Nb. Our comment for 07/05/23
Well, it didn’t get that volatile, but we did see it on the odd occasion.
Furthermore, it was pretty much all one way, namely upwards.
So much so, on Friday and Monday this week the SPX has been running into Y2 at 4455. First with the intraday high of 4458.48, then on the shortened trading day on Monday with the intraday high of 4456.46 and close at 4455.59.
In our comment last week, we mentioned it being clear all the way up to 4505, being where the R ratios start.
This is the big issue, as revealing as it is, don’t lose sight of the fact that it is only Y2 at 4455. The Y ratios are described as “minimal” for a reason.
Actually, the fact is that the Y ratios are there is mainly to reveal as early as possible any trends, or changes, in the ratios, thereby enabling an early clue as to the potential market direction.
The fact that the market is proving sensitive to the small amount of dynamic delta generated by Y2 really just reveals how thin it actually is out there.
Also, it is on strike 3 anyway.
Overall, as the ratios haven’t changed, the only thing that is different is in the last five trading days the market has jumped almost 130-points and gone from below the zone to above it.
That said, it has had its first taste of dynamic delta, however small, and it is now just 50-points away from R1 at 4505 with two and a half weeks to go.
Now we get to see how committed the bulls really are as, don’t forget, the corresponding R1 ratio level is way down there at 4045.
Range: 4405 to 4505
Activity: Very poor
Type: Bearish
www.hedgeratioanalysis.com
Nb. Our comment from the 06/27/23
Obviously there have been a lot of changes in the SPX July ratio table, which is one of the problems when you publish it before it has even become the front month naturally.
On top of which, the US markets were closed last Monday.
However, no denying it, June was a very expensive expiry for the market, and that hurt will have carried forward into July, so hardly any surprise that in this first “extra” week there has been considerable repositioning.
Overall, definitely not helped by recent geopolitical events either.
Anyway, the big difference is the jump in the zone to 4395-4405.
To put this into perspective, don’t forget June’s settlement price was 4453.35 and this was at the top of the Y1 ratio bandwidth. The point being, is that this is not really very surprising, or even that revelatory under these circumstances.
Still a good bullish sign though. Better this way than down, unless you’re a bear of course.
Another bullish sign, is that the ratios have all strengthened below this new zone.
However, that’s the end of the bullish news, as generally, the ratios above the new zone have not weakened.
And then, the market, now being below the new zone, is in bearish territory.
Overall, it seems to us that it is still finding its feet for this expiry, and in no rush to do so either, especially as June must still be stinging a bit.
The big issue is how much Y ratio there still is, which is both bullish and bearish. Basically, there is nothing in this market’s way from 4045 all the way up to 4505. Which is a huge 460-point bandwidth, or 10.63%, so it could get extremely volatile.
Range: 4195 to 4395
Activity: Poor
Type: Bearish
www.hedgeratioanalysis.com
