Nb. Our comment on the expired May series
Well, you just have to give them 10 out of 10 for sheer effort alone.
And by this, we are certainly not referring to the first three days of last week. Although the effort involved there was also highly commendable.
Basically, on Monday the market got back into its zone with the close at 7464.80.
Then the Tuesday was all about the top boundary of the zone.
Wednesday was also about the top boundary of the zone but, with the Street collapsing, it was also about the bottom.
Interestingly, the real time close had it still clinging on, right on 7450, and it was the auction that took the market back below.
The Thursday was damage limitation pure and simple, although R2 must have helped with the low of the day.
So, come the actual expiry, and even we were surprised with the intraday high achieving zone status at 7453.49.
But this was nothing when the EDSP actually came in at 7442.99.
It may not be in its zone but, we for one, are not going to quibble with just over 7-points considering the journey and extreme headwinds it faced last week.
Finally, and as you can see from the table above, this is not our usual format, as this week we have decided to calculate the May expiry had it been going for one more day. In other words, as it would have been today, and this is the
right-hand column as you look at it.
Of course, as it is no longer tradable, there is no need for the range, activity or type.
Nb. Our comment on 05/23/22 (the June expiry)
As we would normally have the ratios for June from a few days ago in the right-hand column for comparison purposes, it will have to suffice when we say that there really hasn’t been a great deal of change in them over the last week, so you aren’t missing anything.
The first thing we must point out is that we are now in the June expiry, the second triple witching one of the year.
These are always considerably larger than the intermediary ones, so everything gets ratcheted up several notches.
Furthermore, these “big” expiries, tend to increase in size as the calendar year progresses. Therefore, June is generally the third biggest, with December being the biggest of them all.
This is important, as equity volumes as well as volatility all naturally increase exponentially over the course of these big expiries. So, don’t get side-tracked by people trying to curve-fit stories to the market moves.
Normally, it takes a while for markets to build up a head of steam to reflect the far larger numbers involved. But, in this instance, we are not sure that is going to be the case, as the moves recently have been quite spectacular in their own right.
Obviously, we would like to see the market get back into its zone. But, if it doesn’t, then we will have to see how sensitive it will be to the dynamic delta. R2 worked in May, and it could do again in June, but a lot will depend on when it interacts with it.
The sooner, the more likely it will have an impact. As the expiry goes on, not only is it less likely, but we would always anticipate it taking the far higher ratios to have the same affect as those that we have seen to be effective in the intermediaries.
And, as ever, a lot will depend on how much, or how little ratio there is present in the SPX, and we have all just witnessed what can happen when there is precious little.
Range: 7350 to 7450
Type: On balance only just bullish