We did not publish anything about the December expiry, our last comment was on the 14^{th} Nov in respect of the Nov expiry, which did extremely well just to stay inside its Y ratio for it.

The settlement price was 3110.52, so it just continued “knock, knock knocking on that R ratio door” right to the bitter end.

What we call the Thanksgiving Effect.

Range:

Activity:

Type:

Nb. Our comment on 11/19/19

The trouble with the “Thanksgiving Effect” is it skews the start of the next expiry, or at least can do.

And, this is exactly what has happened here, as it has forced the Dec expiry to start in R3 ratio.

There is no doubt at all that it doesn’t want to be battling this many futures this early on, and this now places derivatives firmly against equities.

Equities love the Thanksgiving rally, but in derivatives, when every step is met with an R3 level of dynamic delta, it’s not so easy.

You have to be really bullish to want to buy that many futures.

The fact that the ratios are significantly underdeveloped, reveals that people are not so convinced, after all, and not that long ago, it was extremely rare to see any Y ratio at all in one of the big expiries, and definitely not the biggest of the big.

Will equities allow for any pullback before, or even after, the 28^{th}?

We doubt it, entirely because they haven’t in the past, and this scenario is no stranger.

But this is one weird Presidency, where every day something’s new, so when we say the above, we do so with a conviction ratio in the low teens.

Obviously, 3105 and 3155 are incredibly significant levels, and the first one to break will tell you all you will need to know about the conviction and desire in this market.

However, please do bear in mind, that the corresponding R3 ratio level is way down there at 2845, and if players were truly bullish then these ratios would be climbing, as would the zone itself.

Both may well do so, but also don’t forget how thin the US markets get next week, and are therefore notoriously volatile, as well as somewhat gung-ho.

Obviously, we are bearish, but in light of where we are in the calendar, a reappraisal post the holidays is the sensible suggestion.

Nb. Our comment from the 11/11/19 (Dec not published)

However, we should point out that the November expiry was full of incident.

On the Thursday the market had bounced off the zone’s upper boundary during the day with the intraday low of 7296.24.

Desperate to get back within its zone for the expiry for us it was no coincidence that the real time close was 7301.82.

Then the closing auction took over, resulting in the published close of 7292.76.

Which was also the new low for the day.

The expiry was just as challenging, but the end result was 7298.82.

Range: 7300 to 7400

Activity: Poor

Type: Bearish

Nb. Our comment on 11/18/19

However, for the last two weeks London has been exhibiting some strange characteristics, although not never seen before, they are normally very rare and occur singly, not daily.

What we are referring to is the situation where the open is also the same as either that day’s high or low.

This is made all the more peculiar when one appreciates that in London, and only London, the open is the same as the previous day’s close.

So, on Monday the 4^{th} the open was 7302.42 and that day’s intraday low was 7302.42.

Tuesday it was 7369.69 and 7369.61.

Just a normal day on that Wed, then 7396.65 and 7396.00 and on Fri 7406.41 with the high 7406.83.

Then similar for the first four days of last week.

The significance of this is that the next day’s open is never going to be exactly the same as the previous day’s close, the reason why only London chooses to adopt this is a mystery.

When the open is the same as either the high or the low means that the market only went in one direction, and that therefore the opening price was never a real one.

Therefore, when you see a differential of 0.08, see Tues 5^{th}, and you know the open is fictional, then this differential is impossible.

Therefore, the only conclusion possible, is that two of that day’s benchmark index markers are false.

If this is the case, and how can’t it be, then this pulls into question every valuation or calculation that uses them, especially trading systems, HFT’s and technical analysis, to mention but a few.

Looking at the ratio table for Dec the big level is obviously going to be 7450.

The other main issues are that while the zone is way below the market now, it is odds on that it will move in the next day or so to either 7150-7250, or 7250-7350.

Obviously which one it moves to will change the overall picture considerably.

Exactly as we said back on the 5^{th} “and they could just continue knocking on a retreating R2 ratio door for sure”.

The intraday high on the 5^{th}, when R2 was at 3080, was 3083.95.

On the 6^{th} it was 3078.34.

Yesterday, when R2 had moved to 3095, the intraday high was 3097.77.

And, as you can see in the table above, today it is at 3100.

However, there are two huge facts you now need to bear in mind.

Firstly, it is the rollover next week and the zone remains stubbornly at 2995-3005.

Secondly, R1 has slipped to 3075, so a close anywhere below that, and this index is back into the Y ratios.

Of course, the ratios retreating above the zone and building below it are bullish, but one also has to be aware of the rate of change of these ratios.

And above the zone they are retreating, but hardly rapidly.

Whereas, below the zone, R1 climbing to 2935, is hardly going to excite anyone.

Scalp away on the pullbacks from the retreating R2 for sure, but, and again, just as we said back on the 5^{th} “that if it really gets a fright, the corresponding R ratios are now 180-points away”, although admittedly the gap is “only” now 150-points, but that is to R1, to R2 it is actually 190-points.

This expiry is very far from over.

Range: 3075 to 3100

Activity: Moderate

Type: On balance bearish

Nb. Our comment on 11/14/19

Luckily for the SPX it never got its scare, so it just kept on knocking at that retreating R ratio door.

Made for a particularly tedious market, as on Monday 4^{th} November it closed at 3078.27, so in virtually two weeks it has gone nowhere.

Mind you, the bulls would argue, that is a lot better than going back below 3000, which was a very real threat.

Although, a while back, we did mention the “Thanksgiving effect” and it is absolutely amazing how often the US indices hit new highs at this very time of year, magically all those aspects that people like to think drive markets, such as economics, results, technical and all that “fundamental” stuff combine at this exact point in time year after year, truly a wonder of Christmas.

Back in the real world, this rollover and expiry is definitely one for equities, and all-in-all derivatives have been bit of a no show.

Of course, they have played their part, the intraday high of 3102.61 on Tuesday, when R2 was at 3105, being the perfect case in point.

In the end, although granted it doesn’t appear in the table above, it is the derivatives that have given way, and the zone will move to 3070-3080, such has been the rate of change.

Whether that will impact come Friday, we doubt it, as for us, this lethargic derivative market, seems more than happy to see this index end Nov in Y ratios.

Don’t forget, December is the biggest of the big expiries, so everything just gets ratcheted up very considerably.

We have said it before that the ratios need to be calculated daily, and as they are not, you must be very aware that they do evolve.

Thankfully, in the FTSE case, this has not been very much.

Last Monday, the 28^{th} October, the intraday high was 7346.92, making this the second test of R1 at 7350.

This basically dictated the rest of the week, along with the upper boundary of the zone at 7300.

Therefore, it was no surprise yesterday’s third test saw it break through, and the fact the ratios have weakened above the zone only going to make this more likely.

7350 is still R1 admittedly, but it is now only just above the threshold, so we would fully expect that to become Y2 shortly, leaving 7400 as R1.

However, the real test will be 7450, as this has remained as R3, so this is now towering above R1.

And judging by how difficult this index has found R1, we just can’t see it making any headway at all against the hugely bigger R3.

Finally, don’t forget next week is the rollover, so it could start getting quite animated towards the end of the week, and below the zone the ratio has hardly strengthened, so it’s still sitting atop a chasm this market.

Range: 7350 to 7450

Activity: Moderate

Type: Bearish

Nb. Our comment on 11/11/19

Last Monday the FTSE closed at 7369, and on Friday, 7359, so what an exciting week that was.

Although, for us at least, it was all according to expectation, and as you can see above, our trading range was indeed 7350 up to 7450.

7350 came into play three times, with intraday lows on the 5^{th}, 6^{th} and 8^{th} of 7369.61, 7363.55 and 7349.12 respectively.

7450 came into play only the once, and you’ve guessed it, on the 7^{th}, with the intraday high of 7431.94.

Sure it’s 18-points shy of the exact figure, but from the intraday low the day before of 7363.55, the fact it is a seven thousand point index, and as we expressly pointed out in our last comment, that 7450 was a huge jump in ratio, to the massive R3, then this is easily close enough to call a hit.

Of course, it is the rollover and expiry this week, so the zone, still steady at 7200 to 7300, will now come into play.

But probably more importantly, 7350 has now changed to Y2.

This has resulted in 7400 assuming the R1 role, otherwise the ratios are unchanged above the zone.

The most significant consequence of this is the change in our trading range, please see below.

It still has its work cut out for it, to get back to their zone, but this has just made this an awful lot easier.

When we last commented on the SPX (28^{th} Oct) it was all about R1, then at 3045.

And, blowing our own trumpet unashamedly, the next 4 intraday highs were 3044.08, 3047.87, 3050.10 and 3046.90.

Friday saw the deadlock broken, and very interestingly, it took a gap-up at the open, to 3050.72, to achieve what they had struggled to all week.

Of course, once the dam had broken, it was always going to then be about R2.

Back on the 28^{th} this was at 3070, whereas today it is 3080, and although we now have no way of knowing exactly when it did change, we suspect slipping 10-points over Friday and Monday looks about just right.

So, the point being, is although the ratios are slipping above the zone, this index is now battling R2 ratio from here on up.

Don’t forget the rollover starts next week, so the gravitational effect of the zone will come to bear towards the end of this week.

Furthermore, the ratios below the zone have not built to any great degree, and in fact, with R1 static at 2895, the huge, no enormous, Y ratio bandwidth, with its inherent risk, remains in place.

It is timidly making all the right moves, for the bulls anyhow, and they could just continue knocking on a retreating R2 ratio door for sure, but whatever you do, don’t lose sight of the fact that the zone remains at 2995-3005, and the rollover is now just over a week away, and, that if it really gets a fright, the corresponding R ratios are now 180-points away.

Range: 3055 to 3080 or 3080 to 3130

Activity: Moderate

Type: On balance only just bearish

Nb. Our comment on 11/08/19

Exactly as we said back on the 5^{th} “and they could just continue knocking on a retreating R2 ratio door for sure”.

The intraday high on the 5^{th}, when R2 was at 3080, was 3083.95.

On the 6^{th} it was 3078.34.

Yesterday, when R2 had moved to 3095, the intraday high was 3097.77.

And, as you can see in the table above, today it is at 3100.

However, there are two huge facts you now need to bear in mind.

Firstly, it is the rollover next week and the zone remains stubbornly at 2995-3005.

Secondly, R1 has slipped to 3075, so a close anywhere below that, and this index is back into the Y ratios.

Of course, the ratios retreating above the zone and building below it are bullish, but one also has to be aware of the rate of change of these ratios.

And above the zone they are retreating, but hardly rapidly.

Whereas, below the zone, R1 climbing to 2935, is hardly going to excite anyone.

Scalp away on the pullbacks from the retreating R2 for sure, but, and again, just as we said back on the 5^{th} “that if it really gets a fright, the corresponding R ratios are now 180-points away”, although admittedly the gap is “only” now 150-points, but that is to R1, to R2 it is actually 190-points.

It looks like we are going to get our wish of this index testing its R ratios above the zone.

However, what we should have mentioned on the 22^{nd}, was that the Delta Ratio here was just 33%

And, today, it has hardly changed, being 33.7%, and anything below 50% we see as bullish.

Hence, our wish to see a test of the R ratio, still at 3045.

In fact, the ratios above the zone have strengthened, most notably R3 which has come in from 3125 to 3105.

More noticeable though, is the utter lack of movement below the zone.

However, the first real test of the bullish commitment will come with R1 at 3045, and then at 3070.

Although, we would like to point out, that there is a step-up in the ratios at 3055, as this is where they switch to being close to the top of the R1 band, rather than being at the bottom.

Of course, please don’t forget the corresponding R1 ratio level does not appear until you get all the way down to 2895.

Looks like the Nov expiry is just getting started.

Range: 3005 to 3045

Activity: Moderate

Type: On balance only just bearish

Nb. Our comment on 11/05/19

When we last commented on the SPX (28^{th} Oct) it was all about R1, then at 3045.

And, blowing our own trumpet unashamedly, the next 4 intraday highs were 3044.08, 3047.87, 3050.10 and 3046.90.

Friday saw the deadlock broken, and very interestingly, it took a gap-up at the open, to 3050.72, to achieve what they had struggled to all week.

Of course, once the dam had broken, it was always going to then be about R2.

Back on the 28^{th} this was at 3070, whereas today it is 3080, and although we now have no way of knowing exactly when it did change, we suspect slipping 10-points over Friday and Monday looks about just right.

So, the point being, is although the ratios are slipping above the zone, this index is now battling R2 ratio from here on up.

Don’t forget the rollover starts next week, so the gravitational effect of the zone will come to bear towards the end of this week.

Furthermore, the ratios below the zone have not built to any great degree, and in fact, with R1 static at 2895, the huge, no enormous, Y ratio bandwidth, with its inherent risk, remains in place.

It is timidly making all the right moves, for the bulls anyhow, and they could just continue knocking on a retreating R2 ratio door for sure, but whatever you do, don’t lose sight of the fact that the zone remains at 2995-3005, and the rollover is now just over a week away, and, that if it really gets a fright, the corresponding R ratios are now 180-points away.

If the last week of the November expiry was all about the zone, then this has transferred across to the October expiry in its first week.

On the very first day, Monday 21^{st}, the intraday high was 7197.53, providing the first test of the zones bottom boundary at 7200.

The next day saw the market close at 7212.49, after what was a good tussle with it throughout the day.

Wednesday saw a retest of it, confirmation if you like, with the intraday low of 7194.13.

And Thursday saw it blast through the upper boundary, which is rather aggressive of the FTSE to say the least.

Therefore, it is prudent to mention how the ratios have evolved this week, and while we have seen a little strength below the zone, with R1 replacing Y2 at 7050, this still leaves a scary 150-points of Y1.

Above the zone, 7300 has moved up from Y1 to Y2, and 7350 from Y2 to R1, meaning 7400 has gone from R1 to R2.

At the start of an expiry there is a natural tendency to build, so it’s more about the degree, and there is no contest over the fact that resistance wins.

The big question is whether the intraday high yesterday of 7338.87 was a test of R1?

Only 0.15%, so it’s a tough call.

But, at the end of the day, it is all down to your tolerance, and as things stand the FTSE is now facing R1, R2 & R3 in quick succession, with nothing below it until 7050.

There are no prizes for guessing our stance, and at the very least, everyone else should have very tight stops.

Range: 7200 to 7300 or 7300 to 7350

Activity: Very good

Type: On balance just fractionally bullish

Nb. Our comment on 11/05/19

We have said it before that the ratios need to be calculated daily, and as they are not, you must be very aware that they do evolve.

Thankfully, in the FTSE case, this has not been very much.

Last Monday, the 28^{th} October, the intraday high was 7346.92, making this the second test of R1 at 7350.

This basically dictated the rest of the week, along with the upper boundary of the zone at 7300.

Therefore, it was no surprise yesterday’s third test saw it break through, and the fact the ratios have weakened above the zone only going to make this more likely.

7350 is still R1 admittedly, but it is now only just above the threshold, so we would fully expect that to become Y2 shortly, leaving 7400 as R1.

However, the real test will be 7450, as this has remained as R3, so this is now towering above R1.

And judging by how difficult this index has found R1, we just can’t see it making any headway at all against the hugely bigger R3.

Finally, don’t forget next week is the rollover, so it could start getting quite animated towards the end of the week, and below the zone the ratio has hardly strengthened, so it’s still sitting atop a chasm this market.

Please remember the comment above, from the 17^{th} October, is for the October expiry, whereas this comment, 22^{nd} October, is for the November expiry.

As we are talking about the US and November, it is the month of Thanksgiving, however, best remember that this expiry ends on the 15^{th}, so over a week before.

The reason we mention this, is because it is really very unusual (not) for the US indices to experience a little fillip at this time of year.

Obviously, we couldn’t expect much more from the last expiry, so the big question is how is this one shaping up?

To say the ratios have filled in below the zone is perhaps an understatement, however, this would also be the case, when we say it was very underdeveloped to start with.

They have also filled in above the zone, but not by nearly as much.

Nevertheless, at the end of the day, we are in the same boat as the last expiry, being that there is still an absolutely whopping 150-points of Y ratio around.

The reason we have published today, is that for the first time since the start of the last expiry, we have tested the upper boundary of the zone.

No need to explain what happened back then, so suffice it to say, 3005, is a really critical level.

And if they get a little bit of the Christmas spirit going, there is another very significant level just a bit further on, being R1 at 3045.

We would like to think that this time they will test the R ratios above the zone, but there is no disguising the fact that these are an awful lot closer to the current market than the corresponding ones below the zone.

Range: 2995 to 3005 or 3005 to 3045

Activity: Very good

Type: On balance bearish

Nb. Our comment on 10/28/19

It looks like we are going to get our wish of this index testing its R ratios above the zone.

However, what we should have mentioned on the 22^{nd}, was that the Delta Ratio here was just 33%

And, today, it has hardy changed, being 33.7%, and anything below 50% we see as bullish.

Hence, our wish to see a test of the R ratio, still at 3045.

In fact, the ratios above the zone have strengthened, most notably R3 which has come in from 3125 to 3105.

More noticeable though, is the utter lack of movement below the zone.

However, the first real test of the bullish commitment will come with R1 at 3045, and then at 3070.

Although, we would like to point out, that there is a step-up in the ratios at 3055, as this is where they switch to being close to the top of the R1 band, rather than being at the bottom.

Of course, please don’t forget the corresponding R1 ratio level does not appear until you get all the way down to 2895.

Looks like the Nov expiry is just getting started.

It is a wonder to behold, that is, how desperately this index is trying to stay inside its zone for the rollover and expiry.

Also, just a little housekeeping, as when we said “…zone, which itself has also fallen, very significantly”, what we mean is that the drop in the zone is the significant aspect, not that the magnitude of the fall is significant.

Anyway, the day we published this index had one more test of R1 at 7150, intraday low 7130.52, but from that Thursday onwards it was all about the zone.

In the last couple of days, that has meant, trying to stay above the bottom boundary at 7200.

The trouble is, and a quick glance between the two tables above, will readily reveal how far the ratios below the zone have fallen.

And, in fact, we now have 100-points of the minimal Y1 ratio, where there was just 50-points of Y2, such has been the collapse.

Obviously, it will all be over for November in the next few hours, but had one known how significant 7200 was at this particular point in time, then you couldn’t have not been impressed by the effort to get/hold/stay above it, despite the support disappearing below it.

This happens to be but a very minor spot on this expiry, which has been a perfect example, what with the test of R1 above the zone at 7450, before the fall to the corresponding R1 below the zone at 7150, until ending up (as near as damn it) in their zone.

Nice one FTSE.

Why don’t you take the Ratio Challenge…select a chart of the FTSE from the open on 23^{rd} September to the close on 18^{th} October (the Nov expiry), highlight the zone, 7200-7300, and then put horizontal lines at R1, being 7450 and 7150, and look at that in 5 mins or even daily. Point made?

Range: 7100 to 7200 or 7200 to 7300

Activity: Moderate

Type: On balance just bullish

Nb. Our comment on 10/25/19

If the last week of the November expiry was all about the zone, then this has transferred across to the October expiry in its first week.

On the very first day, Monday 21^{st}, the intraday high was 7197.53, providing the first test of the zones bottom boundary at 7200.

The next day saw the market close at 7212.49, after what was a good tussle with it throughout the day.

Wednesday saw a retest of it, confirmation if you like, with the intraday low of 7194.13.

And Thursday saw it blast through the upper boundary, which is rather aggressive of the FTSE to say the least.

Therefore, it is prudent to mention how the ratios have evolved this week, and while we have seen a little strength below the zone, with R1 replacing Y2 at 7050, this still leaves a scary 150-points of Y1.

Above the zone, 7300 has moved up from Y1 to Y2, and 7350 from Y2 to R1, meaning 7400 has gone from R1 to R2.

At the start of an expiry there is a natural tendency to build, so it’s more about the degree, and there is no contest over the fact that resistance wins.

The big question is whether the intraday high yesterday of 7338.87 was a test of R1?

Only 0.15%, so it’s a tough call.

But, at the end of the day, it is all down to your tolerance, and as things stand the FTSE is now facing R1, R2 & R3 in quick succession, with nothing below it until 7050.

There are no prizes for guessing our stance, and at the very least, everyone else should have very tight stops.

Well we didn’t get the (probable) move down in the zone to 2945-2955.

However, the very day we published pretty much took that off the table anyway.

To set the scene, the market was still below this potential move down, despite having recovered 44-points gain in the previous two days, when it gapped-up at the open, to, the very significant, 2963.07.

Above the level of where the zone move might be, and as this was also the intraday low, it changed the dynamic somewhat.

The move could still have happened of course, but considering where it closed Tuesday (2995.68), in time for rollover Wednesday, it was obvious the zone hadn’t changed at all.

The ratios have improved below the stationary zone, hardly surprising under the circumstances, but there is still a lot of very minimal Y1 ratio around.

Under these conditions it is hugely impressive that this index has performed a near perfect expiry.

Only nearly perfect, as at the start, it only tested the upper boundary of its zone (24^{th} Sept intraday and expiry high 3007.98), rather than the R ratio.

Nevertheless, had you known where the ratios were, you would have seen this all the way down to R2, arguably R1, which was at 2870, so taking that, you could have had a 130-point round trip, or 8.7%, in just 4-weeks.

Really looking forward to the November expiry, so will post the ratios for that early next week hopefully.

Range: 2935 to 2995 or 2995 to 3005

Activity: Moderate

Type: On balance bearish

Nb. Our comment on 10/22/19

Please remember the comment above, from the 17^{th} October, is for the October expiry, whereas this comment, 22^{nd} October, is for the November expiry.

As we are talking about the US and November, it is the month of Thanksgiving, however, best remember that this expiry ends on the 15^{th}, so over a week before.

The reason we mention this, is because it is really very unusual (not) for the US indices to experience a little fillip at this time of year.

Obviously, we couldn’t expect much more from the last expiry, so the big question is how is this one shaping up?

To say the ratios have filled in below the zone is perhaps an understatement, however, this would also be the case, when we say it was very underdeveloped to start with.

They have also filled in above the zone, but not by nearly as much.

Nevertheless, at the end of the day, we are in the same boat as the last expiry, being that there is still an absolutely whopping 150-points of Y ratio around.

The reason we have published today, is that for the first time since the start of the last expiry, we have tested the upper boundary of the zone.

No need to explain what happened back then, so suffice it to say, 3005, is a really critical level.

And if they get a little bit of the Christmas sprit going, there is another very significant level just a bit further on, being R1 at 3045.

We would like to think that this time they will test the R ratios above the zone, but there is no disguising the fact that these are an awful lot closer to the current market than the corresponding ones below the zone.