Nb. Our comment from the 08/11/20
When we last published, Friday 7th August, R1 was just ahead of this market, it eventually having got over Y2.
That very day it had a fairly epic battle with R1 at 3355, first early on in the morning for about 20 minutes, then again just after midday, but not for nearly as long, until it eventually managed to creep back up to close just beneath it.
We did calculate the ratios on Monday, although we didn’t publish, and R1 had slipped to 3370.
So, it was interesting to see how difficult this market found it, trying to wade through what by now was just very high Y2 ratio.
The other interesting aspect yesterday, was the activity, which was average, but as that was all down to just the put activity, that was quite impressive.
At the end of the day, there hasn’t been much change in what has been happening here.
The ratios continue to decline above the zone, which in all likelihood will move up again, while they continue to build below it.
And, as we said previously, this is bullish by default, as shifting the Y ratios is hardly onerous.
The concern that remains, is that there hasn’t been any significant decrease in the Y ratio bandwidth, which still stands at 415-points.
The real focus now will be towards the rollover and expiry next week, and don’t forget next up is the September triple expiry, so these pathetic volume levels won’t be around for very much longer.
One point to bear in mind, is that the all-time high here is 3393.52, and there is not a lot of ratio stopping them should they set their sights on it.
Range: 3205 to 3380
Nb. Our comment for 08/18/20
Well this has got to be the least exciting assault on an all-time-high ever.
Shame on you SPX, as the road is clear, all you need is the least possible effort.
By which we mean, all that stands between this market and a new high is the paltry Y1 ratio, well, at least now that is.
Perhaps the stumbling block has been Y2, although the dynamic delta produced by such low levels of ratio, really should not be a problem, as yesterday, it was standing at 3380.
The trouble is, that the longer it waits, then the rollover and expiry become more of an issue.
Although, at least, the zone here has moved up to where we anticipated, and it could easily just carry on, such is the dearth of ratio.
Our real issue throughout, has been the Y ratio bandwidth, and this continues to be a very scary 435-points wide.
It may all look good, and as we said back several expiries ago, this market was susceptible to a “crash-up”, such was the lack of meaningful ratio levels.
This doesn’t mean all is well with the world, it just means there is nothing to stop what it does naturally.
Our analogy is that it is like an automatic car, as even in neutral it will creep forward unless someone applies the brake.
And, if the minimal Y2 is acting as a brake, then the level of commitment out there is not much better than neutral.
Basically, our trading range says it all, which also reminds us of the end of last year and the beginning of this.
Range: 3305 to 3430
Activity: Very poor