SPX , NDX & DJX Ratio Table 1st November 2018
Hope you had those defibrillators to hand, but what a great ride.
Back on the 25th Oct in our last comment the SPX had just hit R3 at 2645, and which is now 2620, so we suspect the intraday low of 2628.16 on the 26th was another encounter with it.
Also, in our last ratio table DR was at 2595, and although it may well have changed by the 29th it would have and still does represent a huge step-up, so the intraday low on that day of 2603.54 after a fall of 55-points in an extremely volatile market is more than close enough for us under these conditions.
However, it is fantastic to get back to “normal” markets (by which we mean go both sides of the zone) and believe it or not this index used to trade between its two corresponding DR ratio levels normally.
Although, we are the first to admit, back then 20-points either side of the zone of Y ratio was more normal, rather than the current eye-watering 185-points.
The fact that this bandwidth is, and always was so wide, means everything that has happened so far this expiry is entirely natural, easily foreseen and totally in-keeping with the circumstances.
It is inevitable the zone will move down, but at the end of the day with so much Y ratio still around the 1% to 2% daily moves are in fact very modest.
Range: 2695 to 2795
Type: On balance just fractionally bearish
Regarding the NDX this is what we said last time we commented way back on the 12th Oct “But even under these conditions they continue to add strikes like they were going out of fashion, why defeats us as we can’t see anybody needing over 300 of them on an index that is just 7000-points, truly bizarre.
If they stimulated activity then fair enough, but as the ratios haven’t changed at all and they only go as high as R1 then the answer is clearly no they haven’t”.
We didn’t cover the rollover, expiry or the first 8 days of this expiry so we are somewhat limited in what we can say for previously explained reasons, but mainly because of the above.
However, there are some obvious conclusions, the first being day one and just like the DJX here with their intraday high of 7193.72 they failed to hold their zone.
The 24th & 26th were apparently significant days here also, with intraday lows of 6777.47 and 6743.77 respectively with Y2 at 6775.
We can’t explain the low of 6574.75, but we suspect they were mightily glad when the DJX and SPX came to their rescue on the 29th.
Interestingly the intraday low the next day was 6652.53 though.
Basically, with both the DJX and SPX exhibiting unnaturally immense Y ratio bandwidths it should be no surprise this would be the case here also, the only question would be where the Y2 and R1 levels appeared.
Range: 6775 to 7175
If in this expiry the SPX is the biggest ever by number of strikes (and its an intermediary, so go figure) then the DJX remains one of the smallest ever.
In fact, way back during the rollover in our last comment on the 17th Oct on this index we pointed out how little ratio there was, and what the outcome may be.
Furthermore, we highlighted the return of the 1000-point wide zone as a direct consequence.
So, if it didn’t register that what has happened was a possibility in what we said about the SPX then reading what we said about this index should have left no doubt whatsoever as to what may happen, and of course has.
In our last table 24500 was R1 so we feel we should point out the intraday lows on the 24th & 26th Oct of 24533 and 24445 respectively.
In fact, going back to day one and the intraday high of 25561 and this index’s failure to get over its zones bottom boundary was the very first sign all is not well.
The fact that R1 was 1000-points away hopefully registered.
R2 at 24000 hasn’t changed and just like the SPX on that day the intraday low of 24122 on the end of a 566-point fall in highly volatile and fast markets we are more than happy to take as a test of R2 at 24000, being just 0.50%.
Anyway, the really important aspect of the DJX’s ratio table now is the appearance of DR at 27000, which shows some massive involvement, and not only do we not know when, sadly we don’t calculate the ratios daily anymore, but also whether it is the target, ceiling or shorts, but what we do know, having seen this ilk before, is that this expiry is very far from being over.
Range: 24500 to 25500
Activity: Very strong