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


Monday in the SPX was the opposite of Friday as yesterday it opened at 2576.53 down 5.77-points, but more importantly in the middle of its zone.

The opposite part is that it spent almost all but the first hour just above its zone.

With no shenanigans from the DJX, so far, at least, this rollover, it looks perfectly placed with just a day to go now.

The collapse in activity suggests that it is game over as well.

However, the good news is that if we get a proper, or compliant, rollover then this gives the green light to the grey area, or Thursday and Friday, to go wild.


Range:            2570  to  2580        or           2580  to  2605

Activity:          Poor

Type:               On balance bearish



In the December SPX at the moment it is all about if or when will the NZ move.

The lack of activity here won’t help either but from tomorrow we would expect that to change.

In the meantime, until it does it just stunts development in what is shaping up to be very similar to the current expiry, just with bigger numbers.

Although the ratio distribution may be similar but the market reaction needs not be.


Range:           2555  to  2580        or        2580  to  2605

Activity:         Very poor

Type:              On balance bearish



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To be honest this could be said about all three not just the NDX but being anywhere near its NZ with just a day to go to the rollover is a very good effort.

As we have seen there has been so little ratio above the zone and what there was has been getting depleted throughout so it had every opportunity to cut loose.

Not that it didn’t as it is still up about 200-points this expiry, but more to the point it has had its rise and is looking to comply with the rollover, and that is neat.


Range:            6275  to  6400

Activity:          Good

Type:              On balance bearish



No change in any of the NDX December ratios which will not be a concern until after today.

The main issue is the NZ down at 5975-6025 which is a very long way below the market.

However, there is still plenty of Y1 ratio present that it can move, which is something we can’t say for the DJX for example.

Still early days but it is something to keep a wary eye on.


Range:            6250  to  6475                    

Activity:          Moderate

Type:              Neutral   



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For so little activity it has had a huge impact in the DJX as one can see from the above table.

However, we think it is not just activity but the addition of a huge number of strikes, which begs the question why leave this so late?

Anyway, huge shifts in Y2 below the zone and R1 above it but yesterday was all about this index holding on to its zone.

And quite frankly this is as serious a rollover and expiry as we have had this year as if it holds onto its zone for the rollover tomorrow it is a huge sign that rationality has returned.


Range:            21700  to  23400       or       23400  to  23600     

Activity:          Poor

Type:               Bearish



There have been a lot of adjustments in December as well but at least here it is at the start rather than the end.

Nevertheless, it has mixed it up a lot but the main aspect hasn’t changed and that is the NZ remains at 22900-23100.

Ordinarily this would not be an issue due to the bubble this index has been in all year, but if it starts acting rationally again then being in R1 is going to be a tough start for Dec.


Range:           23100  to  23600 

Activity:         Very poor

Type:              Bearish



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November 14th, 2017 by