SPX , NDX & DJX Ratio Table 11th September 2018
It has certainly been a while since we last commented on the SPX, back on the 30th August no less, and in truth this index has been very disappointing.
We loved the aggression it was showing back at the end of August, taking on and making serious inroads into R2, and totally befitting a triple witching expiry.
Exactly what level of dynamic delta that causes any index to question its direction is always different, but just from the way it was struggling made it apparent that it was uncomfortable having to absorb all those futures.
But, at the end of the day, that’s what it is all about, so no complaints from us in this respect.
Where it gets very disappointing is that it has just stalled, and we can appreciate it, as it has happened so many times before, as the market doesn’t retrench very far because it expects to be met by a rising zone.
Of course, as you can see from the above table, the zone is static, which has confused the poor old market.
This means there is a risk of it remaining where it is, and therefore a bearish millstone for the market to wear around its neck.
However, one little twitch might be all it needs, and a very serious point is that it is the rollover next week, so calm before the storm and all that, and if it does get as excitable as the European markets then 2845-2855 for the zone is very likely, as is 2895-2905 now, which would be a massive game-changer.
No disguising the risk, the Y ratio bandwidth now stretches for over 100-points above the current zone alone, but also it wouldn’t take much to see this index get back to mixing it with the high R ratios.
Range: 2805 to 2905
Type: On balance only just bearish
The NDX is certainly in a funny mood, and its aggressiveness has seemed to dissipate, and it has done exactly what we would expect, as when the emotion subsides the dynamic delta remains.
Of course, you can see a dramatic change in the ratios, but if not then eventually taking on R2 every step of the way, which is what it was doing, will eventually take its toll.
No denying, it has certainly made for an exciting market, and it is perhaps worth remembering that it closed on the first day of this expiry at 7371.42, down 6.13-points, and so far, it has been as high as 7691.10.
In respect of the ratios 7625 or 7650 seem to be the common R2 denominator, so it has taken on and beaten that, so it’s pretty much open season from here on in and fundamentals are still proving to be very influential still, so it is bit of a party out there at the moment.
They continue to still add strikes, so derivatives are still in the mix, but activity suggests they may not be the dominant force at present.
Range: 7325 to 7525
Type: On balance bearish
Basically, we could copy and paste everything we have said for the SPX and apply it to the DJX here, of course the numbers would be different though.
The other main difference is that the ratios here have also changed below the zone, with Y2 being replaced by R1.
Also, we do calculate the ratios but do not publish them every time, so Y2 above the zone moving to 26600 is also a change since we last published.
Nevertheless, here it was all about Y2 at 26100 when we last commented, and this index as well had/has the potential to drop back to its current zone, but hasn’t.
Partially, we suspect, is because it expects it to move up to 25900-26100.
In fact, it could also widen, so 25800-26100 is a distinct possibility.
All very knife-edge stuff as with a static zone the risk over the rollover is big, but just another small twitch and the bulls could easily take charge again, so all in all we don’t believe it will be a quiet and calm rollover, hopefully at least.
Range: 25100 to 26600
Type: On balance only just bullish