SPX Ratio Table 16th & 25th October 2018
16th October 2018
Below is our comment made on the 16th during the rollover regarding the upcoming November expiry.
So, the question on everybody’s lips is how will November pan out, and great if you are a trader we think.
Heart-attack inducing for fund managers.
The huge difference this time round is the last expiry, October, was coming off the back of a very decent and compliant September expiry.
Whereas, November, is trying to form while the market is still under October’s control, which has been a little tumultuous, to say the least.
Therefore, it should be no surprise that it is very underdeveloped, and it still has 4 more days before it takes control on Monday, so it will fill in for sure, but it is not ideal conditions for sure.
However, the fact that the zone is 2845-2855 here is a clue, and we think 2820-2830 is a distinct possibility as well.
The real issue is how much Y ratio bandwidth will there be?
Where the zone is and how much Y ratio still present on Monday will dictate this expiry, and we are not going to proffer any opinion at this stage for the very reasons outlined above.
Range: 2740 to 2845
Below is today’s comment about the current, or Alpha, expiry, November.
The first thing to note is the zone didn’t move to 2820-2830 but skipped right to 2795-2805, or at least it seems that way to us.
More importantly, is the last paragraph about seeing how much Y ratio would still be present on Monday, and from the tables above in the rollover R1 was at 2740 whereas today it is 2745.
The intraday low on Monday was 2749.22 and the close on Tuesday was 2740.69, which just about says it all.
Basically, that was the decisive day(s) and yesterday the intraday low was 2651.89 which was at the end of an 88.8-point fall, and with the Vega spiking, we have no hesitation in calling that a test of R3 at 2645.
Of course, it is all gloom and doom at the moment, but really this index has only just found support the Y ratio bandwidth is so massive.
The real issues will be if it starts breaking down below R3, following it down is a possibility, but with the dynamic delta buying up futures at these levels it really takes a committed bear to want to sell that many.
The good news is that this expiry is but days old and the corresponding R3 doesn’t appear until 3005, with a huge amount of Y ratio still in evidence, so get the defibrillators ready for those fund managers.
Range: 2645 to 2705
Activity: Very good
Type: On balance bearish