Hedge Ratio Analysis

It is generally accepted that there are three things that define market movement on a daily basis; Fundamental Analysis, Technical Analysis and Derivatives. Our analysis concerns itself solely with Derivatives and in particular stock index options and futures, which is by a long way the largest sector in this USD $600tn industry, and their direct influence on the Benchmark indices.

We calculate daily the Hedge Ratio on the FTSE 100, DAX 30, S&P 500, Dow Jones Industrial Average and the Nasdaq 100 which gives us exact points where to expect Dynamic Delta Hedging. Or in simple terms where to expect futures selling or buying and a scale to see how much of it.

Latest Ratio tables here
by Richard

What a superb effort to get so close in the May expiry, but will June suffer for it? Nb. Our

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by Richard

After a huge test of R3 Ratio the SPX finds itself back in the Y Ratios just in time for

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by Richard

Remarkable 260-point bounce off DR Ratio, now it’s all down to the rollover and expiry. Nb. Our comment from the

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by Richard

Can R2 stem the SPX bears? Nb. Our comment from the 05/04/22   Apologies for the late update, probably made

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by Richard

Having tested R2 on Friday the FTSE has a simple choice, there again or back to its zone. Nb. Our

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by Richard

R1 Ratio still being a nuisance to the SPX bears. Nb. Our comment from the 04/26/22   Well, it is

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by Richard

That has been one of the hardest fights the FTSE has ever had to hang on to its zone. Nb.

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by Richard

And now you know why we warn about such huge Y ratio bandwidths. Nb. Our comment from the 04/20/22  

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by Richard

After testing Y2 the FTSE retreated back to its zone, the question is, can it stay there? Nb. Our comment

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by Richard

The SPX May expiry has a couple of differences to April’s, but probably the scarier for them. Nb. Our comment

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