Nb. Our comment for 05/16/23
What neatly encapsulates this expiry is the fact that this market closed at 4137.04 the day before we last posted, and here we are with yesterday’s close of 4136.28, a miniscule move.
OK, it has only been a few trading days, but the point remains.
Just to emphasise this, the close on the very first day of this expiry, the 24th April, was actually 4137.04…and no this is not a typo, this is really the exact same close. Furthermore, it’s not as if we have selected dates to fit, as today is our normal posting date for the SPX, and we can hardly fudge the first date of the expiry either.
In a way this has been a fortunate turn of events as, way back at the very start of this expiry, the Y ratio bandwidth stretched from 3945 all the way up to 4270. So, it could very easily have been a very volatile expiry indeed.
As it happened, all we got was a test of Y2 at 4180 on the 1st May (intraday and expiry high of 4186.92) before it fell back to meet the rising zone. Which was what last week was pretty much all about, especially the last three days.
Of course, this week it is all about the rollover and expiry, but really all the hard work has been done, or at least in our book it has. To explain a bit further, the Y1 ratio bandwidth alone goes from 3995 up to 4205, which is a bit odd to be fair, but means there is no, or virtually no, pressure on this rollover and expiry as long as it stays within these parameters. In reality, only the rollover is fine, so it just needs today and tomorrow to be boring and its job done.
More importantly, looking ahead to June and, it being a triple and therefore significantly larger, can be and normally does exert influence from early on.
Interestingly the zone in June is still at 3995-4005, which will be an overhanging risk to the May expiry, unless it does change and move up.
Where, at first glance, 4145-4155 looks to be the front-runner, which is actually higher than May’s. However, with so much more ratio about, and therefore by definition, so much more dynamic delta, we very much doubt this “relaxed” environment will be able to continue for very much longer. No bad thing we think either.
Range: 4105 to 4205
Activity: Very poor
Nb. Our comment from the 05/11/23
Apologies for not posting sooner in respect of the SPX but, in truth, very little has actually happened since we last commented.
What has changed, is that the zone has eventually moved up, which happened the other day, the 9th May.
So, this has been a very long time in the making, which has been rather boring in all honesty.
In the meantime, the index has been “pinging” about so, all in all, it has been acting totally normally under these conditions.
The only aspect you may have missed, is that back on 1st May the intraday high was 4186.92, which was a very solid test of Y2 ratio, then standing at 4180.
This is also, so far at least, the expiry high.
However, the zone may have moved, but as this has just been inside the overall Y1 ratio bandwidth and, as it was so well flagged in advance, this is hardly a game-changer.
What it has done, is level out the ratios on either side, so one could say it is now a far more balanced overall ratio alignment.
Or more graphically, there is now 100-points of Y1 ratio either side of the zone. The depth of the Y2 bandwidth is still skewed in favour of the bulls…as in, there is far more of it above the zone than below it.
Although, at the end of the day, with over 200-points of Y1 ratio bandwidth to play around in this index has so much scope this extra distance to R1 will not exert any great influence as things stand with the market where it is currently.
The only surprise, to us at least, is why we aren’t seeing 100-point daily moves?
Range: 4105 to 4205
Type: On balance just not bullish