SPX , NDX and DJX today’s Rollover ratio levels and comment


There is the move up in the SPX’s NZ to 2545-2555 and actually going one better than November’s.

It was on the cards and very much helped by the continuing decent levels of activity.

Although, having said that there is no doubt that it is the derivatives capitulating to equities.

This in itself is no bad thing, the trouble starts when neither wants to give way and then it will prove expensive to someone or another.

Will they make it back to this new zone today we would like to think so, but no disguising who the boss is now.


Range:            2555  to  2575

Activity:          Moderate

Type:               On balance bearish



We very much doubt that November will not match October’s move in its NZ, and the sooner the better as we see Y2 slip here.

Going in the opposite direction is R2 which actually just goes to highlight that this is as high as the ratios go, so far at least.

Even in October it only just went as high as R3 and this has been the case for a while now so equities may be in charge but they are certainly in a world of their own.


Range:           2530  to  2585

Activity:         Very good

Type:              On balance only just bearish


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The NDX is on bit of a loop at the moment with the last few days following a similar pattern.

Yesterday the open was 6111.32 which was actually within the Y1 ratio bandwidth but we have been talking about the range being a multiple of 25 based on the open.

This would therefore put yesterday’s range as 6000 to 6025 (coincidentally also Y2) and the low was 6103.66 and the high 6122.82.

So, it is still in there batting when in fact it should be reacting to its zone.


Range:            6025  to  6125 

Activity:          Moderate

Type:              Bearish



Again, no changes to the ratios in November which would not be so much of an issue if it was densely populated.

However, as you can see from the table, there is basically nothing there so even a very little would go a long way, so in fact this week has been almost a case of “only just registered” in respect of activity.

In fact, there is so little ratio just below the zone it really should be the case of it being 5950-6025.


Range:            6025  to  6275                    

Activity:          Moderate

Type:              Neutral


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There is very little we can add to what we said yesterday in the DJX and equities are off to the races.

It remains of course a highly dangerous situation but one that they have been in and forced through many times already this year, and does answer our question of last week whether or not this index was going to return to normal, and glaringly obvious it is not.

If there is any semblance of sanity left then it should at least act like the NDX when it is in a ratio level it is uncomfortable with, and depending on the open the range here should be a multiple of 100 though, not 25.


Range:            22900  to      

Activity:          Good

Type:               Bearish



Everybody is still concentrating on October it seems as her in November we have the first zero activity by our measure.

Of course, today being the actual rollover, this is rather unusual and possibly understandable if it was becalmed, which it evidently isn’t, so it seems nobody wants to take part.


Range:           22900  to 

Activity:         Did not register

Type:              N/A


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October 18th, 2017 by