June Expiration Follows History

Weekly Continuation

The trade last week followed the historical norms fairly well. The market had a pre-holiday rally that took prices just shy of the previous week’s high, only to find the appropriate selling and declines into the Holiday itself. Depending on how the positions are set- it is likely that there will be more weakness in the coming two days. That said, there has often been a short covering rally during the five day expiration process that has not occurred yet.

The trade in the June contract has created some interesting issues. While the Q2 rally has taken prices up to the 200 Day SMA and two standard deviations above the 20 week SMA, suggests that the Q2 high has occurred and currently met the historical averages. The twenty – year average of rallies from the Q1 low to the Q2 high is 47.6%, the five year is 33.3% with the lower numbers generated from the lower numbers in 2018 and 2019. The current rally from the Q1 low stands at 42.3% – well with in the norms. The only problem that keeps from confirming that is the average number of weeks to transition to the Q2 highs is substantially greater than the current six weeks.

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