The Ratio Levels for the SPX May expiry, and if still in any doubt about derivatives affecting the underlying just look at WTI -$40…..


Nb. Our comment from the 04/15/20


Well we didn’t publish anything about the May expiry back on the 15th, however we did about the April expiry, so here is a few words about how April expired on the 17th.


And to be honest, we couldn’t really believe it ourselves, when the market closed at 2799.55 on the 16th April, the day before the expiry.


Despite being in what we described as a “frictionless market” we were stunned to see it get so close to the dead centre of its zone with the expiry imminent.


Sadly, in the very end, we didn’t get the expiry settlement price in the zone, but, especially under the conditions, it wasn’t at all a bad attempt.


Also, considering it was Y1 in that expiry, all the way up to 2855, which was a considerable improvement from our last published level of 3315 for sure, but still hardly expensive after all.


Rather coincidentally, the actual settlement price was 2855.70, for the record.

Range:            2595  to  3315 (from the 15th)      

Activity:          Poor      

Type:              Neutral


Nb. Our comment for 04/21/20


We finished off the April expiry by saying this market was “whacky” and the “zone could move at the drop of a hat”.

Both are still as valid in this, the May expiry.

In fact, we are seeing a serious move in the ratio, that could signal the zone moving down to 2695-2705.

Although this is very early in the expiry, there are still some interesting points to take away.

First, is that the zone in May has started at the same level as the April zone ended.

The significance of this, is that the market was below this level for the two weeks prior to its expiry, so, one could argue, that the zone being here helped the market to recover.

And, if anyone is still in any doubt about derivatives affecting the underlying, then look no further than WTI dropping to minus $40, enough said.

There is still a ridiculously wide Y ratio bandwidth, currently 815-points, so don’t expect sanity returning anytime soon.

In fact, if it does, and the ratios haven’t filled in considerably, then don’t believe it.

There is only a day separating the two columns in the table above, but the fact not even the lowest ratios have been able to move, and activity is “poor”, means this is sufficient to show that nobody is taking a view, hopefully, yet.

This market could go anywhere within the Y ratio bandwidth, quickly and significantly, but a falling zone is not good, especially if it drops below the current market.


Range:            2805  to  3005         

Activity:          Poor 

Type:              On balance bearish


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April 21st, 2020 by