Very underdeveloped SPX April expiry.

An ocean of Y ratio awaits the SPX in the April expiry.


Nb. Our comment from the 03/16/22 (Not published)


Nb. Our comment for 03/22/22


There are similarities with the rather odd FTSE here in the SPX, but not that many as it looks fairly conventional here at the moment.

Going back to last Wednesday, the rollover, we did see this index spend the majority of that day in or around its zone. Which back in the March expiry was at 4295-4305. Therefore, we are far more relaxed about what happened on the following Thu & Fri.

Worth noting though, that in March, Y2 started at 4405, and although the settlement price was just north of here, it wasn’t until this was out of the way before any significant gains happened on Friday.

What it did result in, especially as the zone here has been at 4395-4405 for quite some time, was that this index starts April in bullish territory.

This is very significant as it hasn’t been above its zone for a very long time.

In fact, just a stable zone would be a massive boon to the bulls.

All this looks very positive for this expiry, until that is we point out just how much minimal Y1 ratio there is.

This is important for two main reasons. Firstly, it means the zone is hardly establish, and so could move very easily, although this is equally true for either direction.

Secondly, with the Y1 ratio bandwidth coming in at 385 and the overall Y ratio bandwidth 610-points, these are some of the biggest numbers we have ever seen. And with so little ratio providing any sort of support or resistance by the naturally occurring dynamic delta, once this market realises this, it could go a very long way indeed with just the smallest impetus. It could also become very susceptible to whipsaw.

It looks ok for now, especially being in bullish territory, but don’t get fooled as 610-points is a 14% trading range, and that is in just four weeks.


Range:            4405  to  4580           

Activity:          Moderate

Type:              On balance bearish


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March 22nd, 2022 by