Every expiry is weird, especially the triples, and the SPX is not disappointing in this regard.
They seemed quite happy to ignore the rollover which now places a lot of emphasis on the actual expiry tomorrow.
This is of course unless fundamentals have assumed full control and we can find no evidence of this, and anyway in a triple that is an enormous ask, so why this index is happy to be in the R ratios at this particular juncture is a mystery to us but nevertheless it has all our alarm bells ringing.
However we should point out activity is the second highest it has been this expiry, which in itself is outstanding considering this is the rollover, so the players are still very much playing.
Range: 2485 to 2505
Activity: Average
Type: On balance bearish
This is so different that we were forced to actually check it was the rollover now and expiry on Friday as we would expect a great deal more activity than what we have.
It does match Septembers granted but as an intermediary it is about a third of the size so to achieve this level is not that difficult here as the bar is so much lower.
Also Oct is a five week expiry so normally there is no rush all of which will not change the fact that there is still an ocean of Y ratio present which could make for a very volatile start to this expiry.
Range: 2480 to 2515
Activity: Average
Type: On balance bearish
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Again it is a bit like the forgotten rollover as here in the NDX there is absolutely no clue that September is drawing to its end.
We have seen R1 and R2 above the zone slip slightly but it really is just a tiptoe across the threshold and overall nothing near to the changes we would expect to see.
Of course had the market been inside its NZ yesterday then fair enough, but being so far away then normally there would be an adjustment but it seems everyone is happy to just ride this one out, well so far at least, bizarrely or not.
Range: 5925 to 6025
Activity: Very poor
Type: Bearish
As one can see activity is acceptable but whether it is representative of the rollover is a tough call as it looks more normal to us, but this index can be very light.
There are no changes to any of the ratios but a bit of depth has been built up above the current market level.
Otherwise we are still on track for that ice rink scenario where even the smallest nudge sends everything a very long way, a frictionless market as it were.
Range: 5950 to 6225
Activity: Average
Type: On balance bullish
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The DJX is acting very similarly to the SPX in that the only way one would know the rollover is now would be by checking the calendar.
Activity here has reverted to the “only just registered” which is appalling considering where we are and so any hope of the NZ changing has gone.
Obviously there is still one more day to go but by not following through it does leave this index very vulnerable, although pragmatically the bulls are still very much in control as they have been all year and it would take a lot we suspect to reverse their views.
Range: 21600 to 22600
Activity: Very poor
Type: Not bearish
At least Oct is acting like it is the rollover, at least where activity is concerned.
However what we say above about the bulls being in control is very much the case here as you couldn’t get a more definitive type of activity.
Furthermore although the NZ has given up on its move in Sept in this expiry it has not, so 21900-22100 is looking likely as the next zone.
Perhaps worth noting is that if it does move up to this new level it will mean from the bottom of the current level, 21600, all the way up to the top of the new one, 22100, will have virtually zero ratio, at least in the beginning.
Range: 21900 to 22900
Activity: Very strong
Type: Bullish
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