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

Does the FTSE have one more zone move in it during the final week of the April expiry? Nb. Our

Posted in Uncategorized

by Richard

The FTSE does get its new zone. Nb. Our comment from the 03/29/21 The first week of the April expiry

Posted in Uncategorized

by Richard

The SPX certainly made a meal out of getting past Y2, but it has. Nb. Our comment from the 03/30/21

Posted in Uncategorized

by Richard

The SPX being in the middle of such minimal ratio should be a lot more volatile. Nb. Our comment from

Posted in Uncategorized

by Richard

If last week was all about the upper zone boundary, we think this week will be all about R1. Nb.

Posted in Uncategorized

by Richard

The SPX April expiry see’s no Y ratio bandwidth improvements. Nb. Our comment from the 03/17/21 (Not published)   Nb.

Posted in Uncategorized

by Richard

FTSE opening price aberration still clouds the real picture. Nb. Our comment from the 03/18/21 (Not published) Nb. Our comment

Posted in Uncategorized

by Richard

At last a bit of SPX aggression, but just a modicum. Nb. Our comment from the 03/10/21   We did

Posted in Uncategorized

by Richard

Still all to play for in the FTSE in its rollover and expiry week.   Nb. Our comment from the

Posted in Uncategorized

by Richard

Rollercoaster SPX, but going nowhere really. Nb. Our comment from the 03/02/21   We have some good news and some

Posted in Uncategorized