Y2 Ratio still causing the SPX headaches.

Stimulus vs the expiry for the SPX ... again?


Nb. Our comment from the 02/05/21


As things are now getting a lot more interesting, we thought it would be nice to keep you updated.

When we say “interesting” what we really mean is that this index is at last taking on some ratio, so we now get to see just how committed they really are.

Of course, the last time this market met Y2, then at 3855, it retreated all the way back to 3695.

And although Y2 yesterday was at 3870 (nb. where it closed) it was fascinating to watch first how it rebounded from 3855 early on, then later, when it had established a beachhead as it were, it couldn’t get further than 3860 for almost the rest of the entire trading day.

For the record, although R1 looks unchanged at 3945, in the meantime it has been initially 3940, then yesterday 3935, before reverting today.

Also, in our last note, we mentioned that at last activity had picked up, well ever since those fateful words it has been negligible.

Another aspect to note, is that for a large part of this expiry, Y2 was entrenched at 3905, so although it has come in recently, now the ratios above the zone are in retreat, we would anticipate it ending up back there before very long. Perhaps early next week.

Last note we mentioned we would keep a weather eye on 3745-3755 potential to become the next zone, and it got as close as you could possibly get, but never actually took the plunge, and now it is very rapidly looking less and less likely.

Finally, please don’t lose sight of the fact that we are only talking about Y2, as although it has proved too much so far this expiry, historically, it should be no more than a speedbump. In fact, even R1 has only been a delaying tactic in the past.

At the end of the day this market has been incredibly sensitive to just small amounts of ratio, and therefore dynamic delta, and we have no evidence to suggest that this will not continue to be the case, but it is unusual that’s all.


Range:            3805  to  3880           

Activity:          Only just registered

Type:              N/A


Nb. Our comment for 02/10/21


In our last note, please see above, we did mention that despite the markets recent reactions we were still only talking about Y2 after all.

So, our surprise is not so much that it got over this level, but rather the difficulty it has been having since in coping with it.

And we are fast approaching this seemingly endless market manipulation, where once again we are heading for the situation of the stimulus versus the expiry.

The rollover is now a just a week away (boy don’t these 5-week expiries feel far longer than just 5 extra days) so ordinarily we would be looking for the market to gravitate towards its zone.

However, we have seen this before, and being so sensitive coupled with being encased in the minimal Y ratio, we could easily see a repeat of the zone ending up where the market is.

The weird aspect is that there has been virtually no movement in the ratios at all, and this holds true not only for our last note but also the previous one from the 2nd. Bizarre really, especially when this is particularly true below the zone, where there is more potential for it to do so than we would normally ever see.

Although, the last time, it all started with a click of a switch, and let’s face it, we are only talking about minimal ratios.

Long gone seemingly are the days when this index would happily take on the high R ratios and we would be happy to settle just for the expiry to be in the Y ratio at all.

Considering the lack of any real ratio opposition it is actually a concern that this market isn’t taking more of an advantage, so we have to remind everyone that the overall Y ratio bandwidth is still a gobsmacking 410-points wide

Perhaps the stimulus is not so much bullish motivation, but rather the aircushion supporting?

If so, the bulls better pray there’s no sharp objects in the vicinity.


Range:            3805  to  3955           

Activity:          Very poor

Type:              On balance bearish


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February 10th, 2021 by