Please remember the comment above, from the 17th October, is for the October expiry, whereas this comment, 22nd October, is for the November expiry.
As we are talking about the US and November, it is the month of Thanksgiving, however, best remember that this expiry ends on the 15th, so over a week before.
The reason we mention this, is because it is really very unusual (not) for the US indices to experience a little fillip at this time of year.
Obviously, we couldn’t expect much more from the last expiry, so the big question is how is this one shaping up?
To say the ratios have filled in below the zone is perhaps an understatement, however, this would also be the case, when we say it was very underdeveloped to start with.
They have also filled in above the zone, but not by nearly as much.
Nevertheless, at the end of the day, we are in the same boat as the last expiry, being that there is still an absolutely whopping 150-points of Y ratio around.
The reason we have published today, is that for the first time since the start of the last expiry, we have tested the upper boundary of the zone.
No need to explain what happened back then, so suffice it to say, 3005, is a really critical level.
And if they get a little bit of the Christmas spirit going, there is another very significant level just a bit further on, being R1 at 3045.
We would like to think that this time they will test the R ratios above the zone, but there is no disguising the fact that these are an awful lot closer to the current market than the corresponding ones below the zone.
Range: 2995 to 3005 or 3005 to 3045
Activity: Very good
Type: On balance bearish
Nb. Our comment on 10/28/19
It looks like we are going to get our wish of this index testing its R ratios above the zone.
However, what we should have mentioned on the 22nd, was that the Delta Ratio here was just 33%
And, today, it has hardy changed, being 33.7%, and anything below 50% we see as bullish.
Hence, our wish to see a test of the R ratio, still at 3045.
In fact, the ratios above the zone have strengthened, most notably R3 which has come in from 3125 to 3105.
More noticeable though, is the utter lack of movement below the zone.
However, the first real test of the bullish commitment will come with R1 at 3045, and then at 3070.
Although, we would like to point out, that there is a step-up in the ratios at 3055, as this is where they switch to being close to the top of the R1 band, rather than being at the bottom.
Of course, please don’t forget the corresponding R1 ratio level does not appear until you get all the way down to 2895.
Looks like the Nov expiry is just getting started.
It is a wonder to behold, that is, how desperately this index is trying to stay inside its zone for the rollover and expiry.
Also, just a little housekeeping, as when we said “…zone, which itself has also fallen, very significantly”, what we mean is that the drop in the zone is the significant aspect, not that the magnitude of the fall is significant.
Anyway, the day we published this index had one more test of R1 at 7150, intraday low 7130.52, but from that Thursday onwards it was all about the zone.
In the last couple of days, that has meant, trying to stay above the bottom boundary at 7200.
The trouble is, and a quick glance between the two tables above, will readily reveal how far the ratios below the zone have fallen.
And, in fact, we now have 100-points of the minimal Y1 ratio, where there was just 50-points of Y2, such has been the collapse.
Obviously, it will all be over for November in the next few hours, but had one known how significant 7200 was at this particular point in time, then you couldn’t have not been impressed by the effort to get/hold/stay above it, despite the support disappearing below it.
This happens to be but a very minor spot on this expiry, which has been a perfect example, what with the test of R1 above the zone at 7450, before the fall to the corresponding R1 below the zone at 7150, until ending up (as near as damn it) in their zone.
Nice one FTSE.
Why don’t you take the Ratio Challenge…select a chart of the FTSE from the open on 23rd September to the close on 18th October (the Nov expiry), highlight the zone, 7200-7300, and then put horizontal lines at R1, being 7450 and 7150, and look at that in 5 mins or even daily. Point made?
Range: 7100 to 7200 or 7200 to 7300
Activity: Moderate
Type: On balance just bullish
Nb. Our comment on 10/25/19
If the last week of the November expiry was all about the zone, then this has transferred across to the October expiry in its first week.
On the very first day, Monday 21st, the intraday high was 7197.53, providing the first test of the zones bottom boundary at 7200.
The next day saw the market close at 7212.49, after what was a good tussle with it throughout the day.
Wednesday saw a retest of it, confirmation if you like, with the intraday low of 7194.13.
And Thursday saw it blast through the upper boundary, which is rather aggressive of the FTSE to say the least.
Therefore, it is prudent to mention how the ratios have evolved this week, and while we have seen a little strength below the zone, with R1 replacing Y2 at 7050, this still leaves a scary 150-points of Y1.
Above the zone, 7300 has moved up from Y1 to Y2, and 7350 from Y2 to R1, meaning 7400 has gone from R1 to R2.
At the start of an expiry there is a natural tendency to build, so it’s more about the degree, and there is no contest over the fact that resistance wins.
The big question is whether the intraday high yesterday of 7338.87 was a test of R1?
Only 0.15%, so it’s a tough call.
But, at the end of the day, it is all down to your tolerance, and as things stand the FTSE is now facing R1, R2 & R3 in quick succession, with nothing below it until 7050.
There are no prizes for guessing our stance, and at the very least, everyone else should have very tight stops.
Well we didn’t get the (probable) move down in the zone to 2945-2955.
However, the very day we published pretty much took that off the table anyway.
To set the scene, the market was still below this potential move down, despite having recovered 44-points gain in the previous two days, when it gapped-up at the open, to, the very significant, 2963.07.
Above the level of where the zone move might be, and as this was also the intraday low, it changed the dynamic somewhat.
The move could still have happened of course, but considering where it closed Tuesday (2995.68), in time for rollover Wednesday, it was obvious the zone hadn’t changed at all.
The ratios have improved below the stationary zone, hardly surprising under the circumstances, but there is still a lot of very minimal Y1 ratio around.
Under these conditions it is hugely impressive that this index has performed a near perfect expiry.
Only nearly perfect, as at the start, it only tested the upper boundary of its zone (24th Sept intraday and expiry high 3007.98), rather than the R ratio.
Nevertheless, had you known where the ratios were, you would have seen this all the way down to R2, arguably R1, which was at 2870, so taking that, you could have had a 130-point round trip, or 8.7%, in just 4-weeks.
Really looking forward to the November expiry, so will post the ratios for that early next week hopefully.
Range: 2935 to 2995 or 2995 to 3005
Activity: Moderate
Type: On balance bearish
Nb. Our comment on 10/22/19
Please remember the comment above, from the 17th October, is for the October expiry, whereas this comment, 22nd October, is for the November expiry.
As we are talking about the US and November, it is the month of Thanksgiving, however, best remember that this expiry ends on the 15th, so over a week before.
The reason we mention this, is because it is really very unusual (not) for the US indices to experience a little fillip at this time of year.
Obviously, we couldn’t expect much more from the last expiry, so the big question is how is this one shaping up?
To say the ratios have filled in below the zone is perhaps an understatement, however, this would also be the case, when we say it was very underdeveloped to start with.
They have also filled in above the zone, but not by nearly as much.
Nevertheless, at the end of the day, we are in the same boat as the last expiry, being that there is still an absolutely whopping 150-points of Y ratio around.
The reason we have published today, is that for the first time since the start of the last expiry, we have tested the upper boundary of the zone.
No need to explain what happened back then, so suffice it to say, 3005, is a really critical level.
And if they get a little bit of the Christmas sprit going, there is another very significant level just a bit further on, being R1 at 3045.
We would like to think that this time they will test the R ratios above the zone, but there is no disguising the fact that these are an awful lot closer to the current market than the corresponding ones below the zone.
WOW! And how critical R1 at 7450 proved to be……in fact the last paragraph above pretty much sums up what has happened since we last published, back on Monday 30th September.
The intraday high on the following Tuesday was 7433.24, which just showed how trepidatious the market was of R1 at 7450.
The other end of the trading range way back then, was 7350, the upper boundary of the zone, and the intraday low that day was 7352.83.
That was a bandwidth test, which normally means a breakout the next day.
The market duly obliged, and with 100-points of zero ratio below it, the market already had momentum by the bucket-load by the time it hit the lower boundary.
Which did put up a fight to be fair, but when the market closed below it, this was an ominous sign.
Then it was simply all about which level of R ratio was going to be enough to stem the tide.
As you can see above, they have fallen below the zone, which itself has also fallen, very significantly.
So, R3 was at 7050 at the start of that week, and is now 6950, so we suspect it was 7000 a few days ago.
More to the point, one can still see how significant 7150 is.
Although regaining the zone is currently the most important factor for this index, so 7200 is absolutely critical, especially with the expiry looming next week.
For intraday levels, please just look at the above table in the meantime.
Range: 7150 to 7250
Activity: Poor
Type: Bullish
Nb. Our comment on 10/18/19
It is a wonder to behold, that is, how desperately this index is trying to stay inside its zone for the rollover and expiry.
Also, just a little housekeeping, as when we said “…zone, which itself has also fallen, very significantly”, what we mean is that the drop in the zone is the significant aspect, not that the magnitude of the fall is significant.
Anyway, the day we published this index had one more test of R1 at 7150, intraday low 7130.52, but from that Thursday onwards it was all about the zone.
In the last couple of days, that has meant, trying to stay above the bottom boundary at 7200.
The trouble is, and a quick glance between the two tables above, will readily reveal how far the ratios below the zone have fallen.
And, in fact, we now have 100-points of the minimal Y1 ratio, where there was just 50-points of Y2, such has been the collapse.
Obviously, it will all be over for November in the next few hours, but had one known how significant 7200 was at this particular point in time, then you couldn’t have not been impressed by the effort to get/hold/stay above it, despite the support disappearing below it.
This happens to be but a very minor spot on this expiry, which has been a perfect example, what with the test of R1 above the zone at 7450, before the fall to the corresponding R1 below the zone at 7150, until ending up (as near as damn it) in their zone.
Nice one FTSE.
Why don’t you take the Ratio Challenge…select a chart of the FTSE from the open on 23rd September to the close on 18th October (the Nov expiry), highlight the zone, 7200-7300, and then put horizontal lines at R1, being 7450 and 7150, and look at that in 5 mins or even daily. Point made?
Well you have no excuse whatsoever to claim surprise at the recent market gyrations, as it is exactly as we forecast back on the 27th September (please see above).
In fact, and contrary to popular opinion, we see this as very normal, as the market has done exactly as expected.
Had it not transversed it’s Y ratio bandwidth, then that, would be weird.
The only question, at the time, was whether R1 or R2 would be needed to stem the tide.
As it turned out it needed R2, which interestingly hasn’t budged, so having been at 2845, the expiry intraday low is 2855.94, on the 3rd Oct, which was most definitely a test.
We are more than happy to claim this, simply because the market had fallen from 2990, or 4.42% in just three days, which caused a vega spike, but even without this, a fall of 140-points over this timescale means a fast market, so the ratios will always pre-empt contact under these conditions.
Anyway, having stated this exact point, a week in advance, only a certain person would quibble about a mere 10-points under these conditions.
More importantly, looking forward, and it is basically more of the same as the Y ratio bandwidth below the zone expands, which in itself will very probably move down to 2945-2955.
With the expiry next week this market still has a Y ratio bandwidth stretching from 2870 all the way up to 3035, so anything remains possible, just don’t believe what story the papers may attribute any move to, as move and whipsaw violently it will continue to do.
Range: 2870 to 3035
Activity: Moderate
Type: On balance bearish
Nb. Our comment on 10/17/19
Well we didn’t get the (probable) move down in the zone to 2945-2955.
However, the very day we published pretty much took that off the table anyway.
To set the scene, the market was still below this potential move down, despite having recovered 44-points in the previous two days, when it gapped-up at the open, to, the very significant, 2963.07.
Above the level of where the zone move might be, and as this was also the intraday low, it changed the dynamic somewhat.
The move could still have happened of course, but considering where it closed Tuesday (2995.68), in time for rollover Wednesday, it was obvious the zone hadn’t changed at all.
The ratios have improved below the stationary zone, hardly surprising under the circumstances, but there is still a lot of very minimal Y1 ratio around.
Under these conditions it is hugely impressive that this index has performed a near perfect expiry.
Only nearly perfect, as at the start, it only tested the upper boundary of its zone (24th Sept intraday and expiry high 3007.98), rather than the R ratio.
Nevertheless, had you known where the ratios were, you would have seen this all the way down to R2, arguably R1, which was at 2870, so taking that, you could have had a 130-point round trip, or 8.7%, in just 4-weeks.
Really looking forward to the November expiry, so will post the ratios for that early next week hopefully.
Firstly, we must say what a perfect expiry September was, despite it being a triple, as on the rollover Wednesday it hardly deviated from around the 3000 level.
Which is exactly where we had the zone.
In fact, that entire expiry week, was very much centred around our zone of 2995-3005.
So, no real surprise to see October’s zone in exactly the same spot.
The really pertinent day was on Tuesday 24th September when the intraday high was 3007.98, a test of the zone’s upper boundary.
And the fact, the market, finished so far below the bottom boundary was equally significant.
Of course, all week now, it has been in bear territory, namely below the zone.
The other really important fact is how much Y ratio there is in this expiry.
Admittedly, it has narrowed significantly, but below the zone the Y ratio bandwidth still goes all the way down to 2895, an absolutely whopping 100-points.
We are back to the more normal 4-week expiry, but if you think it has been volatile, then it most certainly has the capacity, with all this Y ratio about, to really go up a gear, or even several.
In fact, we think these small 25-point, or 1% moves, are the abnormal ones, and fully expect to see 2% to 3% daily moves before long.
Range: 2895 to 2995
Activity: Moderate
Type: On balance bearish
Nb. Our comment on 10/10/19
Well you have no excuse whatsoever to claim surprise at the recent market gyrations, as it is exactly as we forecast back on the 27th September (please see above).
In fact, and contrary to popular opinion, we see this as very normal, as the market has done exactly as expected.
Had it not transversed it’s Y ratio bandwidth, then that, would be weird.
The only question, at the time, was whether R1 or R2 would be needed to stem the tide.
As it turned out it needed R2, which interestingly hasn’t budged, so having been at 2845, the expiry intraday low is 2855.94, on the 3rd Oct, which was most definitely a test.
We are more than happy to claim this, simply because the market had fallen from 2990, or 4.42% in just three days, which caused a vega spike, but even without this, a fall of 140-points over this timescale means a fast market, so the ratios will always pre-empt contact under these conditions.
Anyway, having stated this exact point, a week in advance, only a certain person would quibble about a mere 10-points under these conditions.
More importantly, looking forward, and it is basically more of the same as the Y ratio bandwidth below the zone expands, which in itself will very probably move down to 2945-2955.
With the expiry next week this market still has a Y ratio bandwidth stretching from 2870 all the way up to 3035, so anything remains possible, just don’t believe what story the papers may attribute any move to, as move and whipsaw violently it will continue to do.
It has been a long time since our last comment, but as long as you knew the zone was 7250-7350 then that was all you needed.
Basically, the final week of the September expiry, 16th to the 20th Sept, was all about either 7250 or 7350, although the upper boundary was certainly the more tested out of the two.
And then again, the first week of the new October expiry, 23rd to the 27th September, has also been all about the zone.
The first two days were all about 7350, with intraday highs of 7362.30 and 7348.97 respectively.
The Wednesday was all about the other end, with the intraday low of 7212.96.
Nevertheless, all three days closed back inside the zone.
The fun started on Thursday, and it was quite the epic battle, again at the upper boundary, but this time desperately trying to keep the close above 7350.
It was exceedingly close, but in the end, they managed it, ending at 7351.08, having kept the closing auction to just a small move.
Of course, we can all see what happened on Friday, and after such a long battle, the breakout was totally overdue.
From here on up it now gets interesting, as R1 starts at 7450, and perhaps worth noting, is that Friday’s intraday high was 7440.77.
We aren’t going to point out the differences in the ratios in the two columns above, as you can easily see for yourself how they have evolved.
But, suffice it to say, 7450 is now a critical level, being this market first encounter with a R ratio, and don’t ignore the fact the corresponding ratio does not appear until 7200, which is a long way away.
Range: 7350 to 7450
Activity: Moderate
Type: On balance bearish
Nb. Our comment on 10/10/19
WOW! And how critical R1 at 7450 proved to be……in fact the last paragraph above pretty much sums up what has happened since we last published, back on Monday 30th September.
The intraday high on the following Tuesday was 7433.24, which just showed how trepidatious the market was of R1 at 7450.
The other end of the trading range way back then, was 7350, the upper boundary of the zone, and the intraday low that day was 7352.83.
That was a bandwidth test, which normally means a breakout the next day.
The market duly obliged, and with 100-points of zero ratio below it, the market already had momentum by the bucket-load by the time it hit the lower boundary.
Which did put up a fight to be fair, but when the market closed below it, this was an ominous sign.
Then it was simply all about which level of R ratio was going to be enough to stem the tide.
As you can see above, they have fallen below the zone, which itself has also fallen, very significantly.
So, R3 was at 7050 at the start of that week, and is now 6950, so we suspect it was 7000 a few days ago.
More to the point, one can still see how significant 7150 is.
Although regaining the zone is currently the most important factor for this index, so 7200 is absolutely critical, especially with the expiry looming next week.
For intraday levels, please just look at the above table in the meantime.
It has been a long time since our last comment, but as long as you knew the zone was 7250-7350 then that was all you needed.
Basically, the final week of the September expiry, 16th to the 20th Sept, was all about either 7250 or 7350, although the upper boundary was certainly the more tested out of the two.
And then again, the first week of the new October expiry, 23rd to the 27th September, has also been all about the zone.
The first two days were all about 7350, with intraday highs of 7362.30 and 7348.97 respectively.
The Wednesday was all about the other end, with the intraday low of 7212.96.
Nevertheless, all three days closed back inside the zone.
The fun started on Thursday, and it was quite the epic battle, again at the upper boundary, but this time desperately trying to keep the close above 7350.
It was exceedingly close, but in the end, they managed it, ending at 7351.08, having kept the closing auction to just a small move.
Of course, we can all see what happened on Friday, and after such a long battle, the breakout was totally overdue.
From here on up it now gets interesting, as R1 starts at 7450, and perhaps worth noting, is that Friday’s intraday high was 7440.77.
We aren’t going to point out the differences in the ratios in the two columns above, as you can easily see for yourself how they have evolved.
But, suffice it to say, 7450 is now a critical level, being this market first encounter with a R ratio, and don’t ignore the fact the corresponding ratio does not appear until 7200, which is a long way away.
Firstly, we must say what a perfect expiry September was, despite it being a triple, as on the rollover Wednesday it hardly deviated from around the 3000 level.
Which is exactly where we had the zone.
In fact, that entire expiry week, was very much centred around our zone of 2995-3005.
So, no real surprise to see October’s zone in exactly the same spot.
The really pertinent day was on Tuesday 24th September when the intraday high was 3007.98, a test of the zone’s upper boundary.
And the fact, the market, finished so far below the bottom boundary was equally significant.
Of course, all week now, it has been in bear territory, namely below the zone.
The other really important fact is how much Y ratio there is in this expiry.
Admittedly, it has narrowed significantly, but below the zone the Y ratio bandwidth still goes all the way down to 2895, an absolutely whopping 100-points.
We are back to the more normal 4-week expiry, but if you think it has been volatile, then it most certainly has the capacity, with all this Y ratio about, to really go up a gear, or even several.
In fact, we think these small 25-point, or 1% moves, are the abnormal ones, and fully expect to see 2% to 3% daily moves before long.
We don’t know for certain, but experience, and the facts, suggest that R1 at 2980 capitulated yesterday.
The facts being, quite simply, that the close on Friday (our last comment and table) was 2978.71, and then on Monday it was 2978.43 and again on Tuesday it was 2979.39.
Or it could just be coincidence.
Experience tells us that the market has been knocking on a retreating R1 ratio door, until it gave way, and although we did not calculate the ratios on those days, the price action alone tells us all we need to know.
The problem is that it hasn’t retreated very far, and now R2 is backing it up, at 3010.
Of course, the market could suddenly develop an appetite for all those futures forced out through the dynamic delta, but the last few days suggests something fundamental needs to change for this to happen.
Looking ahead, and pure speculation, but we have seen this set-up on many occasions, where the market wants to move ahead, but just lacks a sufficient amount of commitment, all the while chasing a new high, and so, by the expiry next week, we strongly suspect the zone will be 2995-3005.
It will have a dynamic delta fight on its hands, and so will be susceptible to any scares, but there is no doubting its desire, just its commitment.
Either way, there is still a lot of life left in this triple for sure.
Range: 2930 to 3005
Activity: Moderate
Type: On balance definitely bearish
Nb. Our comment on 09/17/19
Since our last comment, see above, it is interesting that R1 hasn’t moved.
However, R2 has, from 3010 on the 12th to 3055 today, and it seems the market has needed this level of dynamic delta to thwart the bulls.
Of course, now the rollover and expiry start to gain traction, and we haven’t yet seen the move in the zone to 2995-3005 as we mentioned back on the 12th.
We still think it is very much on the cards, especially so, now that it is all Y1 from 2930 up to 3005.
Although, this does highlight, that although the bulls are in command, and battering on the R2 door, there is a vacuum beneath them, so if they waver for one instant, the whole pack of cards could come tumbling down.
That is the real problem, when the bulls forge ahead, but the ratios don’t fill in behind them.
As it is plain to see by comparing the two tables above, that there has been some movement below the zone, but by no means nearly enough.
In fact, it’s not even close.
Great, if they maintain their momentum and commitment, but please be very aware of the inherent risks over the last few days of this expiry.
