Category: Uncategorized

December 11th, 2018 by R1chard
SPX , NDX & DJX Ratio Table 11th December 2018

Jack-hammer markets is the phrase you have been looking for.

A sharp plunge down to support, for the SPX this has been R3, followed by the longclimb back up before plunging again trying to drive that R3 further down.

Wednesday 6th December was fantastic as it plunged 78.53-points to the intraday low of 2621.53 hitting R3 at 2620 before recovering all the way back up to 2695.95.

Don’t forget back on the 20th November the SPX hit the intraday low of 2631.52 and a couple of days later 2631.09 when R3 was at 2620, before recovering all the way back up to 2800.

So, yesterday’s intraday low of 2583.23 was a bit passed R3 at 2595, but it was strike 3 if not 4, and it also had to wait for the DJX to join the party, please see below.

Nevertheless, we still saw a 55-point bounce.

The fact this index closed just above R2 gives it a glimmer of hope, as does the fact that the zone has eventually made its move, which will hopefully bring an end to the constant undermining of the ratios here.

At the end of the day the ratios have been doing their job, which is revealing where the dynamic delta hedging will be, which recently was R3 worth of futures buying, and although we can’t predict how the market will react the evidence recently is overwhelming, highlighted by there being so much Y ratios still around.

Range:            2595  to  2635        or        2635  to  2695

Activity           Poor

Type:              On balance only just bearish

Click here to buy
Click here to buy now

Boy, we bet they are glad they chose the biggest of the big expiries to implement this “overhaul”, not.

Nevertheless, it still hasn’t stopped them adding countless more unnecessary strikes.

It wouldn’t be so bad if it actually achieved some activity, but, again, it very obviously hasn’t.

The zone is back to where it should never have changed from, which only goes to prove how desperately low the already classed as minimal, Y1 ratio actually is.

The big drop on Thursday 6th December of 164.39-points here in the NDX (if you hadn’t already guessed) took this index to an intraday low of 6630.82, pretty much bang on Y2 at 6625.

Today, Y2 is at 6550 and yesterday’s intraday low was 6534.33 out of interest.

Huge moves in the markets and huge swathes of Y ratio, again, exactly what we said there was a risk of back during the rollover, literally a month ago, and perfectly exemplified by this index, where the Y1 ratio bandwidth alone still stretches for an unbelievable 650-points.

Don’t forget the rollover and expiry begin next week, and we normally warn of a build up in volatility in light of that, so if you think the last couple of weeks have been good/bad then the potential for it to ratchet up even more is certainly there. What fun.

Range:            6550  to  6775

Activity:          Poor

Type:              Neutral

Click here to buy
Click here to buy now.

Don’t forget jack-hammer markets.

For the DJX this meant a plunge of 785-points to the intraday low of 24242, which was definitely a test of R1 24200, before recovering all the way back up to 24947.

No coincidence that 24900 is the bottom boundary of its zone we reckon.

Makes that a Y ratio bandwidth test into the bargain.

Next day, again no coincidence we feel, that the intraday high of 25095 was a hit oftheir zone’s upper boundary, before it gave up 707-points.

Incidentally that day the intraday low was 24284.

Then, yesterday, the intraday low was 23881 which was a test of the next ratio level, which happens to be R3 at 23900.

Again, we witnessed a 619-point bounce.

Jolly good stuff really.

Yet again, no change in the ratios.

Range:            24200  to  24900

Activity:          Average

Type:              Bullish

Posted in Uncategorized

December 10th, 2018 by R1chard

FTSE & DAX Ratio Table 10th December 2018

 

 

Hopefully you have been listening as in the FTSE the very day of our last comment, 3rd Dec, we got the breakout from the 6950-7050 two-week trading range as expected.

The perfect irony was the intraday high last Monday was 7145.45 which was a test of the stubborn old zones bottom boundary, 7150.

This was exactly the push that this index needed as the zone has now moved to where it should have been all along, 6950-7050, surprise surprise.

Of course, this index was already well acquainted with 6950, but it was still humbling to see it in action on the Wednesday when this index was reacting to the first of Wall Street’s big falls.

In fact, that day saw the first test of B1 which was lurking at 6900 and is now at 6850.

In all honesty, if you knew where the ratio levels were in the FTSE then last week made perfect sense, as the intraday low on Thursday of 6673.57 does not do justice to how well B2 held the line at 6700.

The fact that the intraday low on Friday was 6704.05 is no coincidence.

Today it is still the same but please be aware that it is clinging on by its fingernails, being just above the threshold, not to mention another test would be strike 3, but 6650 is a very solid B2.

And grab those handrails as we still have two more weeks of this fantastic biggest of the big triple witches, which has lived up to its reputation admirably.

 

Range:            (6650) / 6700  to  6850 

Activity:          Poor

Type:              Bullish

 

 Click here to buy

 

 

If London was a perfect example of an index reacting with its ratio levels then the DAX wasn’t very far behind.

In our last comment we mentioned “this, now makes 11350 as a very significant level” because “if it can get over this then it is into the minimal Y ratios, which stretch all the way up to 11850, so buckle up”.

So, if you had been paying attention, then that Monday it gapped up at the open by a massive 278-points, but more importantly to 11534.

Again, if you had been paying attention, the intraday high and low of 11566 and 11457 respectively made that a zone bandwidth test (= breakout).

A zone that has remained static incidentally.

The next two days saw intraday lows of 11335 (confirming breakout) and 11177 which were, and still are, ratio levels of R2 at 11350 and R3 at 11150.

DR was at 11050 and Thursday’s open was 11053, which was essentially the high as well as the outlook was so bleak.

So, that really left B1 as the next line of defence, and as one can see today it is 10750, and on last Monday it was 10900, so at some stage it shifted, and as the intraday low on Thursday was 10762, we can only suspect that it was on the move, or had moved, by then.

Same as London though, as B1 is so courtesy of its fingernails, but here the more solid B1 is at 10650.

This does bring back memories though, as the DAX used to routinely trade between its B1 levels, although back then there was never such a huge gap from one to the other, which is really what is affecting the US at the moment and giving rise to such fantastic trading markets.

 

Range:            (10650) / 10750  to 10950

Activity:          Moderate

Type:              Bullish

 

 

Click here to buy

Posted in Uncategorized

December 5th, 2018 by R1chard

SPX , NDX & DJX Ratio Table 5th December 2018

 

 

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

Although, perhaps a bit by the speed of it all, which now makes this expiry a week ahead of schedule.

As we have said so many times before the perfect expiry is when an index moves towards the R ratios (either up or down), interacts and reverses course, then proceeds to interact with the corresponding one on the other side of the zone before finishing in said zone on the rollover.

Of course, this trip we have hit R3 at the start, and now we have hit R1, the difference is that it has taken a week to do what should have taken two.

On Monday the intraday high was 2800.18, which is a few points shy of R1 at 2805 admittedly, but considering this index in just two days was up 64-points then the Vega alone makes this a hit.

But when you consider it had actually travelled 170-points from the intraday expiry low then 4-points is nothing.

All this is made all the more normal because the zone still can’t decide where it wants to be, stopping either side from developing.

Which means this huge Y ratio bandwidth has been virtually unchanged throughout this expiry, so as we said way way back in the rollover (14th Nov) what else would you expect to happen?

 

 

Range:            2670  to  2805

Activity           Poor

Type:              On balance bullish

 

 

Click here to buy

 

 

Goodness only knows what they are trying to achieve in the NDX, perhaps they might have succeeded and this volatility is exactly what they want?

On top of the changes last time, which we referred to “as a major systems overhaul” they have reverted to type and added another whole swathe of what we consider totally unnecessary strikes.

The upshot is that the zone here has reverted to 7075-7125, but really it should have remained unchanged at 6775-6825.

Had it done so, then all three would be back within their respective zones.

We think that is exactly where they want to be, but it’s just the DJX that has achieved it, on the face of it at least.

The SPX because it is so slow to change, the NDX because it’s not so much the goal posts but rather the playing field that’s shifted.

Again, to repeat, this constant tinkering means the zone can’t settle, therefore the ratios can’t develop, and the end result is a colossal Y ratio bandwidth leading to markets that use them in their entirety.

You may or may not enjoy this volatility, but hopefully at least you expected it and know the reasons behind it ably aided and abetted by the politicos fuelling the fire.

 

 

Range:            6625  to  7075

Activity:          Poor

Type:              Neutral

 

 

 Click here to buy

 

 

 

What else can you say about the DJX being back in its zone, apart from perhaps had, or if, the SPX’s zone moved to 2695-2705, as anticipated, then both these indices would now be in their respective zones.

Coincidence, or not.

Basically, exactly the same as what we say above, there is so much Y ratio about what else would you expect?

The big question is whether or not, now it is way ahead of schedule, it will pause for breath in its zone?

The other aspect to consider is the change in the ratio at 23900, which jumps a level, but is witness to an increase in the ratios below the zone, which only strengthens R1 at 24200, and considering the expiry intraday low is 24268 this may be pertinent.

 

Range:            23900  to  24900

Activity:          Very good

Type:              On balance decidedly bearish

 

 

Click here to buy

Posted in Uncategorized

December 3rd, 2018 by R1chard

FTSE & DAX Ratio Table 3rd December 2018

 

 

If you had read what we have been saying so far this expiry then everything the FTSE did last week was totally in keeping and as expected.

The zone should be 6950-7050, and the only surprise is that this is not reflected in the above table, but, again, activity is pitiful.

The unsurprising facts are that the FTSE has traded between 6950 and 7050 all week, especially 7050, which has been the limiting factor all week.

Considering the DJX has added almost 1300-points last week makes this hurdle at 7050 all the more impressive, as in reply to the Street’s 5% gain London has actually lost 60-points.

However, all is not lost, as on Friday the high was 7042.07 and the low was 6965.60, and although not exactly on the nose it is easily close enough considering the past five trading days to call this a zone bandwidth test, so a breakout is very likely.

Having just said that, on Monday 26th November the intraday low was 6952.86 and the high 7050.96, so it’s not the first zone bandwidth test, which is also why we allow a degree of latitude, but also why a breakout is not a given.

It should, and let’s face it 7050 has been sternly tested on every day last week and three times the week before, so it is way past our strike 3 rule.

 

Range:            6950  to  7150 

Activity:          Very poor

Type:              Bullish

 

 

 Click here to buy

 

 

 

When we last looked at the DAX on the 26th November 11250 was R3 and we pointed out that that was far less a hurdle than 11050 was being DR.

And, right on cue, that very day it gapped up at the open by 123-points, but more importantly above 11250, to 11315.

The following three days the intraday lows were 11264, 11279 and 11275.

As you can see in the above table R3 has now receded to 11150, but really the most important aspect is the appearance of a lot of Y ratio.

This, now makes 11350 as a very significant level.

If it can get over this then it is into the minimal Y ratios, which stretch all the way up to 11850, so buckle up.

 

 

Range:            11150  to 11350

Activity:          Very poor

Type:              Bullish

 

 

Click here to buy

Posted in Uncategorized

November 29th, 2018 by R1chard

SPX , NDX & DJX Ratio Table 29th November 2018

 

 

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

Therefore, above is today’s ratio table, but rather than go through each individually we thought it best to do them all together.

One major point to note was the major systems overhaul, mainly on the NDX, but really across the board.

There was, and still is, a slight hiccup in the SPX, but if other people’s systems were not fully switched over then any algo trading would have had an interesting time of it, and let’s face it, where derivatives are concerned what other sort of trading is there?

So, coincidence the big rise or not, who knows.

Basically, all three hit their zones bottom boundary’s early on, causing the first pause.

For the DJX this was at 24900, the NDX at 6775 and the SPX at 2695, which we know is just Y2 in the table but as we have been saying for quite a while now 2695-2705 is very likely the next level.

Ironically, the high in the SPX yesterday was 2744, which is a test of the current zones bottom boundary.

And, yes, where ratios are concerned it does work like that.

Which just goes to highlight for the SPX the absolute minimum ratio between where the zone is and where it should be, so no real surprise that this move happened.

Likewise, for both the DJX and NDX, once over their bottom boundary’s one had 200-points of zero ratio above it and the other 50-points, and being slipstreamed by the SPX, again no surprise.

Furthermore, all three are rather devoid of meaningful ratio above their zones as things stand.

Trading range is the zone bandwidth the respective markets are in.

Finally, it seems a very long time ago all three were hitting the R ratios going southwards and we were saying to take note of how much there was of little or no ratio above them, so it may seem exciting but really it is all as normal and predictable as pie.

 

Click here to buy

Posted in Uncategorized

November 27th, 2018 by R1chard

SPX , NDX & DJX Ratio Table 27th November 2018

 

 

For the poor old SPX, it is beginning to look like death by a thousand cuts as it is taking so long to adjust.

In its defence it has just had Thanksgiving and a half day Friday, so we are not worried yet as the zone has at least started to move and, more importantly, under these circumstances, activity is far higher than we would have expected.

Don’t forget just how massive this expiry is, so producing a level anywhere above “poor” is going some the benchmark is already so high.

We still anticipate the zone moving to 2695-2705, and quite frankly, the sooner the better, as already the ratios below this level are being undermined, but it does make for soggy support levels, which is not good for trading.

Case in point, on Wednesday R2 was at 2670 and the intraday low was 2670.73, but today it is standing at 2645.

This means the low (2631.09) on the half day Friday was way below this level, but on the return to more normal market conditions on Monday the open was 2649.97 which was also the low.

So, R2 is having an effect, it’s just a question of how far can one trust it?

Our answer to that lies with the other indices, as we think its just about enough on its own, but to be really effective it needs a friend.

 

Range:            2645  to  2695

Activity           Moderate

Type:              On balance bearish

 

 

 Click here to buy

 

 

 

The NDX is probably the most normal of the three, although rather ironically it started this expiry in the most abnormal position.

However, it has strived to extricate itself and in doing so today we see that the zone has moved again, this time to 6775-6825.

Nevertheless, this is a lot better than where it was back during the rollover, which was a rather staggering 500-points higher.

The good news here was that on Tuesday the intraday low was 6442.36 which was a robust test of R1 then at 6475, and despite the other two on Friday either revisiting their lows or making a new one, here the low was 6524.55.

Although, the NDX has now achieved a more natural looking expiry, there can be no disguising that the Y1 ratio bandwidth alone still stretches for 700-points, so the volatility is very far from being over.

 

 

Range:            6500  to  6775

Activity:          Moderate

Type:              Neutral

 

 

Click here to buy 

 

 

The DJX is a funny one this expiry, or to be more precise one we suspect we need to calculate the ratios daily to even stand a chance of analysing it.

On the surface, nothing has changed, but just like a swan, there is an awful lot going on under the surface.

If the SPX’s was impressive activity then here even more so, which underlines the peculiarity of the situation as the ratios are unchanged.

Although, 23900 is only fractionally below the threshold of R3.

And, 24300 to 24600 has started to look like it might just be making a play to being the next zone, but still very early days.

However, our main point of interest was this index’s flight down to its zone on the very first day of this expiry, managing an impressive 100-point bounce off its bottom boundary just to highlight this.

Then, the 400-point opening gap down on the Tuesday changed the whole picture, on top of which the holidays have muddied the waters even further, but we can’t help get the feeling that the DJX really wants the safety and comfort of its zone, but whether the huge recent activity is going to achieve this, or has other anticipations, it is just too early to tell.

 

Range:            23900  to  24900

Activity:          Very good

Type:              On balance decidedly bearish

 

 

Click here to buy

Posted in Uncategorized

November 26th, 2018 by R1chard

FTSE & DAX Ratio Table 26th Nov 2018

 

 

Basically, the last two days in the FTSE are exactly in keeping with what we highlighted in our last comment last Thursday, the 22nd; “As you can see 6950 is now DR, which also hides the threat that 6950-7050 may become the next zone.

This highlights one of the problems with such a massive expiry, as the shoulders either side of the existing zone are so large, they can mask any potential move, and if it does happen this also means it can be rather dramatic.

To us this is also why this index finished at 7050.23, which would be the new zones upper boundary of course”

Now, as you can see from the table above, the zone still hasn’t moved, but it is still very likely to, especially now for two main reasons.

First, the “extra” week is up and we are now into the more normal 4-week timetable.

Secondly, activity was virtually non-existent, and only just managed to achieve the lowest possible level, and this can’t continue much longer.

The market knows what is waiting for it at 6900, and the close at 6952.86 we don’t see as a coincidence, so if the zone does change, and it is acting as if it already has to us, then it is clear up to 7050.

 

 

Range:            6950  to  7150 

Activity:          Very poor

Type:              Bullish

 

 

 Click here to buy

 

 

 

For the DAX there has been no problem with its zone, and as we commented last time; “The big question here is also the zone, but here it is trapped a lot higher up.

However, the appearance of 500-points of Y ratio means it will move, and one has to assume to 11450-11550”.

Furthermore, it is just the zone that has moved as around it the ratios are virtually unchanged, despite the impressive level of activity.

The most obvious is the Y ratio bandwidth now flips to above the new zone, but below it the only ratio to change is DR which has slipped from 11150 to 11050.

However, as this has only just occurred, and is therefore just below the threshold, it still represents a considerable “step-up” in the level of ratio, so it will definitely still cause issues with its dynamic delta affect.

But, at the end of the day, 11250 is still the main problem as is what is happening in the US.

However, given a clean run, 11250 is far less a hurdle than 11050 is in the other direction.

 

Range:            11050  to 11250

Activity:          Good

Type:              On balance bullish

 

 

Click here to buy

Posted in Uncategorized

November 22nd, 2018 by R1chard

FTSE & DAX Ratio Table 22nd November 2018

 

 

Well we sincerely hope you were not caught out by the bounce in the FTSE, which was always on the cards after it had tangled with B1 at 6950 yesterday, and was in our rollover table 8 trading days ago.

On which subject, the intraday low of 6904.21 on Tuesday does not do justice to B1, which held the line until the Street opened down 400-points causing the spike down.

As you can see 6950 is now DR, which also hides the threat that 6950-7050 may become the next zone.

This highlights one of the problems with such a massive expiry, as the shoulders either side of the existing zone are so large, they can mask any potential move, and if it does happen this also means it can be rather dramatic.

To us this is also why this index finished at 7050.23, which would be the new zones upper boundary of course.

What happens next is really all down to whether or not the zone changes, as this will change the entire dynamic.

So much so, without even hardly moving, the FTSE could find itself back in bullish territory for example.

At least B1 has established the level of sensitivity, and which is quite normal for the mighty Dec, so for this expiry 6950 (already seen) to 7550 is possible.

 

Range:            6950  to  7150 

Activity:          Poor

Type:              On balance only just fractionally bearish

 

 

 Click here to buy

 

 

 

The waters are a bit muddier where the DAX is concerned, as back on the 13th in our rollover table B1 was standing at 11150.

11150 was an important level on Tuesday, but as you can see above B1 is now 10950, so at a guess it was probably 11050 on the 20th.

Anyway, it must have been there or thereabouts as the intraday low was 11009 and the close 11066.

The big question here is also the zone, but here it is trapped a lot higher up.

However, the appearance of 500-points of Y ratio means it will move, and one has to assume to 11450-11550.

Irrespective of this it is very significant that the ratios only go as high as R2 above the zone, so no corresponding B ratio, which makes this index exactly the same as in our rollover table, terribly lopsided.

So, the only question is whether this bounce off B1 is going to provide enough momentum, so it might be prudent to also bear in mind where the US indices are in relation to their ratio levels as that market probably presents the greatest risk to this market.

 

Range:            10950  to 11250        or        11250  to  11950

Activity:          Moderate

Type:              On balance bullish

 

 

Click here to buy

Posted in Uncategorized

November 20th, 2018 by R1chard

SPX , NDX & DJX Ratio Table 20th Nov 2018

 

 

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

The SPX has hit its R ratios, with a degree of overshoot, and we are really very unconcerned with that as the momentum built up would always make the small line in the sand that is R1 like trying to stop a stampeding bull, or bear in this instance.

Also, it was not only day 1 but with the zone stuck up at 2795-2805 this needs to adjust, and quickly too, as that will always undermine the support levels until it does.

It is obviously trying, hence the weird and rather unique situation of having 100-points of Y1 ratio below the zone.

In any triple, let alone the biggest of them all, we would not be surprised to see no ratio at all, so with so much below, and even some above, it just reveals how thin it is out there, so unless the DJX’s zone rescues matters it could remain exceedingly volatile.

 

Range:            2670  to  2695        or        2695  to  2795

Activity           Moderate

Type:              Neutral

 

 

 Click here to buy

 

 

The main problem with the NDX was that from the close of play on Friday it was always going to start the Dec expiry in an awkward or bearish position.

However, in our note we did “expect the dynamic delta to kick in” as when we wrote that R1 was standing at 6670.

But in distinct parallels with the SPX, where the zone hasn’t moved, here it has, but the undermining of the ratios in doing so is all too apparent to see.

As you can see the zone is now 7075-7125, a bit too little too late really, but more importantly R1 has slipped to 6475, a massive drop.

When one considers how high the activity is, and especially the type, then this collapse is even stranger.

Considering Y2 is now 6625 which this index is now only just above, then R1 is its last line of support, not to scare you unduly.

In yet another of those coincidences in may be worth noting that yesterday’s intraday low was in fact 6623.37.

And R1 may be so here, but as the SPX is now into their R ratios, they might just give each other a crumb of comfort. 

 

 

Range:            6625  to  7075        or        6475  to  6625

Activity:          Outstanding

Type:              On balance bearish

 

 

 Click here to buy

 

 

To be fair if it wasn’t for Apple and Facebook, we doubt the DJX would have moved so quickly on the very first day of the new expiry.

But, the fact that it did, hit the intraday low of 24900, which is also their zones bottom boundary, before bouncing and finishing virtually dead centre of said zone could just be coincidence.

However, we did publish the ratio table with these very levels last week, and today Dec does become the alpha expiry, so at the very least it has to be a very high odds call.

There is not much we can add to the table above, obviously the zone is now critical, but any breach and there is a very long way to go before this index encounters the next level of ratio.

 

Range:            24900  to  25100

Activity:          Moderate

Type:              Bearish

 

 

Click here to buy

Posted in Uncategorized

November 16th, 2018 by R1chard

NDX Nov to Dec Ratio Rollover Table 16th Nov 2018

 

 

Just as suspected the big players haven’t surfaced here in the NDX, but also, they have stopped adding strikes, although having done so ad nauseam there was little space left to cram anymore in.

Our last comment had seen this index bounce off R1 at 6650 and back into its zone, which was then at 7175-7225, in what was a rather stellar recovery.

However, our very words were “so still a stupid amount of Y ratio bandwidth” referring to the 400-points of Y1 remaining below the zone, and although the zone itself has shifted southwards this bandwidth is still 350-points wide.

Furthermore, it is only just Y1, and as the step-up level doesn’t appear until 6775, we don’t think that should this index expire anywhere between this level and 7225 nobody is going to hurt that much.

Well, perhaps almost as much as noticing a fly landing on your arm.

Range:            6725 / (6775)  to  7075

Activity:          Moderate

Type:              Neutral

 

 

Click here to buy

 

 

Now the Dec expiry is a different matter, as the Y1 ratio in evidence here is at the other end of the scale, so rather than just registering it is actually just below the threshold of Y2.

This means that the zone, which is already a very long way above the market will find it a lot harder to move, and if it doesn’t is actually very bullish.

On top of which the market is already deeply in the Y2 ratio bandwidth (6670 to 7075), which is also bullish, so really when this becomes the alpha expiry on Monday it will just be a case of tolerance, as every point below here will result in futures buying courtesy of the dynamic delta.

Furthermore, the Y2 ratio from 6825 and below is just below the R1 threshold, so expect a lively start.

Range:            6670 / (6825)  to  7075                    

Activity:          Average

Type:              Neutral     

 

 

Click here to buy

Posted in Uncategorized