The SPX has done really well, but its not back in their Y Ratios yet.

Nb. Our comment from 02/25/20


Well, really, you should not have been surprised by this move, or the timing of it, being at the dawn of a new expiry.

If anything, it has been a result, as the Y ratio bandwidth we have been incessantly banging on about, has actually narrowed in March, to 190-points, from the 260-points in the previous trip.

Worth noting is that the intraday high last week, and actually the expiry high, was on Wednesday 19th at 3393.52, but if you look back, 3385 would be the more frequent intraday high.

The point being, that from 3385 to yesterday’s intraday low of 3214, is 171-points.

You can quibble about 19-points, but that’s close enough for us.

The ratio table above is the pertinent point now, as R1 is not that far away, which will be the big test for the bears.

As will the fact that today this index is in bear territory (below the zone), which it didn’t like last trip.

For us, that move proves nothing, as it is just through the minimal Y ratio.

Dramatic it may be, but it is only what we would expect.

The real fun comes when it starts taking on the R ratios, either side of the zone, naturally.


Range:            3195  to  3270         

Activity:          Average      

Type:              On balance only just bearish



Nb. Our comment on 03/03/20


Well, really, you should not have been surprised by this move, or the timing of it, being at the dawn of a new expiry.

As you know we were expecting a big move, but this went over and above even what we anticipated.

However, in days of yore, well a couple of years ago anyway, when it came to a triple, then everything just ratcheted up several notches.

So, where we would see the R ratios as pivotal, in a biggie, this would up to DR or B1.

As it hasn’t happened for a while, we haven’t mentioned it, but that doesn’t mean to say this, what we are seeing now, is abnormal.

In fact, quite the opposite, as this, to us at least, is the return to normal.

What isn’t so normal, and is fact very abnormal, is 235-points of Y ratio bandwidth, as, back in the day, one might see a tenth of this, in a triple.

The problem is, when a market has just transversed the entire length of this abnormal minimal ratio bandwidth, there is a degree of momentum inherent, and add another surprise whammy, and then you get a market taking on ratios it hasn’t had the nerve to for a quite a while now.

The intraday low on Friday, 2855.84, was deep into DR ratio, which is a huge amount of dynamic delta to take on, but one that is not unknown in a triple.

The fact the market closed above 2945 is also very significant, as was the fact the intraday low on Monday was 2945.19 and its close above 3085.

It still has a long way to go, but the table above will show you the significant hurdles ahead, on top of which, we rather doubt that we have seen the last of the zones moves down, but, it’s a start.

More to the point, we now know this markets pain threshold.


Range:            3085  to  3145         

Activity:          Good      

Type:              Neutral

March 3rd, 2020 by