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.
Range: 7050 to
Activity: Very very poor
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.