The SPX Nov expiry starts just like Oct’s did.

Another huge Y Ratio bandwidth this expiry in the SPX


Nb. Our comment from the 10/16/20 (Not published)


Nb. Our comment for 10/21/20


When we revealed the ratios, at this point in the October expiry, we rather doubt anyone else other than ourselves saw the scope for this index to move, as it had such a wide Y ratio bandwidth.

In the end, it “just” went down to Y2 (3195) and then all the way up through the Y ratio, to R1 (3530).

Now, we don’t claim to know the future, we just report the facts, as defined by derivatives, which can, and do, reveal what is possible.

In the table above, we have shown the ratio table for the November expiry as it was on the last day of the October one, and as it stands today.

A quick comparison will reveal that it hasn’t changed much.

It also reveals an even wider Y ratio bandwidth than we saw at this point in the October expiry.

However, what perhaps is not so obvious, is that the zone is very likely to continue its upward climb, 3395-3405, then possibly 3455-3455 and even 3495-3505 by the end of this 5-week long expiry.

Even though it has an extra week, please note the expiry is on the 20th, so just before Thanksgiving.

We mention this, as it would be so unusual (not) for the American indices to have a rally, even hitting highs, in the run up to this holiday.

Of course, the big influence this trip will be the election, which, no doubt, will come into focus once they have stopped playing silly-buggers trying to negotiate a higher stimulus from the Fed.

Finally, last expiry was actually very tame, or lame, depending on your view, as it remained very sensitive to what are in reality very minor levels of dynamic delta, but should it get even slightly more aggressive, then the 10% move in 4-weeks we have just seen, could look rather pathetic.

And, the might Dec expiry is up next…



Range:            3355  to  3530         

Activity:          Average

Type:              Neutral


Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

October 21st, 2020 by