Nb. Our comment from the 03/22/22
There are similarities with the rather odd FTSE here in the SPX, but not that many as it looks fairly conventional here at the moment.
Going back to last Wednesday, the rollover, we did see this index spend the majority of that day in or around its zone. Which back in the March expiry was at 4295-4305. Therefore, we are far more relaxed about what happened on the following Thu & Fri.
Worth noting though, that in March, Y2 started at 4405, and although the settlement price was just north of here, it wasn’t until this was out of the way before any significant gains happened on Friday.
What it did result in, especially as the zone here has been at 4395-4405 for quite some time, was that this index starts April in bullish territory.
This is very significant as it hasn’t been above its zone for a very long time.
In fact, just a stable zone would be a massive boon to the bulls.
All this looks very positive for this expiry, until that is we point out just how much minimal Y1 ratio there is.
This is important for two main reasons. Firstly, it means the zone is hardly establish, and so could move very easily, although this is equally true for either direction.
Secondly, with the Y1 ratio bandwidth coming in at 385 and the overall Y ratio bandwidth 610-points, these are some of the biggest numbers we have ever seen. And with so little ratio providing any sort of support or resistance by the naturally occurring dynamic delta, once this market realises this, it could go a very long way indeed with just the smallest impetus. It could also become very susceptible to whipsaw.
It looks ok for now, especially being in bullish territory, but don’t get fooled as 610-points is a 14% trading range, and that is in just four weeks.
Range: 4405 to 4580
Activity: Moderate
Type: On balance bearish
Nb. Our comment for 03/31/22
It has been well over a week since we last commented on the SPX, so apologies for that, but there really hasn’t been very much to write home about anyway.
The big thing we should have mentioned was that Y2 above the zone moved from 4580 to 4605 the day after we last published, so the 23rd.
So really, all the market had been doing was to slowly claw its way up through all the Y1 above the zone.
The day of the possible peace talks headway caused the first point of interest as the market blasted through 4605 on Tuesday.
As you can see, today Y2 is 4615, so the market is back below it after Wednesday’s capitulation.
As this index has been sensitive to Y2 in the past, it is entirely understandable to perhaps give it more weight than its due, forgetting that in fact it is still just a Y ratio and therefore still classed as minimal.
But, as the old saying goes “in the land of the blind, the one-eyed man is king”. And so it can be in markets, as when there is no dynamic delta and then there is even some minimal amounts, this can have an effect.
And here is where it gets interesting, as from 4615 and above the ratios have actually strengthened, whereas between 4615 and the zone they have weakened before strengthening again below the zone.
The most obvious implication of this is that the zone will most probably move up.
The not so obvious, is that despite the market having already been higher, 4615 might prove harder to cross this time round.
Of course, all this comes with the usual proviso that what with the geopolitical situation being what it is, any sudden announcements could make whatever level of dynamic delta irrelevant.
But, in the absence of any new news, it seems the SPX is reverting to its previous degree of sensitivity, so the bulls might just want to rein it in a bit as the current zone is a long way south.
Range: 4405 to 4615
Activity: Moderate
Type: Neutral
