Jul

2021

July 13th, 2021 by Richard

Everything now on the move in the SPX, Yay.

Nb. Our comment from the 07/07/21

If the first week of this expiry was all about the SPX getting back to its zone, then the second week was all about finding out where Y2 was.

As one can see from the above table, this is now 4355, which is where the intraday highs of the last two trading days were.

Fridays came in at 4355.43, while Tuesdays was 4356.46, which was also the open.

Therefore, it was not surprising, to us at least, when the market recoiled from this encounter with Y2, although the bulls are evidentially resilient judging by the bounce.

While looking at the above table, noticing the increase in the ratios below the zone as well as the decrease above, then this suggests a bullish market.

This is true, of course, but again to us this is rather by default than design, as the bandwidths are actually exactly the same.

The Y1 ratio bandwidth remains at 235-points, while the overall Y ratio bandwidth is steadfast at 410-points.

The zone itself is also likely to move up.

The best analogy we can come up with is that the market is like an automatic car in neutral, designed to creep ahead (or at least steady on an incline).

The overall lack of ratio, also denotes a very undecided market.

There is very little else we can add, as the way the ratios are behaving is translated as bullish, and that is about the extent of it.

However, the lack of players participating is a very troublesome aspect, as is, should anything rock the boat, the corresponding Y2 (support) ratio doesn’t come into play until you get down to 4120, a full 5.41% below here.

Enjoy, but just don’t fall into the trap of believing this is a one-way street.

Range: 4255 to 4355

Activity: Poor

Type: Neutral

Nb. Our comment for 07/13/21

All we can say, is thank goodness the zone has eventually moved as we getting a tad irked having to repeat it every comment.

However, it is worth noting the level of activity, as it is not only the same as yesterday’s, which are both a marked improvement on recent levels, but more importantly it is the “type” that has eventually broken the impasse, and so much so, we are very likely to see it move up again, as 4345-4355 is now staking a claim.

Although, this is still below the current market, it is not that far away in reality.

And, if our analogy of the SPX being like an automatic car (please see above) where we mention “at least steady on an incline” we are of course referring to when it encounters Y2, or what we have called in the past, “a speed bump”.

Although, last Thursday, when the market fell 68.76-points before recovering, was a very visible example of our “one-way street trap” (again please see above).

Apart from the fact it fell down to circa 4300, which was the then zone, before recovering, it was obviously the catalyst that this market needed to gear up for the rollover and expiry this week.

With the zone moving up, naturally the ratios below have strengthened while above weakening but, this is not as bullish as it may appear at first glance.

We say this because, the Y1 ratio bandwidth has gone from 235 to 260-points overall, while the Y ratio bandwidth itself has grown from 410 to 460-points.

Out of interest, Y2 did move to 4380 yesterday, from 4355, so this market is still being sensitive to it.

And that is the entire market in a nutshell, as it may still be an automatic car encountering a retreating speed bump as it grinds forward leaving a void behind it, but we are still just talking about Y2, there to display small changes such is its sensitivity, which just highlights the utter lack of overall participation.

Range: 4305 to 4405

Activity: Average

Type: Bearish

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: Futures, Options, SP500, spx

Jul

12

2021

July 12th, 2021 by Richard

As the FTSE has just bounced between the two R1 ratios, could we get the perfect expiry?

Nb. Our comment from the 07/05/21

This now makes week two that the FTSE has meandered around inside its zone.

The only difference this last week has over the previous week, is that there is no confusion over the boundary tests.

Friday saw an intraday high of 7162.16, so definitely a test, a test which it held for perhaps 15/20 minutes, so there is no doubt it was certainly trying hard.

But for the rest of the day, it hovered just below the upper boundary, and with no further attempts at it for the rest of the day this means a sad lack of conviction.

Wednesday was the odd one, as in real time the market closed at 7052.62, so the bottom boundary did hold, having been tested quite severely during the day.

It was the auction that took the market to 7037.47 and below the boundary, which always makes for a difficult call, it not being representative of an open market.

Under these circumstances it could have gone either way, as the motivations are always rather obscure, so it wasn’t a great surprise that the next day the market opened up strongly.

The official open was 7037.47, but we all know by now how bogus that is, and we put the real open at about 15-points above the bottom boundary.

The inescapable truth is that now the market has tested both boundaries, it certainly knows what is where now, and by which we mean it knows where the dynamic delta is hiding, and has a rough idea of its magnitude.

It could just stay zone-bound, and it has done so previously, but also quite often it can get frustrated about now, having been caged for a fortnight.

Obviously, the easier path is southwards, but, judging by Thursday’s recovery, the bulls are still out there.

However, as things stand, we have to go with zone-bound, as neither team has given us enough of an indication of conviction for us to see either boundary cracking.

Range: 7050 to 7150

Activity: Moderate

Type: Bearish

Nb. Our comment on 07/12/21

Please excuse us for getting a little excited about the possibility of a perfect expiry, but it is hard to contain.

This is not so much about the FTSE getting stuck inside its zone, but rather trading between two corresponding R ratios.

The fact that R1 is also the upper boundary of its zone is immaterial.

So, as you have guessed by now, the first condition is to reverse direction at a R, or higher, ratio level. This was 7150.

The second condition is to again reverse direction at the same R number at the other end which, in this instance was R1 at 7000, with the intraday low of 6981.57 on Thursday.

We must however, also point out that most of the action that day was around 7000, the low being a very brief spike. And, a shout out must go to the bottom boundary of the zone, which put up a stellar defence on the way down, for a good half hour.

The final, and yet to pass condition, is that the market must be in its zone on the Wednesday (rollover) or on the actual expiry. Fingers crossed, eh!

This of course means that we are now entering the final week of this expiry.

This also means, that the FTSE must be getting very frustrated indeed, not only being effectively zone-bound for three-weeks but, as you can see in the above table, it has only moved 1.5-points in 5 trading days, ouch. Albeit 5 exciting days.

It’s going to be a tough ask, especially as everyone now knows where, and how much, dynamic delta to expect when, or if, they go there.

One last comment, is please do be aware of the official market data, as on Friday they managed to get the FTSE low as 7030.22, and as they always use the previous days close as the open, which was 7030.66, this means the market must have fallen 0.44-points from the open, which was when most were anticipating an open circa 7055.

So, the real data should be, open:7055, high:7116.32 (real time) 7121.88 (post auction), low:7044 and the close being 7116.32.

This makes the official O, H, L, C of 7030.66, 7121.88, 7030.22, 7121.88 meaningless. Or worse, misleading.

On the ratio front, above the zone, they have basically returned to where they were on the 28^th June, so the move is perhaps not quite as dramatic as the table above suggests.

Range: 7050 to 7150

Activity: Poor

Type: Neutral

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized

Jul

07

2021

July 7th, 2021 by Richard

The SPX is like an automatic car in neutral now.

Nb. Our comment from the 06/29/21

It is a real shame we were not able to publish the ratios since the 8^th June, especially as so much has happened.

Firstly, the June expiry, where the zone did eventually end up at 4145-4155, meant the market finishing at 4166.45 was about as close as they were going to get under the circumstances.

However, that expiry had a direct influence on the July one, and as one can see from the ratio table above, the July zone was even then at 4220-4230.

In an ideal world (like the FTSE testing R1 at 6948.63) we would have seen Y2 tested here, but evidently the bulls were far more convinced/knowledgeable about the expiry effect, so were very quick to resume control.

So, as the market was racing back up towards its zone, it has moved, albeit by just 25 points, but nevertheless this is still a bullish sign.

But, just as before, it is hardly earth-shattering, as it is a small move, actually the smallest you can get really, and it was just within the Y1 ratio bandwidth, so also not exactly difficult to achieve.

Therefore, the big question still remains, which is how committed are the bulls? As not having been tested yet, we have nothing on which to gauge their willingness.

So, it is worth pointing out, and please bear in mind we are still only talking the minimal Y1 ratio, that there is a step-up at 4305, which, should the market encounter it, give us a very good clue towards this measure.

At the end of the day, it is very similar to the last few expires, as in still a ridiculously wide Y ratio bandwidth, and a market making new highs by default, as there is scant evidence of that many bulls around at all.

So, again we stress, this is really not a risk-free market.

Range: 4255 to (4305) 4330

Activity: Poor

Type: On balance only just bullish

Nb. Our comment for 07/07/21

If the first week of this expiry was all about the SPX getting back to its zone, then the second week was all about finding out where Y2 was.

As one can see from the above table, this is now 4355, which is where the intraday highs of the last two trading days were.

Fridays came in at 4355.43, while Tuesdays was 4356.46, which was also the open.

Therefore, it was not surprising, to us at least, when the market recoiled from this encounter with Y2, although the bulls are evidentially resilient judging by the bounce.

While looking at the above table, noticing the increase in the ratios below the zone as well as the decrease above, then this suggests a bullish market.

This is true, of course, but again to us this is rather by default than design, as the bandwidths are actually exactly the same.

The Y1 ratio bandwidth remains at 235-points, while the overall Y ratio bandwidth is steadfast at 410-points.

The zone itself is also likely to move up.

The best analogy we can come up with is that the market is like an automatic car in neutral, designed to creep ahead (or at least steady on an incline).

The overall lack of ratio, also denotes a very undecided market.

There is very little else we can add, as the way the ratios are behaving is translated as bullish, and that is about the extent of it.

However, the lack of players participating is a very troublesome aspect, as is, should anything rock the boat, the corresponding Y2 (support) ratio doesn’t come into play until you get down to 4120, a full 5.41% below here.

Enjoy, but just don’t fall into the trap of believing this is a one-way street.

Range: 4255 to 4355

Activity: Poor

Type: Neutral

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized

Jul

05

2021

July 5th, 2021 by Richard

Is the FTSE getting frustrated being zone-bound this entire expiry so far?

Nb. Our comment from the 06/28/21

Prophetic words, as indeed our trading range mentioned in our last comment (please see above) did prove key. In fact, we started including our previous comment just for ease of reference, and to make it unnecessary for us to quote it.

Last Monday, the first day of this expiry, the intraday low of the FTSE was 6948.63, or to us, R1 at 6950.

It then went on to have an afternoon long embrace with the bottom of its zone, or 7050 to us, before managing to finish just above it.

Essentially, once the June expiry was over, the bulls took charge again.

For the remainder of last week, the FTSE just meandered around in its zone, which was quite a feat in itself, especially considering how much ground the US indices were making.

Ironically, they both gained almost the same number of points, but due to the overall index numerical size, this equates to the SPX adding almost an entire 1% more gain.

However, getting to the far more important present, it is worth noting that the ratios have changed considerably in a week.

Both sides have shown very good gains, below the zone being the more uniform.

But, above the zone, we now see R2 appear and B1, otherwise it is just a slight improvement in DR.

Obviously, the market being in its zone is the big thing, and was the intraday high of 7139.08 on Friday the first test of the upper boundary? We think not, but in the first instance the zone, and therefore our trading range is key.

One major point to note is R1 turned the market below the zone, and that’s what awaits it at 7050, and if it does break through, it is then in a world of exponentially increasing ratios every fifty-points, so extremely hard works for the bulls, work we find hard to believe they will expect let alone succeed at.

Range: 7050 to 7150

Activity: Good

Type: On balance only just bearish

Nb. Our comment on 07/05/21