Nb. Our comment from the 12/11/20
The decisive day came when we last published, Tuesday 8th December, when R2 was standing at 3705, and the SPX hit the intraday high of 3708.45.
This was a continuation of its war with the R2 ratio, as it just kept battering away, evidently still a bit perplexed as to why there were so many futures coming out into the market.
Wednesday saw another attempt to blast through, with the intraday high of 3712.39, which was a bit in isolation, as for most of the time it didn’t get past 3710.
Obviously, yesterday, it didn’t have any further attempts, so, the $100 question, is whether or not they have now had enough.
Ironically, although they won’t know it, they have actually won this battle, as R2 is now 3755, leaving plenty of room for another step-up.
But and this is quite a biggie, yesterday they bounced, or gained support, from R1, which was then at 3655, the intraday low being 3645.18.
Which, over these two days, is a bandwidth test, which incidentally, was also our trading range.
The biggie in question however, is the fact that today R1 has slipped to 3705, meaning that this market is now back in its Y ratios.
And, as we always say, this means volatility and whipsaw.
The Y ratio bandwidth is now a staggering 410-points, btw.
The real issue is will, or can, the zone moves in time, as the closer we get to expiry, and the rollover next Wednesday, the more it will bring its influence to bear.
Interestingly, 3645-3655 AND 3695-3705 are now making moves that could see them claim the crown.
What a bizarre expiry is all we can say, although it was weird from the very start with so much Y ratio present, but our trading range (Y ratio bandwidth) essentially says it all. Good luck.
Range: 3295 to 3705
Nb. Our comment for 12/15/20
Amazingly still no move in the zone.
We suspect the problem is that the market had gone so far past where it was, and still is, that normal development has been very difficult.
But, having just said that, one of the other major contributing factors has most definitely been the stubbornness of the ratios below the zone to rise.
This, we just can’t explain, and it’s not as if they are particularly high.
By which we mean being B ratios, as because the thresholds are exponential, these ratios are seriously big numbers, so perfectly understandable that it takes a while, and decent activity, to shift them, but here we are talking about RR1 and R2.
The fact that the market, especially at this particular point in time, is where it is, makes 3645-3655 the favourite to be the next zone.
However, we certainly haven’t ruled out 3695-3705, which are the two levels mentioned previously.
But and it won’t take much, by the rollover tomorrow, if not in the next few hours, we would expect the Y1 ratio to stretch up to 3655.
R1 at 3705 is also now on tenuous ground, so we would expect that to change in much the same timeframe, so best think of R1 at 3730 come this afternoon.
Under current circumstance, anywhere in the Y ratios for the rollover and expiry, would be fine really.
But and although we have seen a lot of these biggest of the big expiries, we have never seen one with a ratio profile like this.
So, in our opinion, we are glad it is acting so benignly, as the Y ratio stretches from 3295 up to (say) 3730, which is 435-points, or 12%, which is a truly scary bandwidth of negligible ratio.
Which is ironically back to exactly where we were at the start of this year, so, for once, those performance-based bonus’s might be a good thing, and who would have ever thought of us saying that. Weird times indeed.
Range: 3295 to 3705 (3730)
Type: On balance bearish