SPX today’s rollover ratio levels and comment



Well it certainly turned out to be a rumble for the SPX, best laid plans and all that.

The open was down 9.42-points at 2569.45 and it fought back to get inside its zone, getting as high as 2572.84, but obviously couldn’t hold onto it.

However, at the end of the day, we are talking just 5-points, or 0.20%, after 4 weeks of excitement and that is only because of a last-minute surprise, so all in all we are more than happy to take that.

The only slight disappointment for this expiry was that we never got a test of 2605 as it bounced off the then bottom boundary of its zone 2545 (low 2544.04) but only got as high as 2597.02 before hitting its NZ for the rollover Wednesday.


Range:            2535  to  2570         or       2570  to  2580

Activity:          Average

Type:               On balance only just bearish




What a little tease Dec is turning out to be with 2575 losing over 90% of its value and yet it still won’t change.

However, in our book, that is as good as so probably best to assume the NZ here is in fact the same as Nov’s now.

The main aspect is the level of activity and if this were any other expiry apart from the massive Dec (other triples included) then it would be “off the scale” so very surprising that there haven’t been more changes in the ratios, but certainly shaping up to be another cracker.


Range:           2555  to  2590

Activity:         Very good

Type:              On balance bearish

November 16th, 2017 by