Nb. Our comment from the 10/06/20
There has hardly been any change in the FTSE’s ratios, which is a really good thing, as you can see them in action without having to spot a moving target.
In fact, last week, you only had to remember two levels really, so not a big ask.
But, had you dome so, your timing should have been impeccable.
On the very day of our last note, 28th Sept, we mentioned the levels, if you hadn’t seen them in the table, and it was the zones bottom boundary that was the pertinent one.
The market stormed ahead straight from the off, but it wasn’t until early afternoon that it encountered 5950.
It had two more pops at it, roughly 40mins between each, before it gave up, and finished at 5927.93, having achieved the intraday high of 5954.42.
Then it was back to our old friend R2 at 5850 for the next three days.
The intraday lows on the Tues, Wed and Thu were 5862.93, 5854.46 and 5849.82 respectively.
On Friday it went down to 5809.61, and we know R2 had slipped to 5800 on Monday, but whether it had last Fri who knows, but anyway, Fri was strike 4, so it was on borrowed time either way.
Of course, yesterday, we are now back to the bottom zone boundary, and despite the very early spike, the FTSE hit 5950 twice in the afternoon before capitulating.
Three times, if you include the real time close of 5948.80, before the auction wiped 6-points from it.
So, same as last week, if it can hold above 5950, then there is literally no ratio up to 6050, then just Y2 above that, and as we are only half way there is still time.
Range: 5800 to 5950
Type: On balance only just bullish
Nb. Our comment on 10/12/20
Some might say “boring FTSE”, but despite it being so timid, it has, for us at least, proved to be an exemplary expiry so far.
Again, and as we said last time, helped considerably by the static ratios.
And, as one can see in the table above, there has been absolutely no change in them this week.
Well, this is not strictly true, as they have changed, mainly rising above the zone, it is just that they haven’t moved enough to change bandwidths.
The brilliant aspect of this, is that it is extremely obvious for everyone to see how the index actually interacts when it hits these ratio levels.
Of course, the lack of ratio movement, denotes an underlying lack of activity, which in itself, leads to a heightened degree of sensitivity.
When no one is doing anything, even the futures activity generated by the dynamic delta of Y2, will create waves.
Essentially the first two weeks of this expiry was about the support generated by the R2 ratio, which moved between 5800 and 5850 at that time.
This last week, has been all about the bottom boundary of the FTSE’s zone, 5950.
Just look at the first three closing levels last week, 5942.94, 5949.94 and 5946.25 respectively.
But these were definitely not the extent of it, as the FTSE constantly toyed with 5950 throughout the week.
The beauty of it, was on Thursday, when it eventually broke through, it (twice) came down to test 5950, and rather than capitulating, found support…big signal.
Will we see a R to R ratio expiry? Probably not now, as with the rollover and expiry this week, coupled with its sensitivity, we have to say it should just stay zone-bound.
Range: 5950 to 6050