Category: Uncategorized

Jul
03
2023
July 3rd, 2023 by Richard

The FTSE traverses the entire R1 ratio bandwidth in a week.

Nb. Our comment on 07/03/23

As we said last week, 7400 did indeed prove to be a real test for the bears.

On the day we published and, quite some considerable time after we may add, the intraday low on that Monday 26th was 7401.18.

Evidently, the dynamic delta inspired bout of futures buying generated by the market hitting R2 at 7400 was more than enough to see this index pivot and reverse direction. Furthermore, it was bit of spike down, so it wasn’t there for very long.

Then it took the rest of last week to travel across the entire R1 ratio bandwidth, as on Friday the intraday high was 7551.59. Or in our world, the bottom boundary of the zone, or our trading range in fact.

From R2 to the zone, or the R1 bandwidth, is 150-points.

More importantly, looking ahead, don’t forget we still have three weeks of this expiry to go.

So, the important level this week will be 7550, or the bottom boundary of the zone.

If the market can get back above this and, lets face it, the one thing the FTSE has been keen on recently, has been staying in its zone, then it has 100-points of zone above it.

If it fails, the one change in the ratio table for this week, has actually been R2 at 7400, as it has slipped to 7350.

However, 7400 still represents a considerable step-up, as it is only just below the threshold.

Perhaps another aspect to bear in mind, is that the SPX got back to its zone last Thursday and, on Friday, hit Y2 with the intraday high of 4458.48. The point being, is that it may seem set fair over here, but the SPX may run into ratio troubles which can translate across. Otherwise, our best guess is that the FTSE will want to get back inside its zone, which would then make the trading range 7550 to 7650.

 

Range:            7400  to  7550      

Activity:          Poor

Type:              On balance only just bullish

www.hedgeratioanalysis.com

 

Nb. Our comment from 06/26/23

Back to the usual format for the foreseeable, which also holds true for the actual expiry, now we are down to four weeks.

And last week was indeed all about the zone, just not the boundary we expected.

Although, there was plenty of warning what with the intraday low on Tuesday of 7566.33. Followed closely by 7520.92 on the Wednesday, which saw the market close at 7559.18, just above the bottom boundary at 7550.

It was certainly trying to stay in its zone but, most certainly, it wasn’t helped by what was happening in Europe and across the pond.

Anyway, once the boundary gave way on Thursday, it has managed to almost catch up on the drop seen in Europe.

Looking ahead and, at this point it may be worth considering the type of activity we mention below. As “on balance bullish” is quite bland, although it can all that is necessary normally.

However, this early on in an expiry, it can sometimes be worth pointing out that this description has been derived from the fact that there has definitely been a lot of bullish call activity but, the put activity was far more diverse, with ITM increasing but OTM decreasing. So, very much a mixed picture but, netted-off, definitely flattering the “bullish” activity calculation.

The overall result can be seen in the ratio table.

The obvious aspect is that R2 kicks-in at 7400, and how the FTSE deals with this number of futures buying generated by the dynamic delta will be a real test for the bears. Perhaps what isn’t so obvious is, that there is a small step-up in the level of R1 ratio at 7450, which may also generate an insight as to how committed the bears really are.

 

Range:            7400  to  7550      

Activity:          Moderate

Type:              On balance bullish

www.hedgeratioanalysis.com

Available to buy now

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:

Jun
27
2023
June 27th, 2023 by Richard

Will R2 Ratio at 7400 come to the FTSE's rescue?

Nb. Our comment on 06/26/23

Back to the usual format for the foreseeable, which also holds true for the actual expiry, now we are down to four weeks.

And last week was indeed all about the zone, just not the boundary we expected.

Although, there was plenty of warning what with the intraday low on Tuesday of 7566.33. Followed closely by 7520.92 on the Wednesday, which saw the market close at 7559.18, just above the bottom boundary at 7550.

It was certainly trying to stay in its zone but, most certainly, it wasn’t helped by what was happening in Europe and across the pond.

Anyway, once the boundary gave way on Thursday, it has managed to almost catch up on the drop seen in Europe.

Looking ahead and, at this point it may be worth considering the type of activity we mention below. As “on balance bullish” is quite bland, although it can all that is necessary normally.

However, this early on in an expiry, it can sometimes be worth pointing out that this description has been derived from the fact that there has definitely been a lot of bullish call activity but, the put activity was far more diverse, with ITM increasing but OTM decreasing. So, very much a mixed picture but, netted-off, definitely flattering the “bullish” activity calculation.

The overall result can be seen in the ratio table.

The obvious aspect is that R2 kicks-in at 7400, and how the FTSE deals with this number of futures buying generated by the dynamic delta will be a real test for the bears. Perhaps what isn’t so obvious is, that there is a small step-up in the level of R1 ratio at 7450, which may also generate an insight as to how committed the bears really are.

 

Range:            7400  to  7550      

Activity:          Moderate

Type:              On balance bullish

www.hedgeratioanalysis.com

 

 

 

Nb. Our comment from 06/19/23

 

The zone in the FTSE June expiry did move down to 7450-7550, but it was very obvious this was on paper only.

The really important date here was the rollover Wednesday, the 14th, and anybody looking at the price action that day was left in no doubt that this index was in its zone.

The fact that it had many opportunities, like other European exchanges, to react to the rampant US markets, but didn’t, tells its own story.

Therefore, there is very little we can add to the June expiry except say we wish they were all this simple, or compliant.

Which brings us into the July expiry, and naturally the zone is still at 7550-7650.

Good news for the bulls though, is that the lower boundary is underpinned with R1, whereas the upper boundary has 200-points of Y ratio above it.

All things considered, it could be a good expiry for the bulls and give it a chance to catch up with the DAX. First though, it will have to break free from its zone, where it has resided for the best part of two weeks.

 

 

Range:            7550  to  7650           

Activity:          Average

Type:              Neutral

 

www.hedgeratioanalysis.com

Available to buy now

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:

Jun
13
2023
June 13th, 2023 by Richard

Seems like we have a street fight on our hands in the SPX...ding ding...round 1

Nb. Our comment for 06/13/23

 

The SPX has definitely become fixated with R2, and has most certainly continued to “knock on the retreating door of R2”.

Although, when one drills down into the data, it is not quite as vanilla as it looks.

First things first though, and last week was all about the levels we mentioned. On the day we published 4270 had its affect first thing, but then it swiftly changed to 4280.

Then the next two days were all about 4305, which gave way on Friday, also strike three of course.

What we also mentioned last week, was this week it is the rollover and expiry. The first of which is tomorrow.

So, this is where it now becomes very interesting.

Basically, the zone hasn’t moved. Although, yesterday and today we have seen 4150 state a really strong claim. However, please note that this is still a long way below where the market is now, despite it being a lot higher than 4000. However, from past experience and with Y2 now stretching all the way up to 4305, it has happened in the past that the zone ends up at 4295-4305 come Friday.

The odd part is that today and yesterday, the ratios have started falling beneath the current zone. So much so in fact, that R1 has reappeared down there.

Putting this aside, and seeing how aggressive this index has been last week and, so far this week, it means it looks like a good old fashioned street fight between equities and derivatives.

Equities have obviously taken to heart no rate rise, so either derivatives adapt or end up losing some serious money.

As you can see R2 now starts at 4330 (below where the market closed), so there is a step up at 4355 and then again at 4405. But, at the end of the day, the SPX is going to have to absorb an awful lot of dynamic delta futures, especially this close to the rollover, so decide whom to back…equities or derivatives, simple.

 

Range:            4305  to  (4355 & 4405) 4505           

Activity:          Very poor

Type:              Bearish

 

www.hedgeratioanalysis.com

 

Nb. Our comment from the 06/06/23

 

As compliant as the FTSE is being here, on the other side of the pond, the SPX is being rather aggressive.

We did point out last week that sometimes this index can “get a bee in its bonnet” and, we did suspect as much, otherwise we would not have mentioned it.

Essentially, it was looking for a fight, or that was the way it appeared to us at least.

To be fair, it needed something to give it a shake as, up until the middle of last week, the SPX had gone absolutely nowhere. It started this expiry by opening at 4190.78 and by last Wednesday 1st it had closed at 4179.83.

The only question that remains, is whether or not it has now bitten off more than it can chew…or more precisely, more futures than it can handle courtesy of the dynamic delta that comes with encountering R2 ratio level.

Judging by the reaction yesterday, when it should have “sobered up”, the answer is yes, it looks decidedly uncomfortably with this many futures coming out onto the market.

Luckily, for the market, by shaking things up a bit then we are seeing the ratios above the zone recede quite quickly now.

Amazingly though, the actual zone itself hasn’t moved.

Obviously, today R2 starts at 4270 but, by the end of play we would expect it to have slipped to 4280. Then, during the week, it will slip further to 4305.

The SPX can of course continue to knock on the retreating door of R2 but, next week is the rollover and expiry, and where that will end up is going to become increasingly important.

So, enjoy it while you can, but we feel the bulk of the upside potential has been achieved for this expiry and the downside risk only grows.

 

Range:            4005  to  4270 (4305)           

Activity:          Poor

Type:              On balance only just bearish

 

www.hedgeratioanalysis.com

Available to buy now

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:

Jun
12
2023
June 12th, 2023 by Richard

Yet another good week for the FTSE Ratio watchers...but what will the rollover and expiry bring?

Nb. Our comment on 06/12/23

Yet another really good week for the ratio watchers.

The “critical levels” we mentioned last week were the ones that dictated what happened last week, and straight from the off as well.

Monday 5th saw the intraday high of 7654.84, and it took quite a few hits but held firm.

Tuesday saw the intraday low of 7556.16, which also held firm.

Then Wednesday saw the intraday high of 7642.40, close enough but also, far enough away for one to see it knew what was waiting for it at 7650 and didn’t want to go there again.

Thursday was bit of a non-entity sort of day, especially for ratio watchers but, Friday more than made up for it, with three very distinct spikes down, one of which resulted in the intraday low of 7546.50.

Which brings us neatly round to the final week of this expiry this week.

First point, is that both boundaries are now on strike two.

Second point, the zone dropping to 7450-7550, that we mentioned last week, is still on the cards.

Both points make having any concrete views particularly difficult, as if the actual rollover and expiry of a triple witching expiry needed any further assistance in this department.

Best guess, is that as long as the zone stays where it is the market will have a huge job just to keep it in this for rollover Wednesday. After that, all gloves are off. The level to keep a very close eye on is 7550. As where things are now, it is the bottom boundary but, should the zone shift, it will become the top boundary. Suppose, the least likely scenario is that it will be quiet.

 

Range:            7550  to  7650      

Activity:          Very poor

Type:              Not bearish

www.hedgeratioanalysis.com

 

Nb. Our comment from 06/05/23

 

Again, another good week for those if they had taken note of the ratio levels.

In the first instance, the fragility of 7550 that we suspected proved to be well founded.

On the first trading day back, post the Bank Holiday, Tuesday 30th May, the FTSE did bounce off 7550, and managed a small rally that lasted for about 20 minutes. However, that was all it could muster and it soon caved in once it got tested again, which really wasn’t a great surprise.

Then the Wednesday and Thursday saw the market attack R3 at 7450, in what we referred to last week as “a far more solid ratio level”. It certainly had its work cut out, as on the 31st the market tested it first thing in the morning and it then promptly rallied 65-points where it remained for most of the rest of the day before coming back for another bite right at the close.

Thursday 1st saw the market open up about at about 7478 (usual moan about the idiotic official open being the previous day’s close) and it wasn’t until the late afternoon that saw three spikes down to test it, with one resulting in the intraday low of 7445.30.

So, Friday’s rally was exactly what should have happened.

The other aspect to note is that the zone has moved, so this rally also took the market back into this.

We are now at the half way point of this expiry, so after this week we then get the rollover and expiry, so volatility could actually increase.

Also, there are signs that the zone could also move down again, to 7450-7550, so there is plenty of life left in these final two weeks and something we will have to keep a close eye on. Otherwise, if the zone remains static the market could just stay inside it if it wants a peaceful week, meaning that 7550 and 7650 are the critical levels to watch in the next few days.

 

Range:            7550  to  7650      

Activity:          Moderate

Type:              Bullish

www.hedgeratioanalysis.com

Available to buy now

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:

Jun
06
2023
June 6th, 2023 by Richard

Has the SPX bitten off more than it can chew?

Nb. Our comment for 06/06/23

 

As compliant as the FTSE is being here, on the other side of the pond, the SPX is being rather aggressive.

We did point out last week that sometimes this index can “get a bee in its bonnet” and, we did suspect as much, otherwise we would not have mentioned it.

Essentially, it was looking for a fight, or that was the way it appeared to us at least.

To be fair, it needed something to give it a shake as, up until the middle of last week, the SPX had gone absolutely nowhere. It started this expiry by opening at 4190.78 and by last Wednesday 1st it had closed at 4179.83.

The only question that remains, is whether or not it has now bitten off more than it can chew…or more precisely, more futures than it can handle courtesy of the dynamic delta that comes with encountering R2 ratio level.

Judging by the reaction yesterday, when it should have “sobered up”, the answer is yes, it looks decidedly uncomfortably with this many futures coming out onto the market.

Luckily, for the market, by shaking things up a bit then we are seeing the ratios above the zone recede quite quickly now.

Amazingly though, the actual zone itself hasn’t moved.

Obviously, today R2 starts at 4270 but, by the end of play we would expect it to have slipped to 4280. Then, during the week, it will slip further to 4305.

The SPX can of course continue to knock on the retreating door of R2 but, next week is the rollover and expiry, and where that will end up is going to become increasingly important.

So, enjoy it while you can, but we feel the bulk of the upside potential has been achieved for this expiry and the downside risk only grows.

 

Range:            4005  to  4270 (4305)           

Activity:          Poor

Type:              On balance only just bearish

 

www.hedgeratioanalysis.com

 

 

Nb. Our comment from the 06/01/23

 

Nothing at all to do with the SPX to begin with as we must point out that hopefully you took heed of the dubious nature of the support R1 ratio would provide the FTSE100 at 7550.

Furthermore, also what we said about 7450, as today, in this index, this is what it will all be about, no question.

Looking at the SPX now, and as you can see there hasn’t been a great deal of change.

However, there have been significant developments regardless.

Firstly, although the zone hasn’t changed, it seems like 4145-4155 has eventually made up its mind in the last few days to becoming the very likely new zone.

Secondly, on Tuesday (the first trading day this week) this index hit two very important ratio levels.

Initially it hit R2 then at 4230 with the intraday high of 4231.10.

Then it closed at 4205.52, right on R1.

Overall, this shows that the ratios are retreating above the zone (which we knew anyway), that the zone should move up and, what is not evident in the table, is that the ratios are growing below the current zone.

This is all bullish. However, a lot of this has been already reflected in the market, as the market still remains just below R1 and R2. So, the downside risks still remain, as the corresponding R1 & R2 levels don’t start until 3995-see trading range below.

As there is a lot of potential news to come out, debt and rates to name two, so just to warn you that sometimes if the SPX gets a bee in its bonnet, then it can blast through ratio levels, only sobering up the next trading day.

 

Range:            4005  to  4205           

Activity:          Poor

Type:              On balance only just bearish

 

www.hedgeratioanalysis.com

 

Available to buy now

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: ,

Jun
05
2023
June 5th, 2023 by Richard

Big bounce for the FTSE off R3 at 7450

Nb. Our comment on 06/05/23

Again, another good week for those if they had taken note of the ratio levels.

In the first instance, the fragility of 7550 that we suspected proved to be well founded.

On the first trading day back, post the Bank Holiday, Tuesday 30th May, the FTSE did bounce off 7550, and managed a small rally that lasted for about 20 minutes. However, that was all it could muster and it soon caved in once it got tested again, which really wasn’t a great surprise.

Then the Wednesday and Thursday saw the market attack R3 at 7450, in what we referred to last week as “a far more solid ratio level”. It certainly had its work cut out, as on the 31st the market tested it first thing in the morning and it then promptly rallied 65-points where it remained for most of the rest of the day before coming back for another bite right at the close.

Thursday 1st saw the market open up about at about 7478 (usual moan about the idiotic official open being the previous day’s close) and it wasn’t until the late afternoon that saw three spikes down to test it, with one resulting in the intraday low of 7445.30.

So, Friday’s rally was exactly what should have happened.

The other aspect to note is that the zone has moved, so this rally also took the market back into this.

We are now at the half way point of this expiry, so after this week we then get the rollover and expiry, so volatility could actually increase.

Also, there are signs that the zone could also move down again, to 7450-7550, so there is plenty of life left in these final two weeks and something we will have to keep a close eye on. Otherwise, if the zone remains static the market could just stay inside it if it wants a peaceful week, meaning that 7550 and 7650 are the critical levels to watch in the next few days.

 

Range:            7550  to  7650      

Activity:          Moderate

Type:              Bullish

www.hedgeratioanalysis.com

 

Nb. Our comment from 05/30/23

All we can say is that we hope you did take notice of the ratio levels before the start of last week.

Monday and Tuesday last week were all about the bottom boundary of the zone, 7750.

The intraday low on the 22nd was 7750.53 and on the 23rd 7747.09.

Quite often these tests can result in a reciprocal test of the other boundary but, if it is evident that this desire is lacking, it can also be an early warning sign.

Either way, the Wednesday saw strike three of 7150, so we would not have expected it to hold anyway, and sirens should have been going off now anyway.

After that it was simply a case of waiting for the market to traverse the Y ratio bandwidth below the zone.

We are not calling the intraday low of 7569.17 on Thursday a test of R1 at 7550, although it wasn’t very far away at all, the market having dropped 200-points at that stage, so the Greeks were spiking a bit.

However, the intraday low of 7556.92 on Friday definitely was. This also resulted in a rather nice, and confirming, bounce of 70-points.

Looking ahead, 7550-7650 is still a very likely candidate to be the next zone and, although it hasn’t actually changed, this means the “bearish implications” we mentioned last week are not so much in play anymore, as the market has made the move already.

Nevertheless, it would be best to follow very closely any activity around 7550 and 7650 this week.

Other than that, although 7550 is still R1, it has only just made the threshold, so do treat even a strike two with suspicion. A far more solid ratio level is R3. Otherwise, it has a huge Y ratio bandwidth to play around in now.

 

Range:            7550  to  7750      

Activity:          Poor

Type:              On balance just bullish

www.hedgeratioanalysis.com

Available to buy now

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: ,

May
30
2023
May 30th, 2023 by Richard

Once the FTSE's bottom boundary 7750 broke we had to wait until Friday for the test of R1 at 7550

Nb. Our comment on 05/30/23

All we can say is that we hope you did take notice of the ratio levels before the start of last week.

Monday and Tuesday last week were all about the bottom boundary of the zone, 7750.

The intraday low on the 22nd was 7750.53 and on the 23rd 7747.09.

Quite often these tests can result in a reciprocal test of the other boundary but, if it is evident that this desire is lacking, it can also be an early warning sign.

Either way, the Wednesday saw strike three of 7150, so we would not have expected it to hold anyway, and sirens should have been going off now anyway.

After that it was simply a case of waiting for the market to traverse the Y ratio bandwidth below the zone.

We are not calling the intraday low of 7569.17 on Thursday a test of R1 at 7550, although it wasn’t very far away at all, the market having dropped 200-points at that stage, so the Greeks were spiking a bit.

However, the intraday low of 7556.92 on Friday definitely was. This also resulted in a rather nice, and confirming, bounce of 70-points.

Looking ahead, 7550-7650 is still a very likely candidate to be the next zone and, although it hasn’t actually changed, this means the “bearish implications” we mentioned last week are not so much in play anymore, as the market has made the move already.

Nevertheless, it would be best to follow very closely any activity around 7550 and 7650 this week.

Other than that, although 7550 is still R1, it has only just made the threshold, so do treat even a strike two with suspicion. A far more solid ratio level is R3. Otherwise, it has a huge Y ratio bandwidth to play around in now.

 

Range:            7550  to  7750      

Activity:          Poor

Type:              On balance just bullish

www.hedgeratioanalysis.com

 

 

Nb. Our comment from 05/22/23

Welcome to the June expiry, the second triple witcher of ‘23.

In the end it was a very interesting battle last week for the finish of the May expiry, especially on rollover day, Wednesday 17th, when the market spent almost the entire day flip flopping either side of 7750 before losing 27-points and closing down at 7723.

As one can see in the table, the market did indeed close in its zone on the Friday, albeit only just. However, the settlement price was 7779.57, so very much inside its zone for when it counted (literally).

All told, the FTSE lost 159.39 points over the course of the May expiry, which was essentially all at the very start, way back on the 24th April, when it had the temerity to get close to R1 at 7950.

So, apart from the obvious hard work it took to keep the market in its zone and looking just at the closing price, 7756.87, it would have appeared to be an “easy and peaceful” expiry as the index only moved a whopping 2.25-points in the entire week.

Looking ahead to June and the most obvious aspect is that the zone is the same as May’s was, 7750-7850. However, what the table here doesn’t show, is that 7550-7650 has made a very strong move towards being the next zone.

No need to tell you that this would have quite significant bearish implications.

It is also probably no coincidence that the R ratios start at 7550 below the zone.

Above the zone it is worth noting that 7950 has gone from R2 up to R3, and as these ratios are exponential, this is a huge jump from the minimal Y ratios should the bulls feel so inclined to chase it back up there. Interestingly, the DAX reached a new all-time intraday high on Friday, while London’s record stands at 8047.06 now.

Whichever way the market does go, there is Y ratio either side of the zone (400-points in total), so the FTSE could have a very decent trading range this expiry.

 

Range:            7750  to  7850      

Activity:          Poor

Type:              On balance only just bullish

www.hedgeratioanalysis.com

Available to buy now

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: , ,

May
16
2023
May 16th, 2023 by Richard

Job almost done in the SPX May expiry, but June may well be a different kettle of fish.

Nb. Our comment for 05/16/23

What neatly encapsulates this expiry is the fact that this market closed at 4137.04 the day before we last posted, and here we are with yesterday’s close of 4136.28, a miniscule move.

OK, it has only been a few trading days, but the point remains.

Just to emphasise this, the close on the very first day of this expiry, the 24th April, was actually 4137.04…and no this is not a typo, this is really the exact same close. Furthermore, it’s not as if we have selected dates to fit, as today is our normal posting date for the SPX, and we can hardly fudge the first date of the expiry either.

In a way this has been a fortunate turn of events as, way back at the very start of this expiry, the Y ratio bandwidth stretched from 3945 all the way up to 4270. So, it could very easily have been a very volatile expiry indeed.

As it happened, all we got was a test of Y2 at 4180 on the 1st May (intraday and expiry high of 4186.92) before it fell back to meet the rising zone. Which was what last week was pretty much all about, especially the last three days.

Of course, this week it is all about the rollover and expiry, but really all the hard work has been done, or at least in our book it has. To explain a bit further, the Y1 ratio bandwidth alone goes from 3995 up to 4205, which is a bit odd to be fair, but means there is no, or virtually no, pressure on this rollover and expiry as long as it stays within these parameters. In reality, only the rollover is fine, so it just needs today and tomorrow to be boring and its job done.

More importantly, looking ahead to June and, it being a triple and therefore significantly larger, can be and normally does exert influence from early on.

Interestingly the zone in June is still at 3995-4005, which will be an overhanging risk to the May expiry, unless it does change and move up.

Where, at first glance, 4145-4155 looks to be the front-runner, which is actually higher than May’s. However, with so much more ratio about, and therefore by definition, so much more dynamic delta, we very much doubt this “relaxed” environment will be able to continue for very much longer. No bad thing we think either.

 

Range:            4105  to  4205           

Activity:          Very poor

Type:              Bearish

 

www.hedgeratioanalysis.com

 

Nb. Our comment from the 05/11/23

 

Apologies for not posting sooner in respect of the SPX but, in truth, very little has actually happened since we last commented.

What has changed, is that the zone has eventually moved up, which happened the other day, the 9th May.

So, this has been a very long time in the making, which has been rather boring in all honesty.

In the meantime, the index has been “pinging” about so, all in all, it has been acting totally normally under these conditions.

The only aspect you may have missed, is that back on 1st May the intraday high was 4186.92, which was a very solid test of Y2 ratio, then standing at 4180.

This is also, so far at least, the expiry high.

However, the zone may have moved, but as this has just been inside the overall Y1 ratio bandwidth and, as it was so well flagged in advance, this is hardly a game-changer.

What it has done, is level out the ratios on either side, so one could say it is now a far more balanced overall ratio alignment.

Or more graphically, there is now 100-points of Y1 ratio either side of the zone. The depth of the Y2 bandwidth is still skewed in favour of the bulls…as in, there is far more of it above the zone than below it.

Although, at the end of the day, with over 200-points of Y1 ratio bandwidth to play around in this index has so much scope this extra distance to R1 will not exert any great influence as things stand with the market where it is currently.

The only surprise, to us at least, is why we aren’t seeing 100-point daily moves?

 

Range:            4105  to  4205           

Activity:          Poor

Type:              On balance just not bullish

 

www.hedgeratioanalysis.com

Available to buy now

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: , ,

May
14
2023
May 14th, 2023 by Richard

The FTSE100 regains its zone as we enter the run-in to the rollover and expiry.

Nb. Our comment on 05/15/23

This has definitely been one of those expiries when it has all been down to the market and how it has/will interact with the ratio levels as, on the whole, they have remained static throughout.

For example, below the zone, this time there is only a minor change to R2 and the only other change this expiry was to R1 back on the 10th. Above the zone there have been a few more changes, but all mainly confined to R3, which hasn’t had much impact in truth.

So, as we have been saying, it has all been about how the FTSE has been interacting with the ratio levels at each boundary of its zone.

Very neatly encapsulated by Friday’s action centred around 7750, with the close actually managing to get the index back inside its zone for the weekend.

All they have to do now is hold it in its zone for either the rollover, the preferred choice, or the actual expiry.

Which, when you consider the last two expiries where we were one of the few, if not the only ones, to warn of the dangers in the March expiry (fell 543.53) and then call the bounce in the April expiry (up 478.82), it’s not surprising it wanted a rest before the second triple witching expiry of the year, June, kicks in.

And we did say we would try to give you the “head’s-up” for June so just to let you know this is how things stand at the present.

Don’t forget it is still very early days for the June expiry but the zone here is at the same level as the May expiry, which could make for a very easy and peaceful transition. However, the real meaty ratios don’t kick-in until 7450 below the zone and 8050 above it, although they do get a bit chunky at 7950, so plenty of room for a lot of excitement as well.  

 

Range:            7750  to  7850      

Activity:          Poor

Type:              Bullish

www.hedgeratioanalysis.com

 

 

 

Nb. Our comment from 05/10/23

All these Bank Holidays are creating mayhem to our normal schedule of publication, so apologies for that.

Tuesday 2nd May may seem like an age ago that we last commented but it has only been five UK trading days.

As you can see in our previous comment, we didn’t really understand why they tried so hard in the last hour of trading to get the FTSE back above its zone but, in hindsight, it was almost definitely just for valuation purposes over the long weekend that was also a month end, especially when one considers what happened last week.

And rather than be all about the upper boundary of the zone, last week was all about the bottom boundary, 7750.

The market did close below the zone on Wednesday (rate decision day) but quickly regained it on Thursday.

Meaning four out of the five last trading days have been in its zone.

For those that have been following how the dynamic delta affects the benchmark indices, this pattern for the FTSE should not be new.

First week about the resistance above the zone. Second week all about the upper boundary, while the third all about the lower.

And before you know it, hey presto, we are into the rollover and expiry week.

So, things should at least get a bit more agitated as we approach this but, please bear in mind, that not only has time value has been disappearing rapidly but the second triple of the year has been sneaking up on us, the June expiry.

Hopefully, we will be able to give you the head’s-up next week as to how June is shaping up, but in the meantime just concentrate very closely whenever this index approaches one of its zone’s boundaries.

 

Range:            7750  to  7850      

Activity:          Moderate

Type:              On balance only just bullish

www.hedgeratioanalysis.com

Available to buy now

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: , , , ,

Apr
04
2023
April 4th, 2023 by Richard

Can the SPX maintain this new-found aggression, or will the R1 ratio dynamic delta be too much for it?

Nb. Our comment for 04/04/23

 

Commentators curse or what. No sooner do we say it doesn’t look like it wants to get above its zone, then it does just that.

In our defence, the test on Wednesday 29th was about strike 5, so it really wasn’t a total surprise.

Of course, once it had managed it then there wasn’t really a backward glance.

The problem was, as we mentioned last week, that the R1 ratio was getting closer, narrowing the overall Y ratio bandwidth.

However, in our last comment R1 had moved in to 4080, but by the Wednesday it had retreated back to 4105, from where it was originally.

And it was 4105 that caused a lot of resistance to this index on Friday, but a level it significantly closed above.

Yesterday, Monday 3rd, saw this index open strongly, but then come back to 4105 on many occasions. In fact, it spent almost all but the first and last hour bouncing around it.

So, the big question is whether or not it can cope with being in the R1 ratio bandwidth.

On the evidence of Friday, yesterday and today we have to say that it appears to be really struggling with it.

R1 doesn’t generate a huge amount of dynamic delta futures selling, but it really all depends on the markets appetite at any given moment in time.

With this in mind, there is a considerable step-up in the ratio level at 4155, albeit being still within the R1 bandwidth. Then you have R2 at 4205, as you can see in the table. So, to us at least, if it doesn’t start taking on this level of dynamic delta then back to the zone (or further) it goes.

 

Range:            3895  to  4005           

Activity:          Moderate

Type:              Neutral

 

www.hedgeratioanalysis.com

 

Nb. Our comment from the 03/28/23

 

It really didn’t take very long last week for the SPX to prove our “Point one”, jumping over 100-points to get back to its zone at 4000.

Of course, this would have definitely been aided and abetted by the FTSE’s reaction to DR ratio at the start of its April expiry trip.

The Wednesday and Thursday were also all about their zone. Wednesday saw the rate hike and the market swing from 4039.49 to 3936.97.

However, on the Thursday the market retested the zones upper boundary with the intraday high of 4007.66.

This was also strike three, so we thought it may break through, but the close at 3948.72 was not good news for the bulls.

Friday was a bit odd for us, as it really didn’t achieve anything. Even the intraday low of 3909.16 was a bit shy of R1 at 3895.

Yesterday, saw strike four of the upper boundary with the intraday high of 4003.83, but still no close in or above its zone.

Basically, the SPX is in neutral for us. Although it is toying with its zone, it still can’t quite muster the conviction to break convincingly above it.

In the meantime, the more preferred option seems to be to reside below it, therefore remaining in bear territory.

The only issue we have with this is that the overall Y ratio bandwidth is shrinking all the time, currently standing at just 185-points. Quite a difference to last week when it was 310-points.

The upshot of which, to us at least, is to potentially restrict the overall trading range. Making it a bit boring really.

 

Range:            3895  to  4005           

Activity:          Moderate

Type:              Neutral

 

www.hedgeratioanalysis.com

Available to buy now

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: ,

← Previous Article
Next Articles »