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 far the SPX zone has held vol in check, but can it continue to do so? Nb. Our comment

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by R1chard

Having traversed our entire trading range last week the FTSE now knows where the dynamic delta triggers are. Nb. Our

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by R1chard

Another huge Y Ratio bandwidth this expiry in the SPX Nb. Our comment from the 10/16/20 (Not published)   Nb.

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by R1chard

Start of the FTSE Nov expiry and already there are oddities. Nb. Our comment from the 10/16/20 (Not published)  

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by R1chard

From Y2 all the way up to R1, not quite perfect for the SPX, but we will take it. Nb.

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by R1chard

After a titanic battle with 5950 the FTSE eventually achieves its zone.   Nb. Our comment from the 10/06/20  

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by R1chard

The SPX gets its new zone, but is that it? Nb. Our comment from the 09/29/20   Hopefully this week

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by R1chard

FTSE’s zones bottom boundary 5950 critical, again. Nb. Our comment from the 09/28/20   As we mentioned on the 23rd

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by R1chard

SPX good bounce off Y2, weekended in its zone, now decision time Nb. Our comment from the 09/25/20   Volatility

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by R1chard

FTSE done the hard yards, now just R1in its way. Nb. Our comment from the 09/23/20   Well, don’t we

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