SPX Sept expiry very similar to Aug

Weirdly, in the SPX the new scary is the old normality.


Nb. Our comment from the 08/21/20 (Did not publish)


Nb. Our comment for 08/25/20


The SPX is metaphorically the polar opposite of the FTSE.

So, where the FTSE was way below its zone, here, in the SPX, it is way above theirs.

There are a few mitigating factors, primarily the FTSE had just tested R3, where here it is still in the Y ratios.

Also, where the SPX’s zone stands, is more of a hangover from the last expiry.

Which, is somewhat appropriate, as we can’t see much difference in this expiry set up to August’s.

Therefore, basically expect more of the same, a rising zone, falling ratios above it and rising beneath it.

And, our main concern also remains exactly the same, that the Y ratio bandwidth is a stupidly massive 435-points wide.

For us, therefore, the only unanswered question, is the degree of sensitivity to the dynamic delta we can expect from the SPX this trip, especially as, historically, triples have only been reversal sensitive to DR and above.

Hopefully we won’t have to wait too long, as R1 is currently at 3445, just a smidgen above where the market is now.

Finally, this trip is no longer chasing a high, as all highs are now new all-time ones.

Bizarrely, if markets are this good under these conditions, the new scary scenario, is the old normality, which takes a bit to get one’s head around.


Range:            3205  to  3445          

Activity:          Moderate 

Type:              Neutral


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August 25th, 2020 by