Nb. Our comment from the 10/19/20
We are going to start coverage of the November expiry with a mention about the recently expired October one, as the market tested and bounced off 5950 on the Tuesday, then on the Wed it camped out on it for at least two hours, before eventually closing at 5935.06.
So, for an awful lot of the rollover, it did remain in its zone, but the writing was on the wall when it failed to stay inside.
Then, when we checked on Friday, the zone had actually moved to 5900-6000, so the close on Fri, the expiry, was actually back inside, although the EDSP was 5878.68.
Looking forward to November, and already there has been some huge changes in the ratios, but all in those below the zone.
Which itself, has remained static, at 5950-6050, tantalisingly close.
But, with R1 dropping to 5750, this is not good news for the bulls.
But, if you are a trader, then a 400-point wide Y ratio bandwidth should have you licking your lips in anticipation.
Don’t forget though, this an intermediary expiry to intermediary, so stupidly thin, and it is also a 5-week expiry, in which, the first week can often be a bit ignored.
Furthermore, and looking ahead to the 20th Nov, as next up is the omnipotent Dec expiry, and this year, with what has gone on, it will be a monster.
However, there is one anomaly we have noticed, and despite our delta ratio being an unremarkable 82.1%, it is starkly apparent that there are hardly any calls open below, or in-the-money, the current market level, bizarre, and, if still the same after this first “spare” week, quite often bullish.
Range: 5750 to 5950
Nb. Our comment on 10/26/20
As the title says, was that R1 or R2 that turned this index around, sending it sharply higher.
This was on Thursday 22nd, when the intraday low hit 5716.40, representing a drop of about 60-points.
The sharply higher bit came with the close of 5785.65, actually up 9.15 on the day, with it actually having peaked about 10-points above that.
However, our confusion comes with the manner the FTSE established its low, which on the vanilla O, H, L, C data is there for all to see.
But what this doesn’t show, and is a huge bugbear of ours, it that the open is always the same as the previous day’s close, which is not only bizarre, but misleading, and a fact that anyone with a brain, or experience of prices, knows can’t be true.
So, the open that day is officially 5775.50, but by our reckoning, which takes into account pre-market estimates and the opening price of the futures, the real open for the FTSE was in fact nearer to 5733.
Quite some difference.
More importantly, for us, that means the real open was below R1 at 5750 right from the very start.
Therefore, and such was the nature of the very abrupt volte-face, we believe it was the immediate onset of the dynamic delta futures buying released by R1 that was the reason, although it did come tantalisingly close to R2.
We must also point out, that the FTSE also spent about 45 minutes attacking the bottom boundary of its zone, 5950, on Monday 19th, so it has already covered the breadth of our trading range.
But this also means, the market now knows where the futures buying and selling is, so the next engagement will be by choice.
Range: 5750 to 5950
Type: On balance bullish