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

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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by R1chard

In our last comment on the 25th January here in the SPX R1 was coming up fast on the horizon,

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by R1chard

We just hope you were listening, as way back on 21st January, at the very start of this expiry, in

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by R1chard

Just to remind everyone what we said last week about the FTSE; “firstly, the zone, and although it has dropped

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by R1chard

Even though the US markets were closed on Monday we still expected a bit more zip out of them during

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by R1chard

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

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by R1chard

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

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by R1chard

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

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