08/19


Exactly as we said back on the 5thand they could just continue knocking on a retreating R2 ratio door for sure”.

The intraday high on the 5th, when R2 was at 3080, was 3083.95.

On the 6th it was 3078.34.

Yesterday, when R2 had moved to 3095, the intraday high was 3097.77.

And, as you can see in the table above, today it is at 3100.

However, there are two huge facts you now need to bear in mind.

Firstly, it is the rollover next week and the zone remains stubbornly at 2995-3005.

Secondly, R1 has slipped to 3075, so a close anywhere below that, and this index is back into the Y ratios.

Of course, the ratios retreating above the zone and building below it are bullish, but one also has to be aware of the rate of change of these ratios.

And above the zone they are retreating, but hardly rapidly.

Whereas, below the zone, R1 climbing to 2935, is hardly going to excite anyone.

Scalp away on the pullbacks from the retreating R2 for sure, but, and again, just as we said back on the 5ththat if it really gets a fright, the corresponding R ratios are now 180-points away”, although admittedly the gap is “only” now 150-points, but that is to R1, to R2 it is actually 190-points.

This expiry is very far from over.


Range:            3075  to  3100

Activity:          Moderate

Type:              On balance bearish




Nb. Our comment on 11/14/19


Luckily for the SPX it never got its scare, so it just kept on knocking at that retreating R ratio door.

Made for a particularly tedious market, as on Monday 4th November it closed at 3078.27, so in virtually two weeks it has gone nowhere.

Mind you, the bulls would argue, that is a lot better than going back below 3000, which was a very real threat.

Although, a while back, we did mention the “Thanksgiving effect” and it is absolutely amazing how often the US indices hit new highs at this very time of year, magically all those aspects that people like to think drive markets, such as economics, results, technical and all that “fundamental” stuff combine at this exact point in time year after year, truly a wonder of Christmas.

Back in the real world, this rollover and expiry is definitely one for equities, and all-in-all derivatives have been bit of a no show.

Of course, they have played their part, the intraday high of 3102.61 on Tuesday, when R2 was at 3105, being the perfect case in point.

In the end, although granted it doesn’t appear in the table above, it is the derivatives that have given way, and the zone will move to 3070-3080, such has been the rate of change.

Whether that will impact come Friday, we doubt it, as for us, this lethargic derivative market, seems more than happy to see this index end Nov in Y ratios.

Don’t forget, December is the biggest of the big expiries, so everything just gets ratcheted up very considerably.


Range:            3005  to  3105          

Activity:          Moderate       

Type:              On balance definitely bearish

November 14th, 2019 by