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

The SPX certainly paints a better picture than when we looked at it back on the 15th Jan for the

Posted in Uncategorized

by R1chard

When we last looked at the FTSE the zone in January was 6800-6900 and in Feb it was 6950-7050. On

Posted in Uncategorized

by R1chard

For the DJX this expiry it was all about 23400, which we have covered at great length in previous articles,

Posted in Uncategorized

by R1chard

It was a truly awful end to 2018 and at this very point in the Dec expiry we were using

Posted in Uncategorized

by R1chard

Well it certainly has been a nomadic zone for the Jan expiry in the FTSE. In fact, it has changed

Posted in Uncategorized

by R1chard

It’s not a big change in the SPX, more of interest than significant as well. The zone has moved up

Posted in Uncategorized

by R1chard

Hope you were listening in the FTSE as “obviously, there is still considerable risk, but now we are into a

Posted in Uncategorized

by R1chard

Well, you can’t say you weren’t expecting a wild ride. Of course, the ratios should be calculated daily, but nevertheless

Posted in Uncategorized

by R1chard

There were two massive milestones for the FTSE last week. Firstly, bouncing off R3 which was then at 6550, with

Posted in Uncategorized

by R1chard

The fascinating aspect about these ratios is that the potential for something new and unseen is always present. When we

Posted in Uncategorized