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January 15th, 2019 by R1chard
SPX Jan to Feb Ratio Rollover Table 15th Jan 2019

It was a truly awful end to 2018 and at this very point in the Dec expiry we were using the analogy of it escaping from under the pile-driver it was trapped beneath.

The net result was the Jan expiry opened with an unprecedented bandwidth of Y ratio, a truly astonishing 350-points wide.

It still didn’t stop the SPX from testing R3 at 2345 with the intraday low of 2346.58, which, so far, is the expiry low as well.

The fact the market responded, and quite emphatically, finishing up 117-points that day at 2467.70, revealed it had broken free from the pile-driver, courtesy of the new expiry no doubt.

Rather intriguingly the Y ratio bandwidth has stayed incredibly broad, so it has the opportunity to cut loose, but the DJX was quite a limiting factor.

The fact that their zone is hovering near the market, or vice versa, we suspect means they want a quiet expiry.

Good luck, is all we can say, as the Y ratio bandwidth still stretches from 2470 all the way up to 2685, so from our perspective anything can happen under these circumstances.

Range:            2570  to  2580        or        2580  to  2605

Activity:          Poor

Type:               On balance only just bullish

Don’t forget we do not make the rules, just report the numbers.

This is, in fact, the essence of the problem, as there are no numbers.

It may well be that one of the other two step up and take charge, but as things stand here in the SPX it certainly won’t be this index doing that.

Intermediary expiries to intermediary, apart from being the least common, tend to be noticeably underrepresented, but this is going way past that.

The fact is that the zone is a little bit higher, but the minimal Y1 ratio is so minimal that it could be the zone in its entirety.

The Y ratio bandwidth “is only” 290-points wide, so less than Jan at this stage, but this is still ridiculously wide, and, more to the point, there is no depth.

On both sides the ratio only goes as high as R2, at least last expiry we saw some DR.

Still a few days to go, but skittish doesn’t go anywhere near enough to describing how this index may be in the Feb expiry, and that’s in either direction.

Range:           2445  to  2595

Activity:         Average

Type:              Neutral

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January 14th, 2019 by R1chard
FTSE Jan to Feb Rollover 14th Jan 2019

Well it certainly has been a nomadic zone for the Jan expiry in the FTSE.

In fact, it has changed every time we have commented, which is actually a reflection on how very low the already minimal Y level of ratio really is.

This then has led to the fact the zone could be anywhere from 6650 to 6900.

Of course, this expiry we have already plumbed the depths of 6536.53 where it took a colossal effort by R3, then at 6550, to turn the tide.

We did mention, that on the flip side, resistance may be more sensitive, and we have already seen this market test R1 at 6950.

Now, this index is tantalisingly close to its zone, and with just two days to go to the rollover it will be a very nervy time.

Range:            6900  to  6950

Activity:          Poor

Type:               Neutral

We look at the calendar every day but still the fact it’s the rollover already comes as a surprise.

Doubly so as it has been a very hectic start to the year already.

Therefore, we suspect, a bit like us, many participants have been blindsided as this must be the poorest representation of ratio we have ever seen in the FTSE.

Of course, with March just around the corner, then it will not be helped with many sitting on their hands as well.

When you couple this with the fact this is the first, of only four, intermediary to intermediary expiries, then this just compounds the lack of ratio.

So, what we say above, about a nomadic zone, then this expiry is not going to be any different.

In fact, if, and that is a very big if, this index suddenly develops a degree of sensitivity, then it might just trade within the Y ratio bandwidth.

However, when one realises that this bandwidth is 650-points wide then one will also realise that R1 will be very hard pushed to reverse a market that has that much momentum behind it.

And so far, that is pretty much as high as it goes, scarily.

Seems like the Jan expiry was just the warm-up act for this the Feb expiry.

Range:          6750  to  6950

Activity:        Average

Type:            Neutral

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January 8th, 2019 by R1chard
SPX, NDX & DJX Ratio Table 8th January 2019

It’s not a big change in the SPX, more of interest than significant as well.

The zone has moved up to 2545-2555, and normally we would comment on this being like taking a super tanker through a three-point turn in a country lane, but the phenomenon of 290-points of minimal Y ratio makes this not the case, and in fact rather mundane.

It is perhaps worth noting, that this move up does put the market inside its zone, so in neutral, rather than above it, and therefore in bullish territory.

However, with so little ratio about you can pretty much guarantee two things; firstly, volatility, and secondly, a nomadic zone.

Please don’t forget this index has already tested R3 at 2345 this expiry, so is 8% up from its low, and with virtually two weeks to go, so the bears may not be squealing yet, but time is now not on their side, and the R ratios above the zone still don’t even appear until 2725, so the final battle for this expiry is still to come we suspect.

Range:            2545  to  2555

Activity           Very poor

Type:              On balance just bearish

For the NDX no change in its zone, but rather intriguingly no further additions of any strikes.

Although activity has improved, it really isn’t worth writing home about.

Especially, when one considers that it is very stunted overall, so a little goes a very long way and yet this was the best it could do.

It did have fun around its zone, closing in it and bouncing off it, but at the end of the day the minimal Y ratio is actually very minimal, and what’s more, there are no step-ups, so it really is just one exceedingly vast ice-rink.

Range:            6275  to  7125 

Activity:          Moderate

Type:              On balance only just bearish

It is difficult to emphasise strongly enough how significant a level 23400 is, and has been, and not just for the DJX, but also for the other two US indices, and by default the European exchanges as well.

The first encounter was on the 28th Dec with the intraday high of 23381, and when it was R2, which turned a 250-point gain into a 76-point loss.

It shied away from it on New Year’s Eve.

But attacked again on 2nd Jan with the intraday high of 23413.

The next day saw that 660-point fall.

By the 4th it was now R1 and the bulls were emboldened again, courtesy of the SPX and NDX, and it made a good intrusion but finished right on it, despite this being strike 3 and a lot weaker.

And, yesterday, it didn’t have it all its own way, but finished on the right side, if you are a bull, so hopefully job done, but the heavy weather it made of it does not inspire confidence for sure.

As we say above in the SPX, we suspect there the deciding battle is still to come, so we are certain that here there will be one here as well.

We call them “step-ups” and here there are two in this mammoth Y ratio bandwidth, at 23800 and 24100.

Range:            23400  to  24400

Activity:          Poor

Type:              Neutral

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January 7th, 2019 by R1chard
FTSE & DAX Ratio Table 7th January 2019


Hope you were listening in the FTSE as “obviously, there is still considerable risk, but now we are into a new expiry, and if it can get back above 6750, then it could become a very rapid ascent up through the zero-ratio zone to 6900”.

The intraday high on the Wednesday and Thursday was 6753.29 and 6753.14 respectively, so Friday would have been strike 3.

However, the fact that the zone has changed, and the intraday high and low on Friday was 6850.37 and 6692.50, we suspect that this change happened on Friday.

Again, these ratios should be calculated daily, as that is almost the perfect zone bandwidth test, 6700 to 6850.

We say, almost, but really seven and a half points on a six-thousand-point index, that traded 150-points in one day, is probably the closest you will get to perfect.

Basically, a drawdown of 0.11%.

This should result in a breakout today, the only caveat is the DJX, which if you read our note on Friday you will appreciate how significant 23400 really is, and the close was above it, but only just, and that is a very large index, so 33-points is only 0.14%, which is rather ironic considering the above.

For the FTSE, obviously 6850 is a poignant level, but if it gets above that then there is still plenty of Y ratio above for it to play around in.

Although, due to the nervousness still embedded in this market, we rather doubt it will be the corresponding R3 ratio (intraday expiry low 6536.53 with R3 at 6550) so be rather wary circa 6950.

Range:            6700  to 6850 

Activity:          Poor

Type:              Bullish

There were two things we said in our last comment on the DAX that are worth repeating, “this makes 10600 very significant” and “it was the level of activity that caught our eye”.

The very next trading day the intraday high was 10612.

Also, as you can see below, that despite all the closures here over the festive period they have still maintained a very impressive level of activity.

Of course, not calculating the ratios daily coupled with a lot of closures makes any form of continuity here rather difficult, but despite this it has been fascinating to see their zone hold fast.

When this index was heading towards 10000 this looked misplaced, but after yesterday it doesn’t look so awkward anymore.

Using a broad brushstroke, the two pertinent levels over the last two weeks have been 10450 and 10250, and although the ratios may have fluctuated a little bit they have stood out, and actually over the last two weeks been counted as well.

The Y ratio bandwidth may have shrunk a bit, but it is still a very impressive 650-points, so don’t expect any quiet days anytime soon.

Range:            10600  to  10950

Activity:          Very good

Type:              On balance only just bullish

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January 4th, 2019 by R1chard
SPX, NDX & DJX Ratio Table 4th January 2019


Well, you can’t say you weren’t expecting a wild ride.

Of course, the ratios should be calculated daily, but nevertheless because of their current alignment this is not so important in the SPX as it’s all about the Y ratio bandwidth.

For good housekeeping, this index has already tested R3, back on the 26th Dec when it was at 2345 and the intraday low was 2346.58, and very significantly, on the very last trading day of 2018, the market closed at 2506.85, which in these volatile markets is the closest you will get to hitting its zone.

Also, significant, was in our last table R1 was at 2445, so is still a step-up, and yesterday’s intraday low was 2443.96.

The ratios are as in the table above, but the truly unprecedented magnitude of the Y ratio bandwidth remains virtually unchanged, at the colossal 305-points.

Buckle-up.

Range:            2420  to  2495

Activity           Poor

Type:              On balance only just bullish

When we last commented on the NDX it had recovered all the way back to its zone, which on the end of a 6.16% move was very impressive indeed.

However, this meant on the last trading day of 2018 it was actually above its zone, and, in fact, the intraday low was 6273.94, which was a bounce off the upper boundary of its zone.

When you appreciate this, and then read our comments regarding the DJX, the significance of 23400 becomes even more meaningful.

Especially, as both here and the SPX, were above their zones, and with so much Y ratio above them it could have been a very different story indeed on Wednesday, which may in turn have given a far closer line of support yesterday.

On which subject, the open here yesterday was 6274.76, which should have a very familiar ring to it.

Otherwise, not a lot else has changed, apart from the addition of another vast swathe of strikes, which, as usual, hasn’t resulted in any activity, which in turns begs the question of why bother?

Range:            5650  to  6225 

Activity:          Poor

Type:              On balance bearish

Hooray, we have some Y ratio in the DJX at last.

The big question is whether or not this means it is going to join the party?

At the moment it is definitely the “party-pooper” as at the end of 2018 it was the only index we cover not to be anywhere near its zone.

In fact, it went one better, as on the first day of trading in 2019 the intraday high was 23413, which was then R2, and which evidently brought an abrupt halt to any hint of a recovery, moreover this malaise eventually affected the other two.

If it does get its act together, and joins the other two on the same page, then we should see the zone here drop, and it could drop to 23400-23600.

This now makes 23400 doubly more significant, as not only is it the last barrier before this market gets into its Y ratios, it could also potentially be its zone bottom boundary.

And, the good news is that there is still two more weeks to go.

Range:            22400  to  23400

Activity:          Moderate

Type:              Not bearish

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December 31st, 2018 by R1chard
FTSE & DAX Ratio Table 31st December 2018

There were two massive milestones for the FTSE last week.

Firstly, bouncing off R3 which was then at 6550, with the intraday low of 6536.53, which was at the end of 150-point fall, eventually ending down just 100-points.

Secondly, was the close on Friday, being above 6700, which is back into the Y ratios.

Since our last ratio table there have been two important developments as well.

Firstly, the drop in the ratios below the zone.

Secondly, the zone itself being 150-points wide.

Obviously, there is still considerable risk, but now we are into a new expiry, and if it can get back above 6750, then it could become a very rapid ascent up through the zero-ratio zone to 6900.

Range:            6700  to 6750        or        6750  to  6900 

Activity:          Average

Type:              Neutral

For the DAX it was the level of activity that caught our eye, especially as they were closed for three days last week.

However, the end result is the ratios below the unchanged zone weakening considerably.

But, the surprising aspect, especially considering the one-sided nature of said activity, is the fact there has been precious little movement above the zone.

Most important, perhaps, is this index scraping a close just above R2.

This makes 10600 very significant, so watch any opening gaps, as 10550 is just as significant, and therefore we suspect their next trading day may be a deciding day for this index for the Jan expiry.

What we found fascinating is exactly where the DAX is now is exactly where is was when the ECB announced its QE and literally inflated this index all the way up to 13500.

So, next week, for us at least, may well reveal whether or not this index has at last returned to normal.

And we say this in full knowledge, and to repeat yet again, that because they don’t know what they did, as they don’t see it, how on earth can they regulate it let alone be in charge when they are the cause?

Range:            10250  to  10550        or        10550  to  (10600) / 10950

Activity:          Very good

Type:              Bullish

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December 27th, 2018 by R1chard
SPX , NDX & DJX Ratio Table 27th December 2018

The fascinating aspect about these ratios is that the potential for something new and unseen is always present.

When we last commented on the Jan expiry in the SPX our two main themes were the continued abundance of Y ratio and the potential for a bear squeeze, and the two are not unconnected of course.

Well, the Y ratio bandwidth now stands at 310-points, truly amazing, and so a 120-point move is totally in keeping.

Very interestingly the intraday low yesterday was 2346.58, just where our old friend R3 is residing, the level that proved so effective on so many occasions in the Dec expiry.

Of course, Jan is but a couple of days old, but activity is already high, the number of strikes is one of the largest ever, and in fact we would say it is the highest number ever, so we rather doubt it is going to get quieter.

Range:            2345  to  2495

Activity           Very good

Type:              On balance only just bearish

Bizarrely it was the NDX that invented the addition of huge swathes of strikes, not to mention abnormally large positions.

And lo and behold it hasn’t even arrived at the party let alone make it to the kitchen.

And just to add to the weirdness here it is, after a colossal 6.16% leap, back in its zone.

It is not so much the fact that there are no R ratios at all here, but rather the fact that we don’t even see Y2 until so far out, making the Y1 ratio bandwidth a staggering 1475-points wide.

Range:            6225  to  6275 

Activity:          Average

Type:              Neutral

Again, the capacity for the ratios to surprise is in itself surprising, and for the DJX this is in three main regards.

Firstly, the total lack of any Y ratio, in stark contrast to the SPX.

Secondly, if the SPX’s level of activity was “high” then here it is tremendous.

Finally, we are back to just the 200-point zone, as this expiry also sees a very full range of strikes, with a huge amount also added since our last look.

Range:            22400  to  23400

Activity:          Very strong

Type:              On balance only just bearish

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December 24th, 2018 by R1chard
FTSE & DAX Ratio Table 24th December 2018

No doubt the Dec expiry in the FTSE was a miss, but considering the pressure it was under from the collapsing US it did rather well in the end we thought.

To put it into perspective London lost 135.54-points last week, 1.98%, whereas the DJIA gave up 1655-points, or 6.87%.

Nevertheless, that will have hurt.

Looking forward into Jan, and no surprise here but all eyes will be on the other side of the pond.

But, if they manage to sort themselves out, the FTSE has 400-points of Y ratio bandwidth to go banana’s in this trip.

That is, on the assumption that the R ratios will be enough to hold the tide.

Range:            6650  to 6700        or        6700  to  6800 

Activity:          Moderate

Type:              Neutral

For the DAX most of what we said for London holds just as true, but here the last week’s fall was 232-points, or just 2.14%.

When we last looked at this expiry, and we didn’t actually publish, but suffice it to say activity has been very high, even though if you were looking at the resultant ratios you wouldn’t have thought so.

The big changes are the appearance of some Y ratio below the zone and R1 above it.

And, this is really the crux of the matter, as the Y ratio bandwidth here is a massive 800-points.

When you also add in the fact that the ratio only goes as high as R1 above the zone, then that is not a high hurdle really, more of a speed bump.

Again, the issue is with the Street, and if they sort themselves out, and the higher ratios here below the zone prove effective, then there is enormous upside potential here.

Range:            10450  to  10600        or        10600  to  10750

Activity:          Strong

Type:              Neutral

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December 21st, 2018 by R1chard
SPX , NDX & DJX Ratio Table 21st December 2018

In a break with our normal rollover charts at this point in the expiry we have reverted back to the more usual three together.

Why? Because we were intrigued to see just how expensive this expiry was going to be.

The answer. Exceedingly.

Interestingly the intraday low yesterday in the SPX was 2441.18 and 2445 is still DR, and pretty much the only level not to change.

Not much point in any comment, but what is noteworthy is the activity has been very impressive even for an expiry, and the end result is the “biggest of the big” expiries most certainly gets the record as the biggest on record.

And in a further twist, the ratios, rather than falling off below the zone, as we would expect in these circumstances, have actually come in, or strengthened, bizarrely.

Also, it is alone as the only one still to be inside a ratio bandwidth, the others being below the hindmost.

Range:           

Activity           Moderate

Type:              On balance only just bullish

We haven’t actually calculated the rollover in the NDX, but as we said previously, and on many other occasions; “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”.

This view on the overhaul holds true across all three btw.

The NDX, just like the SPX above, has also seen its ratios below the zone come in, or strengthen, which just adds to the pain really.

Range:           

Activity:          Moderate

Type:              Neutral

For the DJX the most noteworthy aspect is that the zone was just a smidgen away from being 23900-24100.

This doesn’t change anything really, but suffice it to say the intraday high on Thursday was 24057, so it wasn’t for want of trying.

Nevertheless, and as we said, 23600 was the critical level, so the warning signs were definitely there.

Although, here, the ratios have reacted as we would expect, but again this doesn’t change anything.

Range:           

Activity:          Poor

Type:              Bullish

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December 19th, 2018 by R1chard
DJX Dec to Jan Ratio Rollover Table 19th Dec 2018

Jack-hammer or pile-driver it doesn’t really matter as long as the point is, or has been, clear.

For the DJX Monday was the really big day and which just goes to prove that really the ratio calculations need to be done daily, especially at the tail end of an expiry.

Anyway, the previous Monday, 10thDec, 23900 was R3 and the DJX had just fallen 1000-points in two days to the intraday low of 23881, hitting R3 and rallying 542-points to actually finish the day in positive territory.

Today, 23900 is R2, and we just don’t know when it changed, but the new level and 23700 are R3 by the smallest possible margin, leaving DR as the far more solid level.

This makes 23600 a very critical level for the DJX, as no matter how much gloom and doom there is about the expiry the fact this market isn’t even in the Y ratios will have a major impact.

For any index players to want to sell that many futures that the amount of DR ratio dynamic delta will be buying is an extremely committed market indeed.

Range:            23600  to  23900     

Activity:          Moderate

Type:               Bullish

Click here to buy

Well the 200-point “normal” zone didn’t do anyone much good in Dec, so here we are again with the “new normal” 1000-point one in Jan.

To be honest, a trading range of just 1000-points will seem positively dull after the last two expiries, but that is a distinct possibility.

Mind you, it has to get back into it first, which is no given, but it will make for an entertaining end to the Dec expiry, and start to this.

Range:           23000  to  24000 

Activity:         Average

Type:              Neutral

Click here to buy

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