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 Richard

One would be forgiven for not realising this SPX expiry was a triple. Nb. Our comment from the 02/19/21 (Not

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by Richard

DR Ratio ready to pounce on an unsuspecting FTSE. Nb. Our comment from the 02/15/21 (Not published)   Nb. Our

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by Richard

R2 at 6800 was a real slap in the face for the FTSE Nb. Our comment from the 02/15/21  

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by Richard

New SPX highs, but could have been so much more. Nb. Our comment from the 02/10/21   In our last

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by Richard

After truly epic battle with its zones upper boundary at 6550, is the FTSE now out of time. Nb. Our

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by Richard

Stimulus vs the expiry for the SPX … again? Nb. Our comment from the 02/05/21   As things are now

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by Richard

The FTSE stuck in its zone, but for how much longer? Nb. Our comment from the 02/01/21 It seems an

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by Richard

At last the SPX takes on some ratio. Nb. Our comment from the 02/02/21   Well, the market most certainly

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by Richard

The SPX is still extremely sensitive to low ratios. Nb. Our comment from the 01/26/21   If it’s any consolation

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by Richard

FTSE volatility to calm down. Nb. Our comment from the 01/25/21   Well last week was most definitely all about

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