The SPX starts June in the R1 Ratio bandwidth.

Thanks to May the SPX June expiry was born knocking on R2 Ratios door.


Nb. Our comment from the 05/18/22 (Not published)


Nb. Our comment for 05/24/22


Well, we just have to start with how the May expiry ended, and if you remember the SPX had just bounced off R3 (3880) and had just got back into the Y ratio bandwidth. We then said 4200 looks like a “shoo-in” to be the next zone, but 4100 was also highly probable. So, to see this index close at 4088.85 on the Tuesday we thought it had done it.

Of course, it then went all wrong, and the peril of having so much Y ratio became apparent yet again.

In the end the zone didn’t move, but the R ratios continued to collapse, so much so, by Friday R1 was at 3870. Therefore, in the end, this index did expire in its Y ratios but, there is no denying it, that this was an expensive trip for derivatives.

Looking at June, on Monday, R1 was at 3995, so the fact that the SPX closed on the preceding Friday at 3901.36 meant this expiry opened in the R1 bandwidth.

And, with R2 at 3895 (down from 3945) meant this index was already knocking on this door from the very start.

Not a good baptism really, but one which meant we were not that unduly surprised by the market reaction yesterday.

The question is really what happens next?

The short answer is that this will depend on how, or if, the zone sorts itself out, as being at 4300 is too far above the horizon to have any purposeful influence.

It may sound bizarre, especially as Y2 is at 4095 and R1 3995, but we can see a seismic zone move to 4000, almost as if it is resetting itself.

A lot will depend on today, what and how much business is generated in particular, but this index needs something dramatic to happen. As, once done, then the ratios can start creating a more conventional distribution. Something desperately needed, as currently the overall Y ratio is a gargantuan 635-points (16%) so skittish doesn’t even begin to describe it.


Range:            3895  to  3995           

Activity:          Moderate

Type:              On balance only just bullish


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May 24th, 2022 by