aj This being expiration week, I think they are going to kill premiums both ways and landing on Max-pain 890 (your approx.) would seem likely to me. I also think the EOM- expiration will act much the same, as there are a lot of leaps expiring year end. This will keep us range bound and defeat some ta reads, IMO. The commercials being so short is offsetting a record bullish position in P/C ratio for the spx big contracts, which sits after last night at 1.282. Normal/neutral, looking back closely to 2005, is around 1.70. At the 2007 top it was as high as 1.91 with total Open Interest of 11.9 million. We sit now with that 1.282 P/C ratio and an Open Interest of 19.3 million also a near record, the record OI was set with the Nov. Expiration of 20.3 million contracts. My expectations are that we will shift back to more normal P/C ratios after the Leaps expire on 12/31. It's as if the market has no floor without a higher P/C ratio. Clearly the lower P/C ratio hasn't led to any bullish moves in the market since it went lower in Aug, '08 as you can see by this chart. Edit: below the chart I will post the COT from last week for the spx.
Market Data 
Markets 
AI
