Hedge Ratio Analysis

It is generally accepted that there are three things that define market movement on a daily basis; Fundamental Analysis, Technical Analysis and Derivatives. Our analysis concerns itself solely with Derivatives and in particular stock index options and futures, which is by a long way the largest sector in this USD $600tn industry, and their direct influence on the Benchmark indices.

We calculate daily the Hedge Ratio on the FTSE 100, DAX 30, S&P 500, Dow Jones Industrial Average and the Nasdaq 100 which gives us exact points where to expect Dynamic Delta Hedging. Or in simple terms where to expect futures selling or buying and a scale to see how much of it.

Latest Ratio tables here
by R1chard

Nb. Comment from 02/28/19 And 25400 was very significant indeed. The real test was on Thursday 14th Feb when the

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by R1chard

Nb. Our comment from 03/01/19 The fact there has been no change in the ratios is not a surprise, it

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by R1chard

What we said last time: Obviously, the zone has exceeded expectations, albeit had we published in the last ten trading

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by R1chard

As mentioned previously this would be where our last comment of the NDX would be, but as we haven’t covered

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by R1chard

Nb. This should be our last comment here, however, we never calculated the last rollover for the FTSE, at least

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by R1chard

Nb. Comment from 02/13/19 Remember it’s a triple this expiry. These are generally a bit more rip-roaring than intermediaries, just

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by R1chard

To be honest we are probably as bored as you are seeing it, the comment “as we said back on….”

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by R1chard

So, what more can we say about the DJX, as this entire expiry we have been pointing out how fluid

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by R1chard

As expected, we got the rise in the SPX’s zone to 2645-2655, but we rather doubt it is going to

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by R1chard

Of course, it should be the FTSE rollover table we are showing you but as there is still so much

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