SPX Dec to Jan Rollover 14th Dec 2017
Same again today in the SPX, as R3 has slipped to 2680 so now 2675 replaces the role that 2670 provided yesterday, which was actually quite effective as the high was 2671.88.
Despite this march forward forcing R3 into a staged retreat we are at the tail end of the expiry and it shouldn’t be acting this aggressively anyway, so although the ratios continue to fall above the zone these are high levels to be taking on even at 2670 with just hours to go.
What we said for this expiry back on 20th Nov “we suspect this time we will see a test of R2 at 2605, and hopefully the NZ will again limit the downside” was an underestimation, although we took pains to point out that Thanksgiving is this market “Santa rally”.
It came from its NZ so no problem there, hit R2 just after the holidays, then went on to test R3 and then DR and basically since then it has headbutted R3 all the way up.
We are not troubled by this, although it did get far punchier than we thought, but we did fear this and of course this tax deal ignited it all again and there is no way we could account for the timing of that.
Range: 2630 to 2680
Activity: Moderate
Type: On balance definitely bearish
It was a pretty tame rollover for Jan as the level of activity produced is only noteworthy because it is not higher.
Furthermore, despite it being not particularly biased, the change in the ratios is more akin to it being all one direction.
The ratios are firmer below the zone, but the only move is Y2 climbing up within the Y ratio bandwidth which actually stays the same.
However, above the zone R1 drop significantly to 2680, making the Y ratio bandwidth above the zone alone being 75-points wide.
The main ramification of this is that the NZ will very probably move to either 2620-2630 or even 2645-2655, this is all good.
The real problem is it is being sucked higher rather than evolving higher, and this means the ratios underneath are not having time to fill in, so although it is a rising zone, which equals a bull market, there is a total vacancy of support underneath it.
Range: 2605 to 2680
Activity: Good
Type: On balance only just bearish
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It was a good rollover for the NDX, and not just because it was in its NZ.
The high was 6416.83 and the low was 6388.41 which means it was just 9-points shy of its upper boundary and just 13-points shy of its lower one, and of course its zone is 50-points wide.
So, plenty of movement and all within its NZ, and whether or not they were tests, making that a bandwidth test, is immaterial as it has free rein now in the grey area anyway post a successful rollover.
This expiry has been all about the NZ, initially because it was so far below the market, but it did move as expected and otherwise this market followed Y2.
Range: 6375 to 6425
Activity: Very poor
Type: On balance only just bearish
Well we at least saw some activity, as one would expect on the rollover, and the level below is very flattering to say the least.
Of course, all activity is welcome but the bar is so very low a little goes a very long way, so it is certainly not something to get excited about.
Having said that at least Y2 above the zone comes in to 6575, so it at least did have some effect.
Range: 6325 to 6575
Activity: Strong
Type: On balance bullish
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The DJX acted exactly as suspected, the open was up 21-points and the low was 24518 both of which were above DR at 24500.
So, at least it is being consistent.
However, at the end of the day it is in DR ratio on the rollover with the expiry looming and no changes, in fact activity was only just above the “only just registered” category.
Our forecast took into consideration which “hat” it was going to wear, and if the tax bonanza one all bets were off so no foul no penalty.
However, it is perhaps worth noting that the close at the end of the last expiry was 23358 so it is up a cool 1227-points this expiry and it is in a 21% world of its own.
Range: 24500 to ……
Activity: Very poor
Type: Bearish
It wasn’t a bad effort for Jan on the rollover, and due to the presence of B1, which has raised the bar for this expiry, it probably would have been a couple of rungs up the ladder in a “normal” Jan expiry.
There is absolutely no point in ignoring the elephant in the room which is B1 and the fact that it is holiday season soon and anything else we add is superfluous.
Range: 24500 to 24800
Activity: Good
Type: Neutral
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