Nb. Our comment from the 02/19/21 (Not published)

Nb. Our comment for 02/23/21

To be fair you have to be going some to have an exciting a start to the mighty March expiry that London has.

So, despite it being slightly sedate here in the SPX, do not lose sight of the fact this is a 4-week triple (the US like to call them quadruple, but whatever) expiry, and as such everything tends to go up several notches.

Our one reservation is that there are oodles of Y ratio still around here, which is again amazing, but especially so for a triple, but which might just keep the sensitivity down towards the levels we have been seeing recently in this index.

The best way to explain this is simply look at the FTSE, which spent ages yesterday morning touching the top boundary of its zone, or the bottom of its R2 bandwidth, before recovering, and then today try ever so manfully to break up into DR at 6650, before getting such a bloody nose it immediately dropped 120-points.

The point being, is that this index is already messing with R2 and trying it on with DR, and so in 3-weeks times its sensitivity will have adjusted, simple as.

Whereas here, in the SPX, it has a Y1 ratio bandwidth that is 160-points wide, and a Y2 ratio bandwidth (obviously inclusive of Y1) that is 360-points wide.

Back in the day, well in the last decade really, it was a surprise to see any Y ratio at all in a triple.

And the fact we are now a year on from the fallout, means that adjustment excuse is wearing paper-thin right now.

The ratio table above shows that there is more ratio below than above, but importantly do take note of the respective distances away from the market each ratio level actually is, and of course, as yet we have no idea of the level of sensitivity.

But, with so much Y ratio just expect volatility, whipsaw and solid percent moves.

Range:            3805  to  3955           

Activity:          Moderate

Type:              On balance only just bullish