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

Jack-hammer markets is the phrase you have been looking for. A sharp plunge down to support, for the SPX this

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by R1chard

    Hopefully you have been listening as in the FTSE the very day of our last comment, 3rd Dec,

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by R1chard

    Not exactly what we expected in the SPX but with so much Y ratio about we are certainly

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by R1chard

    If you had read what we have been saying so far this expiry then everything the FTSE did

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by R1chard

    It was such a huge day in every respect for the US indices yesterday we thought you might

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by R1chard

    For the poor old SPX, it is beginning to look like death by a thousand cuts as it

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by R1chard

    Basically, the last two days in the FTSE are exactly in keeping with what we highlighted in our

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by R1chard

    Well we sincerely hope you were not caught out by the bounce in the FTSE, which was always

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by R1chard

    The mighty Dec expiry never disappoints, and this is only day 1 of a five week long one.

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by R1chard

    Just as suspected the big players haven’t surfaced here in the NDX, but also, they have stopped adding

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