May 16th, 2023 by Richard

Job almost done in the SPX May expiry, but June may well be a different kettle of fish.

Nb. Our comment for 05/16/23

What neatly encapsulates this expiry is the fact that this market closed at 4137.04 the day before we last posted, and here we are with yesterday’s close of 4136.28, a miniscule move.

OK, it has only been a few trading days, but the point remains.

Just to emphasise this, the close on the very first day of this expiry, the 24th April, was actually 4137.04…and no this is not a typo, this is really the exact same close. Furthermore, it’s not as if we have selected dates to fit, as today is our normal posting date for the SPX, and we can hardly fudge the first date of the expiry either.

In a way this has been a fortunate turn of events as, way back at the very start of this expiry, the Y ratio bandwidth stretched from 3945 all the way up to 4270. So, it could very easily have been a very volatile expiry indeed.

As it happened, all we got was a test of Y2 at 4180 on the 1st May (intraday and expiry high of 4186.92) before it fell back to meet the rising zone. Which was what last week was pretty much all about, especially the last three days.

Of course, this week it is all about the rollover and expiry, but really all the hard work has been done, or at least in our book it has. To explain a bit further, the Y1 ratio bandwidth alone goes from 3995 up to 4205, which is a bit odd to be fair, but means there is no, or virtually no, pressure on this rollover and expiry as long as it stays within these parameters. In reality, only the rollover is fine, so it just needs today and tomorrow to be boring and its job done.

More importantly, looking ahead to June and, it being a triple and therefore significantly larger, can be and normally does exert influence from early on.

Interestingly the zone in June is still at 3995-4005, which will be an overhanging risk to the May expiry, unless it does change and move up.

Where, at first glance, 4145-4155 looks to be the front-runner, which is actually higher than May’s. However, with so much more ratio about, and therefore by definition, so much more dynamic delta, we very much doubt this “relaxed” environment will be able to continue for very much longer. No bad thing we think either.


Range:            4105  to  4205           

Activity:          Very poor

Type:              Bearish


Nb. Our comment from the 05/11/23


Apologies for not posting sooner in respect of the SPX but, in truth, very little has actually happened since we last commented.

What has changed, is that the zone has eventually moved up, which happened the other day, the 9th May.

So, this has been a very long time in the making, which has been rather boring in all honesty.

In the meantime, the index has been “pinging” about so, all in all, it has been acting totally normally under these conditions.

The only aspect you may have missed, is that back on 1st May the intraday high was 4186.92, which was a very solid test of Y2 ratio, then standing at 4180.

This is also, so far at least, the expiry high.

However, the zone may have moved, but as this has just been inside the overall Y1 ratio bandwidth and, as it was so well flagged in advance, this is hardly a game-changer.

What it has done, is level out the ratios on either side, so one could say it is now a far more balanced overall ratio alignment.

Or more graphically, there is now 100-points of Y1 ratio either side of the zone. The depth of the Y2 bandwidth is still skewed in favour of the bulls…as in, there is far more of it above the zone than below it.

Although, at the end of the day, with over 200-points of Y1 ratio bandwidth to play around in this index has so much scope this extra distance to R1 will not exert any great influence as things stand with the market where it is currently.

The only surprise, to us at least, is why we aren’t seeing 100-point daily moves?


Range:            4105  to  4205           

Activity:          Poor

Type:              On balance just not bullish

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April 4th, 2023 by Richard

Can the SPX maintain this new-found aggression, or will the R1 ratio dynamic delta be too much for it?

Nb. Our comment for 04/04/23


Commentators curse or what. No sooner do we say it doesn’t look like it wants to get above its zone, then it does just that.

In our defence, the test on Wednesday 29th was about strike 5, so it really wasn’t a total surprise.

Of course, once it had managed it then there wasn’t really a backward glance.

The problem was, as we mentioned last week, that the R1 ratio was getting closer, narrowing the overall Y ratio bandwidth.

However, in our last comment R1 had moved in to 4080, but by the Wednesday it had retreated back to 4105, from where it was originally.

And it was 4105 that caused a lot of resistance to this index on Friday, but a level it significantly closed above.

Yesterday, Monday 3rd, saw this index open strongly, but then come back to 4105 on many occasions. In fact, it spent almost all but the first and last hour bouncing around it.

So, the big question is whether or not it can cope with being in the R1 ratio bandwidth.

On the evidence of Friday, yesterday and today we have to say that it appears to be really struggling with it.

R1 doesn’t generate a huge amount of dynamic delta futures selling, but it really all depends on the markets appetite at any given moment in time.

With this in mind, there is a considerable step-up in the ratio level at 4155, albeit being still within the R1 bandwidth. Then you have R2 at 4205, as you can see in the table. So, to us at least, if it doesn’t start taking on this level of dynamic delta then back to the zone (or further) it goes.


Range:            3895  to  4005           

Activity:          Moderate

Type:              Neutral


Nb. Our comment from the 03/28/23


It really didn’t take very long last week for the SPX to prove our “Point one”, jumping over 100-points to get back to its zone at 4000.

Of course, this would have definitely been aided and abetted by the FTSE’s reaction to DR ratio at the start of its April expiry trip.

The Wednesday and Thursday were also all about their zone. Wednesday saw the rate hike and the market swing from 4039.49 to 3936.97.

However, on the Thursday the market retested the zones upper boundary with the intraday high of 4007.66.

This was also strike three, so we thought it may break through, but the close at 3948.72 was not good news for the bulls.

Friday was a bit odd for us, as it really didn’t achieve anything. Even the intraday low of 3909.16 was a bit shy of R1 at 3895.

Yesterday, saw strike four of the upper boundary with the intraday high of 4003.83, but still no close in or above its zone.

Basically, the SPX is in neutral for us. Although it is toying with its zone, it still can’t quite muster the conviction to break convincingly above it.

In the meantime, the more preferred option seems to be to reside below it, therefore remaining in bear territory.

The only issue we have with this is that the overall Y ratio bandwidth is shrinking all the time, currently standing at just 185-points. Quite a difference to last week when it was 310-points.

The upshot of which, to us at least, is to potentially restrict the overall trading range. Making it a bit boring really.


Range:            3895  to  4005           

Activity:          Moderate

Type:              Neutral

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December 15th, 2022 by Richard

The SPX has a fight on its hands to be near its zone for the rollover or expiry.


Nb. Our comment for 12/13/22


And they were doing so well, getting the market back to 3990 and just below the zone as we entered the final week of the December expiry.

Also, don’t forget, this was when London was going the other way and trying to get back inside its zone, below 7450.

Still got a few days yet, so it certainly isn’t over this expiry. It just means they are going to have to work for it if they want a successful outcome.

Of course, this is a success for derivatives, so please bear that in mind.

As we are now on substack it is perhaps worth pointing out that when this research was valued by institutions, or pre-MiFID II, we used to cover the FTSE100, DAX, CAC, HSI, DJIA, NDX and the SPX. And our reports were daily but, more importantly, before the respective market opened.

Which makes this look a tad curve-fitting but, above the zone, although R3 now starts at 4180, we would have mentioned there is what we call a significant step-up at 4105.

Anyway, last week we did get our test of R1 at 3945 (please see comment below), but not the one we were hoping for, R2 at 3895.

Evidently this was enough, especially for a “meandering market”, but it seems the CPI figures have scuppered that.

Also, we do take pains to point out that the huge increase in overall activity in the final week of the biggest of the big expiries very often get misdiagnosed. This to us is such a case in point. It’s not as if the Fed tapering rate rises is new news after all.

What it does mean is that this expiry has a good bit of fight left in it, which is always exciting, if not tradable.

Finally, at least as yet, no pretenders to being the new zone, so 4000 is the bullseye.


Range:            3995  to  4005           

Activity:          Only just registered

Type:              On balance not bearish



Nb. Our comment from the 12/06/22


We made the point in our last comment (30th Nov – please see below-) that in the absence of a meaningful test of a ratio/delta level the SPX was in essence just meandering.

Luckily, we didn’t have to wait very long, courtesy of the Fed mentioning it might ease the pace of rate hikes, the market leapt up to 4080 on the very day we published.

Obviously, the market got carried away with itself and, no surprise, having been so aimless for so long it was crying out to let off some steam.

The trouble with that was, for the next two days, Thursday and Friday, it was stuck in the R2 bandwidth not being able to make any progress in either direction.

We actually thought, that they had solved the problem on the Friday, what with that massive gap down at the open which took the market down to 4040.17, and below R2 at 4055.

Can’t explain why it finished back at where it started but, as the ratio/delta levels hadn’t changed, a repeat was always a distinct possibility.

Coincidence or not, we were also not surprised to see the market finish yesterday back within its zone when it did repeat this yesterday.

Our problem is, that it is a week early, as the rollover and expiry are not until next week.

In a perfect world, we would like to see this market test R1 at 3945, or even R2 at 3895, as don’t forget there is no minimal Y ratio above the zone, so the market is now well accustomed to R1.

Just to remind everyone, the perfect expiry is when the market test one level of ratio on one side of the zone, then goes on to test the same level on the other side before finishing in or around its zone. Although anywhere in the Y ratio for the SPX is more than acceptable.


Range:            3995  to  4005           

Activity:          Only just registered

Type:              On balance not bearish

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