The real test was on Thursday 14^{th}
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 28^{th} 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.

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, 18^{th} 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, 26^{th}, the
close was 7151.12, or strike 5 by now.

Yesterday, 28^{th}, 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 15^{th},
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.

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 13^{th}
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.

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”.

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, 18^{th} 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, 26^{th}, the
close was 7151.12, or strike 5 by now.

Yesterday, 28^{th}, 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.

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 14^{th}
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.

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 13^{th}
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.

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.

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?

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 4^{th} 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 25^{th}
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.