DJX Oct to Nov Rollover Ratio Table 17th Oct 2018
The overriding theme this expiry has been the significant lack of ratio around in the DJX, which has led to all these extreme moves.
We don’t believe in coincidences so the fact this market finished right on 25800, the top of the Y2 ratio bandwidth, is significant.
Also, another significant aspect is the activity, and compare what it is here to the “very good” we saw in the SPX and it becomes abundantly clear that despite perfect trading conditions for derivatives this index has seen none of it.
It really has been ignored from the very start and so the same conditions persist.
Therefore, we of course would like to see it get back into its Y1 ratio bandwidth, which would also give its zone a chance of meeting the market come expiry, but nobody seems bothered, so big moves ahoy.
Range: 25200 to 25800 or 25800 to 26500
Activity: Very poor
The trouble is when nobody cares this is what you get, as in November we are back to that 1000-point zone that has just started appearing this year.
It really doesn’t help that there are only ever four of these intermediary to intermediary expiries a year, and which by their very nature are poorly attended.
On a more positive note at least we have some R ratios, and either side of this mammoth zone, but at least they are there.
The situation may well change before we have another look at this index, but as they stand, we would say the Oct expiry was just the warm-up act for this expiry.
Range: 25500 to 26500