Category: Uncategorized

April 1st, 2020 by R1chard

Nb. Our comment for 03/26/20

Well we couldn’t have published, on Sat 21st March, our last comment (see above) at a more opportune time, as the very next trading day, Monday 23rd saw the SPX hit an intraday low of 2191.86.

The fact it had closed the previous Friday at 2304.92, meant that B1 was the next line of ratio support.

And, significantly, it was B1.

Let us hope it has done the trick, as a quick glance at the table above, will show you that B1 has now slipped to 2070, which is really not good news, unless you’re a bear that is.

However, the main takeaway from this bounce for us, is that rationality has returned.

This is no minor facet, as last expiry there was no rhyme or reason, just panic, whereas now, it seems that the market is once again taking heed of the dynamic delta.

And the amount of futures buying produced by the dynamic delta of ratio the magnitude of B1, should really stop an express train, unless, like last trip, it is runaway mode.

Anyway, the market is now in a massive R2 ratio bandwidth, that stretches for 365-points, so volatility should remain, but hopefully this level of dynamic delta will take everything down a notch, or two.

Although, do not get complacent, as not only are the ratios falling below the zone, they haven’t really increased above it.

And, pointedly, the zone itself has not moved at all, and remains entrenched up there in the ozone layer.

Considering the dearth of ratio still surrounding it, then it should really be dropping down to meet the market, and its failure to do so, means that everything is not quite back to normal, which is a grave concern.

 

Range:            2380  to  2745         

Activity:          Moderate      

Type:              On balance bullish

 

 

Nb. Our comment on 04/01/20

 

All we can say is that we hope B1 when it was at 2195 and the market hit the intraday low of 2191.86 is going to be enough.

If so, it means this market will need a good memory, something in fast markets it’s not exactly renowned for.

The reason we say this is because the ratios below the zone continue to tumble.

Last time the ratio range was 2380 (R3) to 2745 (R2), so the big moves we have seen in the last few days were only to be expected.

Although, we were going to get big moves no matter where the ratios were.

As the market has recovered a bit, and don’t forget end of quarter rebalancing, we have put today’s trading range at 2545 to 2795, but we are not daft enough to think this market is going to open above 2545, so this is just protocol.

Basically, R3 is now 2305, and for us that is a finger crossing and hope support level, with the top end of the range 2545, being where R2 has fallen to.

In effect, this is the market staying within the same bandwidth.

We say, we hope, because B1 has collapsed to 1995, so we sincerely hope we don’t have to call on that again.

The zone will move, but really it should have done so by now already, again a concern, as is the very low levels of activity.

The ratios are what they are in the table above, but please remember, they are changing all the time.

 

Range:            2545  to  2795         

Activity:          Poor 

Type:              Neutral

Posted in Uncategorized

March 30th, 2020 by R1chard

Nb. Our comment from the 03/26/20 (Not published)

 

Nb. Our comment on 03/30/20

 

1st week down, just three more to go.

Obviously, the end of the March expiry was a train wreck, and because of this, the next expiry, April, just can’t adjust quickly enough.

This remains the case, as the table above shows a very unusual ratio configuration.

However, it does appear as if 5550-5650 will very probably be the next zone.

Which, if this is then the case, it is worth noting that the close on Thursday, 5815.73, would have been above it, as would have been Wednesday’s, at 5688.20.

Basically, it is just struggling to find a degree of normality, which it will just not do until the zone does actually change.

Then, and only then, can the ratios either side start adjusting into the more regular pattern.

However, if the zone does become 5550-5650, then we would expect to see R1 kick in at 5450 below it, and 5850 above it, but in the meantime, the above is what it is.

This would then still leave a 400-point Y ratio bandwidth, which would include the zone, but would give plenty of room for manoeuvre to this market.

It would be nice to see this market return to normal, not that it was acting normally prior to this, but past experience, specifically 2009 and 1987, suggest that it takes a good few months or expiries, for this to happen.

Although, this is more a London specific problem, as the US derivative markets “spin-on-a-dime” and practically adjust overnight, or at least in a matter of weeks, not months.

 

Range:            5450  to  5700         

Activity:          Moderate

Type:              On balance bearish  

Posted in Uncategorized

March 26th, 2020 by R1chard

Nb. Our comment on 03/20/20

We are going to start the April commentary with a reminder of what we said at the end of our last one; “Virus aside, any market that takes on the dynamic delta that occurs when it interacts with the DR ratio, in this case futures buying, is a market that has that many futures to sell to meet that demand, so worth bearing this in mind.

At the end of the day, if the market is happy to supply enough to meet this naturally occurring demand, then it will not have any effect, which will only come when that demand outstrips the supply”.

The point being, is that it doesn’t matter how much dynamic delta is generated until this is greater than the markets appetite.

And currently this market is ravenous, and fuelled by extreme emotion, so worth remembering.

However, there are a few points to take away, the first being that the zone is rather bizarrely, actually higher than March’s was.

Secondly, the Y ratio bandwidth is now a ridiculous 490-points.

Thirdly, we are now in an intermediary expiry, so everything, under normal circumstances, should quieten down.

Finally, and again, under normal conditions, the market should become more sensitive to lower ratios. As in we mentioned that in a triple it was not unknown for it to trade between the B ratios, well, in an intermediary, this normally changes to mid R ratios.

Actually, there is one other point, which is that this market is now as vulnerable to a crash-up as it once was to a downward correction, as bizarre as that may seem.

And, although we haven’t mentioned it for a while, we do strongly feel that the regulators should have been aware of how overstretched this market had become, and should have taken pre-emptive action, as they had at least two months warning to do something, if only a warning, so shame on them.

 

Range:            2345  to  2595         

Activity:          Average      

Type:              Neutral

 

Nb. Our comment for 03/26/20

Well we couldn’t have published, on Sat 21st March, our last comment (see above) at a more opportune time, as the very next trading day, Monday 23rd saw the SPX hit an intraday low of 2191.86.

The fact it had closed the previous Friday at 2304.92, meant that B1 was the next line of ratio support.

And, significantly, it was B1.

Let us hope it has done the trick, as a quick glance at the table above, will show you that B1 has now slipped to 2070, which is really not good news, unless you’re a bear that is.

However, the main takeaway from this bounce for us, is that rationality has returned.

This is no minor facet, as last expiry there was no rhyme or reason, just panic, whereas now, it seems that the market is once again taking heed of the dynamic delta.

And the amount of futures buying produced by the dynamic delta of ratio the magnitude of B1, should really stop an express train, unless, like last trip, it is runaway mode.

Anyway, the market is now in a massive R2 ratio bandwidth, that stretches for 365-points, so volatility should remain, but hopefully this level of dynamic delta will take everything down a notch, or two.

Although, do not get complacent, as not only are the ratios falling below the zone, they haven’t really increased above it.

And, pointedly, the zone it self has not moved at all, and remains entrenched up there in the ozone layer.

Considering the dearth of ratio still surrounding it, then it should really be dropping down to meet the market, and its failure to do so, means that everything is not quite back to normal, which is a grave concern.

 

Range:            2380  to  2745         

Activity:          Moderate      

Type:              On balance bullish

Posted in Uncategorized

March 21st, 2020 by R1chard

Nb. March Expiry

 

We thought people might be interested in the final ratio reckoning of the triple witching March expiry, where the eventual settlement price was 2437.98.

That is one really big OUCH.

In our last comment we mentioned that in these big expiries, back in the day, going from B1 to B1 was quite common.

However, what was uncommon, was that there was such a gargantuan Y ratio bandwidth, ending at an astonishing 400-points wide.

We also mentioned, repeatedly, that an 8% to 10% move was very probable, although, and holding our hand up here, we never envisaged a rout such as we have had.

Although, once you have dropped several hundred points through the minimal Y ratio then there is a natural degree of momentum, couple that with the lack of the high end of ratio, and yeah, we can see how it happened.

Nevertheless, finishing in B1 is going to hurt, as the real kicker, was the total lack of any recovery into the more minor levels of ratio for the expiry.

And, although not in the table above, the fact that B2 finished at 2420, we suspect that in the end the market did exceptionally well to finish above this.

All very expensive, but hopefully now we enter into an intermediary expiry, things may quieten down a bit, but with nerves so frazzled, we suspect it would be better to be entering a triple rather than exiting one at this present moment in time.

 

Range:            2420  to  2615         

Activity:          Moderate      

Type:              On balance only just bullish

 

 

Nb. April Expiry

We are going to start the April commentary with a reminder of what we said at the end of our last one; “Virus aside, any market that takes on the dynamic delta that occurs when it interacts with the DR ratio, in this case futures buying, is a market that has that many futures to sell to meet that demand, so worth bearing this in mind.

At the end of the day, if the market is happy to supply enough to meet this naturally occurring demand, then it will not have any effect, which will only come when that demand outstrips the supply”.

The point being, is that it doesn’t matter how much dynamic delta is generated until this is greater than the markets appetite.

And currently this market is ravenous, and fuelled by extreme emotion, so worth remembering.

However, there are a few points to take away, the first being that the zone is rather bizarrely, actually higher than March’s was.

Secondly, the Y ratio bandwidth is now a ridiculous 490-points.

Thirdly, we are now in an intermediary expiry, so everything, under normal circumstances, should quieten down.

Finally, and again, under normal conditions, the market should become more sensitive to lower ratios. As in we mentioned that in a triple it was not unknown for it to trade between the B ratios, well, in an intermediary, this normally changes to mid R ratios.

Actually, there is one other point, which is that this market is now as vulnerable to a crash-up as it once was to a downward correction, as bizarre as that may seem.

And, although we haven’t mentioned it for a while, we do strongly feel that the regulators should have been aware of how overstretched this market had become, and should have taken pre-emptive action, as they had at least two months warning to do something, if only a warning, so shame on them.

 

Range:            2345  to  2595         

Activity:          Average      

Type:              Neutral

Posted in Uncategorized

March 6th, 2020 by R1chard

Nb. Our comment from 03/03/20

 

Well, really, you should not have been surprised by this move, or the timing of it, being at the dawn of a new expiry.

As you know we were expecting a big move, but this went over and above even what we anticipated.

However, in days of yore, well a couple of years ago anyway, when it came to a triple, then everything just ratcheted up several notches.

So, where we would see the R ratios as pivotal, in a biggie, this would up to DR or B1.

As it hasn’t happened for a while, we haven’t mentioned it, but that doesn’t mean to say this, what we are seeing now, is abnormal.

In fact, quite the opposite, as this, to us at least, is the return to normal.

What isn’t so normal, and is fact very abnormal, is 235-points of Y ratio bandwidth, as, back in the day, one might see a tenth of this, in a triple.

The problem is, when a market has just transversed the entire length of this abnormal minimal ratio bandwidth, there is a degree of momentum inherent, and add another surprise whammy, and then you get a market taking on ratios it hasn’t had the nerve to for a quite a while now.

The intraday low on Friday, 2855.84, was deep into DR ratio, which is a huge amount of dynamic delta to take on, but one that is not unknown in a triple.

The fact the market closed above 2945 is also very significant, as was the fact the intraday low on Monday was 2945.19 and its close above 3085.

It still has a long way to go, but the table above will show you the significant hurdles ahead, on top of which, we rather doubt that we have seen the last of the zones moves down, but, it’s a start.

More to the point, we now know this markets pain threshold.

 

Range:            3085  to  3145         

Activity:          Good      

Type:              Neutral

 

 

Nb. Our comment on 03/06/20

 

Last Friday the intraday, and, so far at least, expiry low, was 2855.84, which was deep in the DR ratio, then around 2895.

So, on todays ratio table above, it is perhaps worth noting that DR now doesn’t start until 2870.

However, from just below 2900, which was the old level, there is a significant step-up in the ratio, as it is closer to being DR than R3.

Perhaps worth reminding that the ratios are in ranges, so a certain point, such as 2895, could be just below the threshold of DR, but still a long way above from the minimum that qualifies as R3.

Anyway, it does show that the ratios are falling below the zone, which is bearish, as is the fact the market is below its zone.

The zone has dropped already this expiry, and although it is static today, we very much doubt that the next time we calculate the ratios it will be where it is now.

The good news, is that as the ratios tumble it brings the Y ratio bandwidth closer.

Today, it is standing at 3095, so it wouldn’t take much for this market to claw its way back into it, making this level very significant.

More good news, is that there is still two weeks to go in this expiry, so plenty of volatility left to take advantage of.

Virus aside, any market that takes on the dynamic delta that occurs when it interacts with the DR ratio, in this case futures buying, is a market that has that many futures to sell to meet that demand, so worth bearing this in mind.

At the end of the day, if the market is happy to supply enough to meet this naturally occurring demand, then it will not have any effect, which will only come when that demand outstrips the supply.

 

Range:            2945  to  3045         

Activity:          Moderate      

Type:              Neutral

Posted in Uncategorized

March 3rd, 2020 by R1chard

Nb. Our comment from 02/25/20

 

Well, really, you should not have been surprised by this move, or the timing of it, being at the dawn of a new expiry.

If anything, it has been a result, as the Y ratio bandwidth we have been incessantly banging on about, has actually narrowed in March, to 190-points, from the 260-points in the previous trip.

Worth noting is that the intraday high last week, and actually the expiry high, was on Wednesday 19th at 3393.52, but if you look back, 3385 would be the more frequent intraday high.

The point being, that from 3385 to yesterday’s intraday low of 3214, is 171-points.

You can quibble about 19-points, but that’s close enough for us.

The ratio table above is the pertinent point now, as R1 is not that far away, which will be the big test for the bears.

As will the fact that today this index is in bear territory (below the zone), which it didn’t like last trip.

For us, that move proves nothing, as it is just through the minimal Y ratio.

Dramatic it may be, but it is only what we would expect.

The real fun comes when it starts taking on the R ratios, either side of the zone, naturally.

 

Range:            3195  to  3270         

Activity:          Average      

Type:              On balance only just bearish

 

 

Nb. Our comment on 03/03/20

 

Well, really, you should not have been surprised by this move, or the timing of it, being at the dawn of a new expiry.

As you know we were expecting a big move, but this went over and above even what we anticipated.

However, in days of yore, well a couple of years ago anyway, when it came to a triple, then everything just ratcheted up several notches.

So, where we would see the R ratios as pivotal, in a biggie, this would up to DR or B1.

As it hasn’t happened for a while, we haven’t mentioned it, but that doesn’t mean to say this, what we are seeing now, is abnormal.

In fact, quite the opposite, as this, to us at least, is the return to normal.

What isn’t so normal, and is fact very abnormal, is 235-points of Y ratio bandwidth, as, back in the day, one might see a tenth of this, in a triple.

The problem is, when a market has just transversed the entire length of this abnormal minimal ratio bandwidth, there is a degree of momentum inherent, and add another surprise whammy, and then you get a market taking on ratios it hasn’t had the nerve to for a quite a while now.

The intraday low on Friday, 2855.84, was deep into DR ratio, which is a huge amount of dynamic delta to take on, but one that is not unknown in a triple.

The fact the market closed above 2945 is also very significant, as was the fact the intraday low on Monday was 2945.19 and its close above 3085.

It still has a long way to go, but the table above will show you the significant hurdles ahead, on top of which, we rather doubt that we have seen the last of the zones moves down, but, it’s a start.

More to the point, we now know this markets pain threshold.

 

Range:            3085  to  3145         

Activity:          Good      

Type:              Neutral

Posted in Uncategorized

March 2nd, 2020 by R1chard

Nb. Our comment from the 02/26/20

 

We made a point out of saying the FTSE had been zone bound for the entire Feb expiry, even when it was knocking on the upper boundary at 7650 at the very start.

Of course, the March expiry on the 21st was not published, but as you can see the zone was 7200 to 7300.

So, the FTSE did remarkable well to expire in its zone on Friday, the EDSP was 7417.38 out of interest, but March was again different.

So, the zone at the start of Feb was 7550-7650, and it moved to 7400-7500, and now you have March kicking off at 7200-7300.

The fact that Monday closed at 7156.83, meant it had already overshot, and, therefore, was in trouble.

There is a step-up in the ratio at 6950, hence why it is in brackets in our range.

Also, the top is where B1 starts, so could provide some resistance.

However, we would anticipate this being rather minimal, as given half a chance, this market should erupt out of from being in the B ratios, like a scalded cat.

If it doesn’t make it soon, it means this trip is going to be one very hard slog through this level of ratio.

Exciting times.

 

Range:            (6950)  to  7050         

Activity:          Poor

Type:              On balance bearish  

 

 

 

Nb. Our comment on 03/02/20

 

As we said back on the 26th February “this market should erupt out of from being in the B ratios, like a scalded cat”, and it certainly did try, closing that day at 7042.47.

The step-up level we talked about, 6950, did a remarkable job, and held up the collapse for quite a considerable time.

However, the fact that the intraday low was 6871.85, way below our step-up level, was a very specific warning, even though that day it did hold.

The other aspect that should have given you a significant clue was our resistance level, also ergo the top of our trading range, 7050, as the intraday highs on Wednesday and Thursday was 7044.66 and 7042.47 respectively.

All history, like our warnings, but we suspect what everyone really wants to know is the future.

When a market gets the “dreads” it takes a lot to change that emotion, so we have gone as far as we can in calculating the ratios.

Sadly, we should do this daily, so please bear this in mind, as we can’t see how these extremes have evolved, just what they are now.

Suffice it to say, B1 is a staggering amount of dynamic delta, in this instance futures buying, and breaching this just shows the extreme strength of dread out there.

But, B2 and B3, are exponentially calculated ratios, and B3 is now in the frame, and this is an incredibly huge ratio.

In fact, the biggest there is in this expiry, so literally the last line of defence.

Let’s hope this holds.

 

Range:            6350  to  6750         

Activity:          Poor

Type:              Bullish  

Posted in Uncategorized

February 26th, 2020 by R1chard

 

Nb. Our comment from the 02/21/20

March expiry not published.

 

Nb. Our comment on 02/26/20

 

We made a point out of saying the FTSE had been zone bound for the entire Feb expiry, even when it was knocking on the upper boundary at 7650 at the very start.

Of course, the March expiry on the 21st was not published, but as you can see the zone was 7200 to 7300.

So, the FTSE did remarkable well to expire in its zone on Friday, the EDSP was 7417.38 out of interest, but March was again different.

So, the zone at the start of Feb was 7550-7650, and it moved to 7400-7500, and now you have March kicking off at 7200-7300.

The fact that Monday closed at 7156.83, meant it had already overshot, and, therefore, was in trouble.

There is a step-up in the ratio at 6950, hence why it is in brackets in our range.

Also, the top is where B1 starts, so could provide some resistance.

However, we would anticipate this being rather minimal, as given half a chance, this market should erupt out of from being in the B ratios, like a scalded cat.

If it doesn’t make it soon, it means this trip is going to be one very hard slog through this level of ratio.

Exciting times.

 

Range:            (6950)  to  7050         

Activity:          Poor

Type:              On balance bearish  

Posted in Uncategorized

February 25th, 2020 by R1chard

Nb. Our comment from 02/20/20

Not published for the March expiry.

 

 

Nb. Our comment on 02/25/20

Well, really, you should not have been surprised by this move, or the timing of it, being at the dawn of a new expiry.

If anything, it has been a result, as the Y ratio bandwidth we have been incessantly banging on about, has actually narrowed in March, to 190-points, from the 260-points in the previous trip.

Worth noting is that the intraday high last week, and actually the expiry high, was on Wednesday 19th at 3393.52, but if you look back, 3385 would be the more frequent intraday high.

The point being, that from 3385 to yesterday’s intraday low of 3214, is 171-points.

You can quibble about 19-points, but that’s close enough for us.

The ratio table above is the pertinent point now, as R1 is not that far away, which will be the big test for the bears.

As will the fact that today this index is in bear territory (below the zone), which it didn’t like last trip.

For us, that move proves nothing, as it is just through the minimal Y ratio.

Dramatic it may be, but it is only what we would expect.

The real fun comes when it starts taking on the R ratios, either side of the zone, naturally.

 

Range:            3195  to  3270         

Activity:          Average      

Type:              On balance only just bearish

Posted in Uncategorized

February 21st, 2020 by R1chard

Nb. Our comment from the 02/13/20

 

It has been probably a bit too long since our last comment, especially as there have been so many changes to the ratios.

The real biggie, is the fall in the zone to 7400-7500 of course.

We didn’t see that coming, although without calculating the ratios there is naturally no way that we could have.

More importantly, without knowing when that, or the other ratios changed, means we can’t really comment on any market interaction.

However, the last two days activity around 7500, the top of the zone, now makes sense.

There are going to be a lot more twists and turns here for sure, especially as the rollover is upon us next week.

Suffice it to say, that with the Y ratio bandwidth now stretching from 7250 all the way up to 7650, the FTSE has ample latitude to do almost anything.

The only perplexing aspect is why it isn’t putting down moves like the DAX.

One point that is worth remembering, is that over the first three days of this expiry, this index couldn’t break up through what was then the top of its zone, or 7650, which, as you can see is now R1.

Which is also the top of our range.

 

Range:            7500  to  7650         

Activity:          Moderate

Type:              On balance decently bullish  

 

 

Nb. Our comment on 02/21/20

 

As we said in our last comment; “The real biggie, is the fall in the zone to 7400-7500 of course”.

Furthermore, we also pointed out; “However, the last two days activity around 7500, the top of the zone, now makes sense”.

The point of repeating this is the fact on the very day of our last comment, this market’s intraday high and low were 7534.37 and 7406.94, before closing at 7452.03, right bang slap in the middle of the zone.

The next two days saw intraday lows of 7403.69 and 7409.13, two more test of the bottom boundary.

So, no surprise day three closed below it, Tuesday 18th, but respect for the recovery the next day, to close at a rather coincidental 7457.02, middle stump again.

It will be rather interesting to see if it can hold its zone for the actual expiry today, but the last hour or so is rather academic, especially as the triple witching March is overshadowing everything.

Our reading of the Feb expiry is that the FTSE has been zone bound throughout, initially getting knocked back when the upper boundary was 7650 at the very start, then since its moved to its current level, it has been there or thereabouts.

The only shame being that we weren’t watching to see when it did make the actual move.

Basically, bit of a lucky escape really, as the ratios have weakened below the zone, with the appearance of Y1, so it could have been an awful lot worse, if you’re a bull that is.

 

Range:            7400  to  7500         

Activity:          Moderate

Type:              On balance decently bearish  

Posted in Uncategorized