May 17th, 2022 by Richard

After a huge test of R3 Ratio the SPX finds itself back in the Y Ratios just in time for the rollover and expiry.


Nb. Our comment from the 05/11/22


It is certainly going to be a grandstand finish to this expiry, and derivatives have evidently got their work cut out for them.

A lot has gone on from our last comment but, since then, it has been all about the R ratios.

On Thursday 5th when R1 was at 4145, the market went as low as 4106.01 before finishing at 4146.87. This could have been a good sign, and on another day, it could well have been so, the bulls having fought back so hard to get the market back into the Y ratios.

The Friday saw a bad start but, again, the bulls fought back, getting the market as high as 4157.69 (nb. R1 still at 4145). Then it all went sour, with the market plummeting to R2 at 4070, with the intraday low of 4067.91.

The fact that it bounced off this level, but still closed south of R1 was a warning.

Therefore, the first two days of this week have all been about R2, which had now slipped to 3995. Monday’s intraday low was 3975.48 and the close was 3991.24. Very worrying for Tuesday. Which actually started well, but then went down to 3958.17, before rallying back above R2 for the close.

Classic bull vs bear stuff, each using the dynamic delta to advance their respective causes.

This now makes today rather critical, or should we say, holding above R2 rather critical for the bulls.

We do think there is at least one more day of R2 staying at 3995, but no denying the ratios are slipping below the zone.

Of course, we expect the zone to move down, and don’t lose sight of the fact it is the rollover and expiry next week. However, there is no front-runner at present.

We suspect, the outcome of today, and possibly tomorrow, will go a long way to defining where any likely expiry of this month will be.

We have to side with the bulls, simply because they are backed up by the R2 amount of dynamic delta futures buying but, we haven’t seen this index being so aggressive (either way) for a very long time, so our conviction level is not 100% even if the levels remain unchanged.


Range:            3995  to  4095           

Activity:          Poor

Type:              Bullish



Nb. Our comment for 05/17/22


Please see above for what we wrote on the 11TH, bearing in mind it was before the market opened that day.

So, to carry straight on from above, on Wednesday 11th the market did try to rally, getting as high as 4049.05, before capitulating and finishing at 3935.18.

This was a very important close, and one we had guessed the significance of above, as this left the market below R2 at 3995.

Therefore, the next line of support was R3 at 3880.

The intraday low (and so far, expiry low as well) on Thursday was 3858.87. Quite an overshoot, but under the circumstances understandable.

The main circumstance being the weakness in the ratios below the zone, itself in imminent threat of moving lower.

And, as one can see in the table above, the zone has indeed moved lower, as has R3, and considerably so.

In fact, all the ratios below the zone are considerably weaker. And, this has been a daily collapse, please remember you are just seeing a weekly snapshot.

So, in reality, it was by the skin of its teeth that R3 held out. This is good news if you are a bull, or own shares, not so much if you are a bear of course.

Is it a coincidence that Monday’s intraday low was 3983.99, which is where R1 is today, who knows? But what it does mean is that now this market is back into the Y ratio bandwidth.

And as we are now into the rollover and expiry on Friday this could not be timed better.

Therefore, the really big question is where will the zone end up? The current “shoo-in” is 4195-4205 but, in our experience, when you get into the final few days and among the minimal Y ratio, nothing is impossible.

However, anywhere in Y1 would be our first hope. After that, practically speaking, 4095-4105 looks as good a bet as any. Although, had one asked this question last week, anywhere in the Y ratios would have been our answer whilst revealing our crossed fingers.


Range:            3985  to  4295           

Activity:          Moderate

Type:              On balance only just bearish


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May 16th, 2022 by Richard

Remarkable 260-point bounce off DR Ratio, now it's all down to the rollover and expiry.


Nb. Our comment from the 05/09/22


Well, the FTSE did manage to stay in its zone for most of last week, but it was quite a fight.

And this week it was all about the upper boundary of the zone, as opposed to last week being all about the bottom boundary.

For the first three days it battered away at 7550, and on the third day, the Thursday, we thought our strike three rule had come into effect as the market got as high as 7619.39.

Sadly, it couldn’t hold onto it, mainly because of the weak Street, as it finished dead centre of the zone.

Again, the official data is misleading, as the open on Friday was around 7490, not 7503.27. This still meant that the market did open inside its zone.

Then, between 9am and 2pm the market bounced around the bottom boundary 7450.

After 14:00 it became very interesting, as once the bottom boundary was breached it went very quickly down to R2 at 7350, with the intraday low of 7354.06.

So, with two weeks still to go the FTSE is in bear territory just below its zone but, everything it has done so far, leads us to believe that it really doesn’t want to be here.

Of course, only time will tell, but as one can see, it would only take 60-points for it to recapture its zone.

And the fact that it has already tested R2 at 7350, means that we know that the market knows that there will be futures buying at that point, so it should only go there again if it is willing to take that on. And, to add icing to the cake, the next expiry is the second triple of the year, yay. 


Range:            7350  to  7450       

Activity:          Moderate

Type:              On balance just bearish



Nb. Our comment on 05/16/22


Well, we don’t often see this, and that is no change at all in any of the ratios. In fact, we had to trawl back to March 2020 to find the last time this happened. And, it’s not as if this is because of a lack of activity, as over the last five days it has average “moderate” levels which, although not great, is not bad at this stage in an expiry.

However, we feel we should point out that naturally all the numbers have changed, it’s just that none of these changes have been significant enough for any of the ratios to cross a threshold, either up or down.

And, the fact that the ratio levels have been constant throughout, means that every day last week was about one or another level.

The most important of which was on Thursday when the market tested DR at 7150 with the intraday low of 7158.53.

Blink, and you would have missed it, but had you known that there was that much futures buying about to hit at that level then you just might have taken advantage of the very dramatic 260-point bounce.

Of course, it had to break down below R3 at 7250 first, but that was what the Monday and Tuesday were all about (so Thu was strike 3 as well).

The Wednesday was all about not getting back above R2 at 7350.

And so, we enter the rollover and expiry week neatly poised just below the zone, and who would have thought that would be the case for most of last week.

In a further twist, it is not inconceivable that 7550-7650 becomes the next zone. And that is definitely something even we didn’t think would be the case at any time last week.

Anyway, the second triple of the year is up next, and the last time we looked its zone was the same as May’s, so perhaps best to not get too excited by this.


Range:            7350  to  7450       

Activity:          Moderate

Type:              On balance just bearish

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April 25th, 2022 by Richard

After testing Y2 the FTSE retreated back to its zone, the question is, can it stay there?


Nb. Our comment from the 04/19/22

Firstly, a quick word about how the April expiry ended last Thursday, and the EDSP was 7582.04. So, it didn’t manage to get back in its zone, the upper boundary being 7550, but it came close, and it finished in Y1, so no great harm done.

Although, it was interesting to see the intraday lows on the last three trading days of this expiry coming in at 7543.03, 7550.94 and 7551.39 respectively.

Looking ahead now to the May expiry, and the first aspect to note is that the zone is at the same level.

Then the second major thing to note is that in May 7650 is only Y2. And, perhaps significantly, it is only just Y2, having crept over the threshold by just a little bit.

For the record, 7700 is a far more solid Y2, and is in fact at the other end of this bandwidth, being just below the threshold of R1.

And, by comparing the tables above you would be correct in thinking that activity has been towards the top end of the scale, reinforced as well by the “very strong” description below, but overall, activity is an awful lot lower than it was in the April expiry.

Although, April was larger than normal, so despite the difference being very noticeable, in fact, May is just a little bit below the historical normal. Nevertheless, we would have expected at least a large chunk of the April activity to rollover into May. It could still do so, but if it doesn’t, money coming off the table is never a good sign.

Otherwise, despite the market being above its zone, it now has a lot more room to manoeuvre to the upside, whereas below the zone it is nicely underpinned by there being no Y ratio at all.


Range:            7550  to  7750       

Activity:          Very strong

Type:              Neutral



Nb. Our comment on 04/25/22


Looks like the lowly Y2 at 7650 provided enough dynamic delta futures selling to scare the FTSE into turning tail.

Although, it did take over half an hour at or around its intraday high of 7656.47 on Thursday 21st to make up its mind.

And, when you couple this with a weak Street overnight and then again on the Friday, you had the FTSE in a full-blown retreat back into the safety of its zone.

What is more, is that this expiry is still only a week old. So, plenty more time for some fun and games.

On the upside, Y2 has now moved out to 7700. Although, and as we said back on the 19th, the real test should come at 7750. Even more so now, as it goes up to R2 from R1.

Of course, this is assuming the bulls wrest back control. But, as we said, there is still three weeks to go, so plenty of time.

But first, we should see a test of the bottom boundary of the zone at 7450, Which is also strengthened by the fact it is also R1. The fact that there is no Y ratio at all below the zone should give any bulls out there an excuse, even if the dynamic delta inspired futures buying doesn’t do it for them.

If the bears are really in control, and R1 isn’t enough, then backing it up is R2 immediately underneath at 7400. The big concern will be if this is not enough, then there is a very long way before we hit the next level of support, R3 at 7150.

The other alternative is that the market could just stay zone bound, which is not unheard of. If it does decide to take this easy option, then it could bounce around excitedly within its zone for the next two weeks, only breaking out in the final week, which we have seen quite a lot of in the past.


Range:            7450  to  7550       

Activity:          Very good

Type:              On balance only just bullish


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February 28th, 2022 by Richard

The FTSE March expiry ratios need to settle.


Nb. Our comment from the 02/21/22 (Not published)

Nb. Our comment on 02/28/22


Apologies for not publishing last week, especially as we appreciate it might have been rather useful to know the ratio levels. In particular, that the zone at the start of this expiry was at 7200. Coincidentally, 7200 was the low and close on Thursday.

However, before this, the pertinent ratio level was R1 at 7550.

On Monday 21st the intraday high was 7571.07 before the market gave up just under 100-points.

Then on Wednesday 23rd it revisited it with the intraday high of 7549.98, before giving up 50-points.

The fact that the zone has moved up to its current position was always on the cards but, as we have mentioned previously, because triple witching expiries are so much bigger than the intermediaries then it’s like turning an oil tanker, very slow.

The problem the FTSE faces now, is that by leaving the move so late, it has left a vast swathe of the minimal Y ratio around, but especially below the zone.

And if this wasn’t bad enough, as triple expiries progress, they tend to get far less sensitive than intermediaries, so rather than reacting to R1 it would be entirely in keeping if March went on to test R3 or even higher levels.

And March still has three weeks to go, so we could easily see a range of 7050 all the way up to 7650, although it hasn’t done badly already, going from 7550 down to 7200 and back up again.

Probably be too big an ask to see it see this week out in its zone, but you never know.


Range:            7450  to  7550       

Activity:          Poor

Type:              Bearish


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