SPX May to June Ratio Rollover Table 18th May 2018
Conveniently for the SPX their zone has adjusted so that this is almost the perfect expiry.
We have to say almost as the bounce off R2 (nb. The first level of R ratio the market encountered) at 2595 was spot on, with the intraday and expiry low of 2594.62.
And the finish in its zone is also spot on, but the “almost” comes from the intraday and expiry high of 2742.10 when R1 was 2750 having just moved that day from 2745.
Despite us calling it almost this is still calling the low, high and close and considering it finished the April expiry at 2670 that is 2.81% down to 2595 and then 5.78% back up to 2745 with a little icing on the cake for the finish.
8.59% in just 4 weeks is not bad, so perhaps slightly closer attention to June might be worth your while?
Type: On balance bearish
Interestingly June’s zone has stayed put, so the first decision for this index will be where it wants its zone to be, here or at 2720-2730?
However, what we said “for a triple there is still an enormous amount of Y ratio currently present” in our last note applies even more now.
There is still an incredible 135-points of Y ratio, which is enormous for any expiry but for a biggie when we expect none this is highly unusual, and furthermore historically the low R ratios are generally not pivotal and in triples it normally takes DR and above to turn moves around, so it will be an interesting 4-weeks for sure.
Range: 2705 to 2755
Type: On balance just bearish