Category: Uncategorized

March 8th, 2019 by R1chard

Nb. Comment from 02/28/19

And 25400 was very significant indeed.

The real test was on Thursday 14th Feb when the intraday low was 25308, but more importantly, the close was 25439, so the fact it was fought over and the bulls won tells its own story.

The first point to address is the fact that last time the zone was 24400-24600, but at that very same time, the Feb expiries zone was 25100-25400, so March just basically joined Feb’s, so no surprise or drama there.

Fast forward to the current, and although R1 is at 26200, it is plainly obvious to us this has been fighting a tactical retreat, and at least from 26100.

26100 was where R2 was back in the rollover, so has always been a significant level.

Anyway, seeing this means we now perfectly understand why the DJX’s intraday highs since Friday have been 26052, 26241, 26155 and 26039.

Also, why the close on those days have been 26031, 26091, 26057 and 25985.

We don’t see the move up in the zone here as bullish, more like a correction, but the receding R ratios are, although the failure of this index to surmount the futures selling generated by the dynamic delta isn’t.

On top of which, the Y ratio bandwidth is now 2800-points wide, so the ratios certainly are not filling in underneath.

So, just like the SPX, we are exceedingly nervous….and still two weeks to go.

Range:            25300  to  26200     

Activity:          Moderate

Type:               On balance bearish

Nb. Comment from 03/08/19

The most pleasing aspect about our comment back on the 28th February was our trading range of 25300 to 26200.

Since then, the intraday high has been 26155, and the intraday low from yesterday was 25352, and you can’t say fairer than that.

Actually, you can, as back when this index was persistently trying to get above R1 our zone was lurking down at 25100-25300 (hence the bottom of the range of course) and not many would have thought that just before the rollover this index would be even close.

Anyway, we are not counting our proverbial chickens yet, as the observant will have noticed that in today’s ratio table above, R1 has gone, leaving R2 at 26600 as the new first line of resistance.

This will bring a whole new level of significance to the zone, and perhaps 25100.

First up, of course, it has to get back into its zone, and it might even be willing to relax in it until the rollover on Wednesday.

If not, then, in one of those potentially seminal moments, whether it breaks out above (bullish territory), or below and into bear territory.

We are not going to guess what will happen, but you now know the significance of 25300 and also 25100, so you can react accordingly.

Range:           25100  to  25300        or        25300  to  26600   

Activity:         Average

Type:              On balance only just bullish

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March 8th, 2019 by R1chard

Nb. Our comment from 03/01/19

The fact there has been no change in the ratios is not a surprise, it is a triple after all, so it takes a lot to shift them.

Furthermore, this is more representative of a triple, with no Y ratio, which just highlights how strange the US indices are at present.

Nevertheless, it is a fantastic way to highlight the impact of the ratios and the corresponding dynamic delta, as, so far, it is just all about the price action at or around the unchanged ratio levels.

First up, day one, 18th Feb, and the FTSE intraday high was 7242.09.

Significantly, it hasn’t gone there again, so, expiry high so far as well.

The top of the zone at 7150 was the next significant level, for the remainder of last week, with three intraday day lows finding support there.

Tuesday this week, 26th, the close was 7151.12, or strike 5 by now.

Yesterday, 28th, the intraday low was 7041.03 (bottom boundary).

So, just take a note of where the ratios are and watch the market interact upon encounter, simple.

Range:            7050  to  7150 

Activity:          Very very poor

Type:              Bullish

Nb. Our comment on 03/08/19

Well, it still is all about the upper boundary of the zone in the FTSE.

As you know how significant 7150 is, then just by watching the market around it you can readily see that there are some who really want it above it.

Case in point was yesterday’s real time close, which was 7147.12, or back inside the zone, but the closing auction (when the futures are closed of course) managed to add just over 10-points, conveniently taking the market back above the boundary.

All in all, it is certainly going to make for a very interesting rollover next week.

With the expiry on Friday 15th, and normally in these big triple witching expiries, at this particular time, it is virtually impossible to keep things calm.

Don’t forget this expiry started with this market at 7236.68, so in almost three weeks it has fallen 79.13-points.

It will be very interesting if it ever goes back up there to challenge R3 again, or for just the second time.

The desperation to keep it above the zone suggests this is the intention.

We suspect the real problem has been since the DJX hit their R ratios at 26200 at the same time the SPX hit theirs just above 2800 the FTSE has been trying to swim against the tide.

Still plenty of life in March yet, and the most exciting week could easily be yet to come.

Range:          7050  to  7150        or        7150  to  7250

Activity:        Very poor

Type:            Bearish

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March 6th, 2019 by R1chard

What we said last time:

Obviously, the zone has exceeded expectations, albeit had we published in the last ten trading days this further move would have been apparent, it now being at 2745-2755.

Needless to add, with the zone moving, the R ratios had to recede.

The real question is looking forward, and it is all about R1 now, as it held yesterday (intraday high 2803.12) but was severely tested on Monday with the intraday high of 2813.49.

So, it has held, but under huge pressure, and next visit would be strike 3.

Furthermore, don’t forget this is a triple, and in these biggie’s R1 doesn’t normally carry too much weight.

Having said that, the fact that this is a triple and we only go as high as R3, on both sides, is very alarming, as historically, if this index gets trending, it takes at least DR to act as moderator, and again, this holds true for both directions.

The fact that the R ratios are receding and the zone is climbing is bullish, but what we would really like to see is the ratios below the zone climbing, which they have, a bit, but the Y ratio bandwidth is still 185-points.

This is what it was back on the 13th Feb.

The fact this expiry is so underdeveloped coupled with such a ludicrously wide Y ratio bandwidth means we are exceedingly nervous.

The trading range below reflects the zone, as that should offer support.

Our only surprise is that this index isn’t whipsawing around by 2% or 3% on a daily basis, which makes us suspect that one of the other two must be interacting with their ratios.

Range:            2755  to  2825

Activity:          Moderate

Type:               On balance only just bearish

As it turned out both the other two were interacting with their ratios, but probably most notable was the DJX with R1 at 26200.

Also, as it turned out, a 50-point whipsaw on Monday neatly summed up our last comment.

The reversal on Monday was attributed to trade talks, but we see this so often that logically the common denominator over the last 10 years has been the ratios, as the market opened up 10.68-points, inched a bit higher, then fell 50-points.

Now, was it the futures selling generated by the dynamic delta as this index hit R1 (nb. Exactly the same applies to the DJX and 26200) that caused the market to come off and the story was added after as the explanation, or really, did the trade talks contain that much new news or a surprise, and at that precise moment when it turned?

You will find, every time, the answer is no.

People need to have a reason for the futures selling, it really is as simple as that.

Eventually, hopefully, they will realise these ratios and dynamic delta exist.

Back to the matter in hand, and the Y Ratio bandwidth is now 160-points, so the risk remains.

The appearance of Y1 above the zone means it may move up again.

So, bullish, but not very committed, and the downside risk is eye-watering.

To add a little bit more spice to it all, it’s the rollover next week as well.

Range:           2755  to  2805 / 2830

Activity:         Poor

Type:              Neutral

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March 5th, 2019 by R1chard
NDX Ratio Table 5th March 2019

As mentioned previously this would be where our last comment of the NDX would be, but as we haven’t covered it for so long this is irrelevant.

Also, why the first column in the above table is blank.

Range:            

Activity:          

Type:         

    

One of the main reasons we stopped covering this index was because nobody was playing in it.

One glance at the above table will show you that hasn’t changed at all, and don’t forget this is a triple, so meant to be a “biggie”, ha ha.

All last week the intraday high was either 7125 or 7150, so for us it has been banging its head on Y2 for quite a few days now, and, interestingly, it was only on Friday that this index managed to close above 7125 for the first time this expiry.

So, to fight back yesterday, from a drop of 132.54-points, to finish virtually unchanged, shows there is some commitment left in the bulls.

And, to be fair, we can hardly claim derivative dominance, especially considering the only R ratio in existence doesn’t appear until 7300, so it’s not as if they have to fight particularly hard, in fact, a gentle shove would be about enough.

At least, there are people playing in the other two, but strikingly all three are very similar in that they are trying to push ahead, but struggling against what is fairly minimal ratio resistance, and all the while standing at the top of a chasm.

So, all are very susceptible to anyone saying “boo”.

Range:            6825  to  7125        or        7125  to  7300                    

Activity:          Average

Type:              Neutral     

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March 1st, 2019 by R1chard
FTSE Ratio Table

Nb. This should be our last comment here, however, we never calculated the last rollover for the FTSE, at least not that we published, so there is nothing to compare.

Therefore, this is our previous ratio calculation, again not published, but hence also the reason why there is no comment.

Range:            

Activity:          

Type:  

The fact there has been no change in the ratios is not a surprise, it is a triple after all, so it takes a lot to shift them.

Furthermore, this is more representative of a triple, with no Y ratio, which just highlights how strange the US indices are at present.

Nevertheless, it is a fantastic way to highlight the impact of the ratios and the corresponding dynamic delta, as, so far, it is just all about the price action at or around the unchanged ratio levels.

First up, day one, 18th Feb, and the FTSE intraday high was 7242.09.

Significantly, it hasn’t gone there again, so, expiry high so far as well.

The top of the zone at 7150 was the next significant level, for the remainder of last week, with three intraday day lows finding support there.

Tuesday this week, 26th, the close was 7151.12, or strike 5 by now.

Yesterday, 28th, the intraday low was 7041.03 (bottom boundary).

So, just take a note of where the ratios are and watch the market interact upon encounter, simple.

Range:          7050  to  7150

Activity:        Very very poor

Type:            Bullish

Posted in Uncategorized

February 28th, 2019 by R1chard
DJX Ratio Table

Nb. Comment from 02/13/19

Remember it’s a triple this expiry.

These are generally a bit more rip-roaring than intermediaries, just because of their size alone really.

So, the same malaise persists, a ridiculously wide Y ratio bandwidth.

Therefore, it is going to be simply a case of whether the DJX retains its bullish blinkers, or, acts normally.

If its normal, then a trading range of the Y1 ratio bandwidth is more than likely ( a cool 2000-points), and between the R’s is not unheard of, which is actually not that much wider.

Should be great fun.

However, worth noting is the significance of 25400, in both expiries.

Range:            24600  to  25400        or        25400  to  25600     

Activity:          Average

Type:               Neutral

And 25400 was very significant indeed.

The real test was on Thursday 14th Feb when the intraday low was 25308, but more importantly, the close was 25439, so the fact it was fought over and the bulls won tells its own story.

The first point to address is the fact that last time the zone was 24400-24600, but at that very same time, the Feb expiries zone was 25100-25400, so March just basically joined Feb’s, so no surprise or drama there.

Fast forward to the current, and although R1 is at 26200, it is plainly obvious to us this has been fighting a tactical retreat, and at least from 26100.

26100 was where R2 was back in the rollover, so has always been a significant level.

Anyway, seeing this means we now perfectly understand why the DJX’s intraday highs since Friday have been 26052, 26241, 26155 and 26039.

Also, why the close on those days have been 26031, 26091, 26057 and 25985.

We don’t see the move up in the zone here as bullish, more like a correction, but the receding R ratios are, although the failure of this index to surmount the futures selling generated by the dynamic delta isn’t.

On top of which, the Y ratio bandwidth is now 2800-points wide, so the ratios certainly are not filling in underneath.

So, just like the SPX, we are exceedingly nervous….and still two weeks to go.

Range:           25300  to  26200

Activity:         Moderate

Type:              On balance bearish

Posted in Uncategorized

February 27th, 2019 by R1chard
SPX past and present Ratio Table

To be honest we are probably as bored as you are seeing it, the comment “as we said back on….” so now the table above will show the ratio as published in our last comment, with the corresponding comment here in the first paragraph. The current ratio will be in the second column with its comment below.

The first triple witching has come around quick.

AND there is still almost 200-points of Y ratio bandwidth.

So, shock susceptibility is as huge, the only question is whether the R ratios above the zone will hold fast or start retreating.

Also, we anticipate the zone moving up to 2695-2705, the question is when?

Range:            2655  to  2755 or 2780

Activity:          Average

Type:               Neutral

Obviously, the zone has exceeded expectations, albeit had we published in the last ten trading days this further move would have been apparent, it now being at 2745-2755.

Needless to add, with the zone moving, the R ratios had to recede.

The real question is looking forward, and it is all about R1 now, as it held yesterday (intraday high 2803.12) but was severely tested on Monday with the intraday high of 2813.49.

So, it has held, but under huge pressure, and next visit would be strike 3.

Furthermore, don’t forget this is a triple, and in these biggie’s R1 doesn’t normally carry too much weight.

Having said that, the fact that this is a triple and we only go as high as R3, on both sides, is very alarming, as historically, if this index gets trending, it takes at least DR to act as moderator, and again, this holds true for both directions.

The fact that the R ratios are receding and the zone is climbing is bullish, but what we would really like to see is the ratios below the zone climbing, which they have, a bit, but the Y ratio bandwidth is still 185-points.

This is what it was back on the 13th Feb.

The fact this expiry is so underdeveloped coupled with such a ludicrously wide Y ratio bandwidth means we are exceedingly nervous.

The trading range below reflects the zone, as that should offer support.

Our only surprise is that this index isn’t whipsawing around by 2% or 3% on a daily basis, which makes us suspect that one of the other two must be interacting with their ratios.

Range:           2755  to  2805

Activity:         Moderate

Type:              On balance only just bearish

Posted in Uncategorized

February 13th, 2019 by R1chard
DJX Feb to Mch Ratio Rollover Table 13th Feb 2019

So, what more can we say about the DJX, as this entire expiry we have been pointing out how fluid its zone is, so yet another move should come as no surprise.

And, here it is now up at 25100-25400.

In fact, it could just as easily be 24800-25400.

The surprise, is the abysmal level of activity, although there could be a degree of netting off in there.

All in all, very similar to the SPX, rising zone, receding ratios above it, but the difference here is the ratios below it have actually slipped.

Therefore, the DJX can just muster two out of the three bullish pointers.

However, the same applies regarding the expiry, the zone would be nice, but anywhere in the Y ratio is close enough.

Also, shock susceptibility looms large here as well.

Range:            25200  to  25400        or        25400  to  25800     

Activity:          Very poor

Type:               Bearish

Remember it’s a triple this expiry.

These are generally a bit more rip-roaring than intermediaries, just because of their size alone really.

So, the same malaise persists, a ridiculously wide Y ratio bandwidth.

Therefore, it is going to be simply a case of whether the DJX retains its bullish blinkers, or, acts normally.

If its normal, then a trading range of the Y1 ratio bandwidth is more than likely ( a cool 2000-points), and between the R’s is not unheard of, which is actually not that much wider.

Should be great fun.

However, worth noting is the significance of 25400, in both expiries.

Range:           24600  to  25400        or        25400  to  25600 

Activity:         Average

Type:              Neutral

Posted in Uncategorized

February 13th, 2019 by R1chard
SPX Feb to Mch Ratio Rollover Table 13th Feb 2019 

As expected, we got the rise in the SPX’s zone to 2645-2655, but we rather doubt it is going to stop there.

When we last published, R1 was at 2715, and today it has slipped to 2755, so all the while the ratios are receding above a rising zone.

The fact that the ratios are building below it make three bullish signs.

However, it has not really been about this index this expiry, the DJX and NDX have been the limiting factors.

The huge Y ratio bandwidth remains a stark warning of the susceptibility to a shock.

But, in the absence of any, there is little to worry about here, as anywhere for the expiry in the Y ratio would be fine, especially as it is in full-blown retreat.

Range:            2655  to  2755 or 2785

Activity:          Moderate

Type:               On balance bearish

The first triple witching has come around quick.

AND there is still almost 200-points of Y ratio bandwidth.

So, shock susceptibility is as huge, the only question is whether the R ratios above the zone will hold fast or start retreating.

Also, we anticipate the zone moving up to 2695-2705, the question is when?

Range:           2655  to  2755 or 2780

Activity:         Average

Type:              Neutral

Posted in Uncategorized

February 11th, 2019 by R1chard
FTSE & DAX Ratio Table 11th February 2019

Of course, it should be the FTSE rollover table we are showing you but as there is still so much more to go here in this expiry, we decided to use the more usual format.

This is, naturally, being very cognisant, of the accuracy of our expiry forecast.

And, on this subject, hopefully you noticed the intraday high on Monday 4th was 7046.58.

And, from Tuesday onwards, courtesy of an opening jump, it was all about R3 at 7200, with intraday highs of 7180.71, 7184.22 and 7187.51.

All in all, it seems a very long time ago this index was testing R1 at 6750 below the zone, but, in fact, it was just a fortnight ago, and certainly very much helped by there being no meaningful ratio from 6750 all the way up to 7050, at that time.

Shame, as that was strike three on Thursday, but the siren like call of the rollover could not be ignored, and the only thing to remain unchanged in the above table is the zone.

There is no doubt that this index wants to go higher, and they are certainly expending a lot of effort (and money) to try to achieve this, so, despite our lack of March’s ratio table, this should be implicitly understood, as where this market is on Wednesday will therefore dictate the rest of the week, which will naturally be an exciting expiry.

Range:            7050  to 7150 

Activity:          Good

Type:              On balance bearish

We couldn’t be more pleased with our DAX forecast for this expiry, because it has played out exactly as expected.

In fact, it is quite a rare thing that we have witnessed, being such a degree of divergence between this index and the FTSE.

Since the DAX hit R3 at 11300 with their intraday high of 11321 back on the 25th Jan, in the first week of this expiry, it is down over 400-points, whereas the FTSE has actually risen over 300-points, from their intraday low of 6734.00, which interacted with their R1 the following Monday.

Talk about asset allocation, let alone trading or arbitrage, and this would have been a fantastic expiry.

The lop-sided nature of this expiry continues to redress, but as we are now into the rollover, it is more about the zone.

However, it is worth noting that Y2 is now 10850 and Friday’s intraday low was 10863.

Also, a look at March would be very revealing we suspect, so apologies for that.

Nevertheless, please do not forget that we did point out that such was dearth of ratio here that the zone could be anywhere in the Y1 ratio bandwidth, and that it did start this expiry at 10650-10750.

Of course, we don’t expect it to return there, especially as R1 now starts at 10600 and Y2 at 10850, but what we said at the start of this expiry still holds true today, albeit the Y1 ratio bandwidth is considerably narrower.

But, please bear in mind, where it is currently, is still 300-points above where the market is currently, and yet again, in a direct contrarian aspect to the FTSE.

Range:            10850  to  11150

Activity:          Moderate

Type:              On balance bearish

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