SPX now in a truly scary ratio-less market.

Nb. Our comment from 04/01/20


All we can say is that we hope B1 when it was at 2195 and the market hit the intraday low of 2191.86 is going to be enough.

If so, it means this market will need a good memory, something in fast markets it’s not exactly renowned for.

The reason we say this is because the ratios below the zone continue to tumble.

Last time the ratio range was 2380 (R3) to 2745 (R2), so the big moves we have seen in the last few days were only to be expected.

Although, we were going to get big moves no matter where the ratios were.

As the market has recovered a bit, and don’t forget end of quarter rebalancing, we have put today’s trading range at 2545 to 2795, but we are not daft enough to think this market is going to open above 2545, so this is just protocol.

Basically, R3 is now 2305, and for us that is a finger crossing and hope support level, with the top end of the range 2545, being where R2 has fallen to.

In effect, this is the market staying within the same bandwidth.

We say, we hope, because B1 has collapsed to 1995, so we sincerely hope we don’t have to call on that again.

The zone will move, but really it should have done so by now already, again a concern, as is the very low levels of activity.

The ratios are what they are in the table above, but please remember, they are changing all the time.


Range:            2545  to  2795         

Activity:          Poor 

Type:              Neutral



Nb. Our comment for 04/09/20

Wacky markets, whatever way you look at them.

Needless to say, we have never seen anything quite like this, and “moderate” activity, and we were being generous, is probably the reason why.

It is very low, but totally understandable considering the circumstance.

However, this in no way distracts from the issues it causes, and the fact that this market is in a Y2 ratio bandwidth that stretches for 400-points, tells you all you should need to know.

For the record, the entire Y ratio bandwidth is an unprecedented 890-points.

Now it is downright weird the zone hasn’t moved, but it doesn’t really need to, as the market being in minimal Y ratio, it could easily, at the drop of a hat.

Some facts, R1 has dropped 300-points and R2 is down 150-points, but thereafter it remains quite steady.

But, as we said last time, fingers-crossed the market bounce from B1 when it was at 2195 (market low 2191.86) is going to be enough, as although it hasn’t moved this time, it did last time, and that was to 1995.

Whatever rhetoric, true or false, comes out of whatever politician, and whatever fundamental or technical analysis says, the ratios are a pure and direct reflection of real and actual money laid down on the table in the index option market, and that is, to us at least, far more representative of what people are really thinking.

The low activity suggests this is minimal conviction, and with the trading range being 2495 all the way up to 3245, so the recent 165-point move since we last published, is really, neither here or there, and therefore, entirely meaningless.

Expiry is at the end of the shortened next week, and we rather doubt it will be as quiet as this week has been, and, yes, we do know it moved 7% on Monday.  


Range:            2495  to  3245         

Activity:          Moderate      

Type:              Neutral

April 9th, 2020 by