Well we didn’t publish anything about the May expiry back on the 14th, however we did about the April expiry, and again on the 17th, so here is a few words about how April expired.
Despite our trading range being up to the bottom boundary of the zone (5650), as the market had managed to position itself just below this, we felt fairly confident we would see the settlement price within its zone.
After all, that was a lot of business done to get the zone to 5650-5750, so there was a lot riding on it.
In the end we suspect they were done by their own success, as the settlement price was 5798.85, almost a full 50-points above the upper boundary, and we really didn’t see that coming.
But, as we said on the 17th, the expiry, for us at least, wasn’t as important as the fact that the market was pretty much back to normal, and players were participating again.
Range: 5150 to 5650
Type: On balance just bullish
Nb. Our comment on 04/21/20
Getting that feeling of Deja vu again, greatly enhanced with a healthy dollop of coincidence.
As it was back on the 14th, please see above, that the market was at 5842.66, and facing R1 at 5850, albeit in the April expiry.
The first meaningful ratio it had run into now the market was back above its zone, and so therefore, the first futures selling brought about by the dynamic delta.
As history shows, it didn’t react well, dropping to 5575 by Wednesday 15th, with a repeat of this intraday low on the Thursday.
And so, here we are, in the May expiry now, and the market is again facing R1 at 5850.
The big difference this time, is now it is at the start of the expiry, rather than the end.
However, whether this will embolden people to push through the dynamic delta, remains to be seen.
Otherwise, since the 14th, the ratios for this expiry have filled out quite nicely.
So, there is a decent range and depth already in situ, now all we have to ascertain is the markets appetite.
One word of warning, is that the Y ratio bandwidth does stretch from 5850 all the way down to 5350, so if it turns out its not that hungry, then that’s a solid 10% potential pitfall.