It has been a while since we covered the SPX, so first and foremost this is a five-week triple expiry, the third of the year and so, generally, the second biggest of the year.
Therefore, the second thing we must mention is that it isn’t, as even what should be the smallest “biggie”, March, was far bigger than this September expiry is at this stage.
This is readily apparent in the very unusual amount of Y ratio around, which in years gone by, in a triple witching expiry, it would be more usual to have none altogether.
This means, in a word, volatility, and to expect lots of it.
Basically a 160-point wide bandwidth of Y ratio in a triple witching expiry means it will be an absolute roller-coaster, so hang on tight, and the real market will only reveal itself once it starts interacting with the R ratios.
Once, we get some dynamic delta activity and see how the market reacts to having to deal with that resultant futures activity, then we will see what the true feeling is behind any move.
Range: 2820 to 2980
Type: On balance bearish
Nb. Our comment on 09/03/19
Hope you are all enjoying the roller-coaster, which actually has now only got steeper with sharper turns.
For those who like the old technical phrases, extremely volatile with huge potential for whipsaw.
The astute will have noticed that the zone has slipped up, to 2920-2930, but we are not reading too much into this.
Basically, because it is a triple, so the numbers are just far bigger, and that there is still a ridiculously wide Y1 ratio bandwidth, so it’s hardly a big move in ratio terms.
When this index was down 92-points on Friday, the intraday low was 2834.97, which is still 0.51% away from R1, and even with the vega spiking, that’s a close call whether or not R1 at 2820 had any influence.
We think it was probably more to do with Y2 at 25500 on the DJX (intraday low 25507), than R1 here, but who knows it was that close and moving very fast.
The Y ratios may have shifted, as well as the zone, but the headline story here remains the same.
That the Y ratio bandwidth is still a colossal 160-points.
But the fact that there is a Y ratio bandwidth in a triple, also tells you, that there is not a lot of money being put down on the table, which reveals a lot of indecisiveness.
Also, still a very long way to go, and overall activity is still way below even the baby “biggie” back in March, so it is all very thin indeed.