The S&P 1,150 Strange Attractor
Why we are likely hours away from S&P 1,150: Commentary from RBS Derivatives (alternatively, just more book pushing by the Scottish bank which has about 4 traders left):
SPX 1150 calls has 65k of open interest - majority of these bought were by customers at end of 2009/early 2010. Total of ~$7.5 bln in notional exposure at that strike. If street is short (sounds like they are), it translates to roughly $200mln in index futures to buy for every $1 move in the futures, and it accelerates as futures move higher. With expiration for SPX coming Friday Morning, 1150 line is going to act like a magnet as the closer we get, the more broker-dealers are going to have to buy. All sets us up for a potential rip thru that level should SPX cash test it.
Then again forced short covering is what has kept on driving this market for months. Perhaps the earlier ES surge was meant to spook and incite a major episode of short covering. So far, it is succeeding. It's not like anyone gives a rat's ass about fundamentals in a bubble.