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.
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
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
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.