SPX Still Struggling with just Y2 Ratio.

The SPX is still struggling with Y2 Ratio.


Nb. Our comment from the 05/21/21 (Not published)


Nb. Our comment for 05/26/21


We have to start this comment on the June expiry with a few final words on the last one, and as the market closed at 4159.12 on the Thursday immediately prior to expiry, and our zone was 4145-4155, we are taking that as a hit.

OK, so the EDSP was a bit higher, but worth noting the actual close on Friday was 4155.86.

Getting back to June, and the obvious stuff first, being that this is a “biggie”, triple or quadruple to the US, and is a more conventional 4-week trip.

Now, the reason why we harken back to the May expiry, is because although it appeared rather volatile, it was nothing compared to what it could have done.

Back then the respective Y ratio bandwidths, although they did narrow at the end, were on average about 260 and 480-points.

So, looking at June, the Y1 ratio bandwidth is today 310-points, and the overall Y ratio bandwidth is 410-points.

Absolutely remarkable, and in the days of yore, basically BC (Before Covid), in a biggie you would normally struggle to find any Y ratio at all, let alone more than in an intermediary.

The main point of this is that in a lacklustre intermediary you might get away with it, but due to the sheer volumes in a biggie, then this is highly unlikely.

Having just said that, the intraday high on Monday was 4209.52, and 4213.42 yesterday, and on both days Y2 was at 4205, and so if the market is struggling at just this minimal level of ratio, then it is fair to say that the sensitivity is still here, or at least for the time being.

As we are running out of space, one final point is that the zone is looking very likely to move to at least 4120-4130, but it is still the vast expanse of Y ratio that should be concentrating your thoughts.


Range:            4005  to  4205 / 4255           

Activity:          Poor

Type:              On balance only just bearish


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May 26th, 2021 by