SPX JLY to Aug Ratio Rollover Table 17th July 2018
There is just too much to say in the SPX but the highlight of our last comment on Friday was looking forward to this index’s first test of a R ratio this expiry.
And it certainly didn’t disappoint as it went on to get as high as 2804.53 with R1 then at 2805.
We did point out that normally under these circumstances the initial reaction it “WTF” as everyone gets blindsided by the sudden futures selling.
Then there is a more cautious approach to see if it is a selling level or just a one-off.
And on Friday you couldn’t get a more perfect example of a double top, both were such clear spikes.
Interestingly, the market didn’t really retreat far either, and we did say the third time it is either put up or shut up.
Well, they certainly got excited, (as we ran the numbers yesterday but didn’t publish) with the highest level of activity so far this expiry, storming in at “very strong” but only just tipping it on the bearish angle.
Nevertheless, it signalled the move yesterday, which we see today with the zone moving up to 2770-2780.
Now, the $100 question is whether this is it for this expiry or it is going to have an attempt to get to 2795-2805.
And, incidentally 2805 is now Y2 with R1 having slipped to 2815, so the door is open but whether the willingness is there is another matter entirely, but activity suggests this expiry is far from over.
Range: 2780 to 2815
Type: On balance decidedly bearish
This time last expiry when we were looking at the rollover from June into July please remember (or look it up) that then July’s zone was 2695-2705.
By the time it became the alpha it had moved up to 2745-2755, and it was this zone that dominated the first week of that expiry.
Interestingly, the expiry intraday low was 2691.99 on the 28th June, which at that point 2690 was Y2.
We mention this as sometimes it is difficult to remember the exact influence and levels that affect indices early on, but more importantly the fact that are in evidence this early on during the rollover week.
Of course, the market went from Y2 up to R1, so slightly skewed, we would have much preferred R1 to R1 needless to say, but sometimes the other indices have an input, which for July it was the DJX and their big test of their zones bottom boundary at 24000 (intraday low on the same day 23997).
The big difference looking forward to August is that the zones are already in line.
The bigger significance is that between the R1 levels it goes from 2655 all the way up to 2835.
So, the question is whether or not July is going to aim for 2800 for Friday as if it is then August is looking very skewed indeed.
Range: 2780 to 2835