Category: Uncategorized
November 13th, 2018 by Richard
DAX Nov to Dec Rollover 13th Nov 2018
We haven’t covered the DAX that much of late, but if you compare the table above to the one on the 31st October then it would be hard to spot that great a difference.
In fact, basically all the ratios have come in (towards the zone) by about 100-points, that is apart from the sudden appearance of B1.
Nevertheless, it has meant that this expiry so far has been all about the Y ratio, and the zone, which hasn’t budged.
So, suffice it to say that apart from Monday the previous 8 trading days were all in the zone.
Remarkable, and remarkably quiet.
The appearance of B1 shows a big trade in essence, which does distort the activity and type due to its overwhelming size and the fact we don’t calculate this daily anymore.
Range: 11250 to 11450
Activity: Strong
Type: Bullish
Now, the DEC expiry is looking exceedingly interesting, as even this early on it is obviously very lopsided.
As we mentioned in the FTSE yesterday that because the Dec is the biggest of the big it can start to make its presence felt very early on in the rollover, and this could certainly be the case here.
Either way there is no disguising which way derivatives wants this index to go, as things stand of course.
This expiry out of interest runs from the 19th to the 21st Dec and is therefore also a 5-weeker.
Range: 11150 to 11350 or 11350 to 11450
Activity: Average
Type: Neutral
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November 12th, 2018 by Richard
FTSE Nov to Dec Rollover 12th Nov 2018
When we last looked at the FTSE it had just bounced off R2 with the intraday, and expiry, low of 6851.59, and was stuck trying to break through the top boundary of its zone, which was then at 7050.
And as we pointed out that it was “chomping at the bit” the breakthrough came that very day.
As the ratio table stood back then then once above 7050 it was Y1 all the way up to 7150, which it hit last Thursday with the intraday high of 7171.69, before closing at 7140.68.
Now, as you can see from the table above the zone has moved again, and is now 7050-7150, both of which have been the pertinent levels for the best part of the last two weeks.
There is still some Y ratio either side, but we are now into the rollover and expiry, and this is into the mighty Dec which can easily dwarf Nov, so it can be quite unique in this respect.
Range: 7050 to 7150
Activity: Moderate
Type: On balance bearish
And the first look at the gargantuan Dec expiry does not disappoint for potential conflict.
Because, as you can see here the zone is 7150-7250, already above Nov.
The trouble is it is already flanked by R ratios, so it is unlikely to move.
Worth noting the common denominator is 7150.
Finally, once this expiry gets a head of steam up, which can start this week, then it can, and does frequently, trade between the B ratios.
This huge jump in activity, which is reflected in equities, is almost always misinterpreted for what it actually is, which is a colossal jump in dynamic delta that comes from trading against the Y ratios to suddenly facing the B ratios.
Range: 6950 to 7150
Activity: Average
Type: Neutral
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November 8th, 2018 by Richard
SPX , NDX & DJX Ratio Table 8th November 2018
Hope you still have those defibrillators to hand, as this great ride isn’t over yet.
We are very tempted to repeat some of what we said last time, back on the 1st Nov, but it is easier if you just look it up, it’s all on our website www.hedgeratioanalysis.com
Nevertheless, be honest, when this market was testing DR at 2595, with the intraday low of 2603.54, and our zone was where it still is now, did you think getting back to it was going to be impossible for the rollover.
We don’t say it will happen, we just show what’s possible, and all we need now before the rollover next week is a test of a R ratio above the zone for a nigh on perfect expiry.
The most pertinent aspects are the very few changes in the ratios in the last five trading days, and the very low level of activity considering the conditions.
From R2 and higher below the zone have all come in a bit, whereas above it this is true from R1 and upwards.
However, it is still in that ocean of Y ratio bandwidth, which is still an eye-watering 160-points wide, so expect more of the same, but as we pointed out last time it is the DJX that may have the agenda, so make sure you take what is happening there into consideration.
Range: 2805 to 2855
Activity Poor
Type: Neutral
The NDX has managed to recover all the way back to its zone from its test of R1 at 6650 back on the 30th October with the intraday low of 6652.53.
Very impressive.
However, a few points to cover, and first and foremost it has been the case in the past that when we see the type of activity, we are currently witnessing in the DJX, this index gets ignored, so it is unlikely the big players, as we refer to them, will surface here this trip.
Nevertheless, and our continuing bugbear, they continue to add strikes, why when they already have a ridiculous amount beats us, and judging by the activity levels it hasn’t worked, if indeed that was the goal.
As you can see no change at all in the ratios below the zone, so still a stupid amount of Y Ratio bandwidth.
But, above the zone, it now gets interesting, as Y2 has come in to 7275.
Don’t forget it is still just a Y ratio, but it’s better than nowt as they say.
The first clue will be how it now reacts, or even if, to its zones boundaries.
Range: 7175 to 7225
Activity: Moderate
Type: Neutral
It seems just like yesterday the DJX was testing R2 at 24000 with the intraday low of 24122, but it was in fact back on 29th October.
However, as we pointed out in our last comment, this expiry has been more about its zone.
Which, incidentally is still massively wide.
But the very first day of this expiry the intraday high was 25561, and its subsequent failure to close above its bottom boundary had obvious dire consequences.
Fast forward to Friday 2nd and Monday 5th November when the intraday highs were 25578 and 25507 respectively and one can see that this bottom boundary was still proving difficult.
However, it did close just below it, and it being strike 3 the Tuesday saw it above it, leaving open skies above it for Wednesday.
If all this was just laying the groundwork then perhaps the motivation came from what we euphemistically called “massive involvement” that resulted in the appearance of DR at 27000.
More importantly this massive involvement has got even bigger, so perhaps gargantuan is a better word for it now.
Again, whether this is the target, ceiling or shorts it is difficult to tell, but on previous occasions when this type of thing has happened the result spoke volumes (sorry).
Range: 25500 to 26500
Activity: Strong
Type: Bullish
Posted in Uncategorized
November 1st, 2018 by Richard
SPX , NDX & DJX Ratio Table 1st November 2018
Hope you had those defibrillators to hand, but what a great ride.
Back on the 25th Oct in our last comment the SPX had just hit R3 at 2645, and which is now 2620, so we suspect the intraday low of 2628.16 on the 26th was another encounter with it.
Also, in our last ratio table DR was at 2595, and although it may well have changed by the 29th it would have and still does represent a huge step-up, so the intraday low on that day of 2603.54 after a fall of 55-points in an extremely volatile market is more than close enough for us under these conditions.
However, it is fantastic to get back to “normal” markets (by which we mean go both sides of the zone) and believe it or not this index used to trade between its two corresponding DR ratio levels normally.
Although, we are the first to admit, back then 20-points either side of the zone of Y ratio was more normal, rather than the current eye-watering 185-points.
The fact that this bandwidth is, and always was so wide, means everything that has happened so far this expiry is entirely natural, easily foreseen and totally in-keeping with the circumstances.
It is inevitable the zone will move down, but at the end of the day with so much Y ratio still around the 1% to 2% daily moves are in fact very modest.
Range: 2695 to 2795
Activity Average
Type: On balance just fractionally bearish
Regarding the NDX this is what we said last time we commented way back on the 12th Oct “But even under these conditions they continue to add strikes like they were going out of fashion, why defeats us as we can’t see anybody needing over 300 of them on an index that is just 7000-points, truly bizarre.
If they stimulated activity then fair enough, but as the ratios haven’t changed at all and they only go as high as R1 then the answer is clearly no they haven’t”.
We didn’t cover the rollover, expiry or the first 8 days of this expiry so we are somewhat limited in what we can say for previously explained reasons, but mainly because of the above.
However, there are some obvious conclusions, the first being day one and just like the DJX here with their intraday high of 7193.72 they failed to hold their zone.
The 24th & 26th were apparently significant days here also, with intraday lows of 6777.47 and 6743.77 respectively with Y2 at 6775.
We can’t explain the low of 6574.75, but we suspect they were mightily glad when the DJX and SPX came to their rescue on the 29th.
Interestingly the intraday low the next day was 6652.53 though.
Basically, with both the DJX and SPX exhibiting unnaturally immense Y ratio bandwidths it should be no surprise this would be the case here also, the only question would be where the Y2 and R1 levels appeared.
Range: 6775 to 7175
Activity: Average
Type: Neutral
If in this expiry the SPX is the biggest ever by number of strikes (and its an intermediary, so go figure) then the DJX remains one of the smallest ever.
In fact, way back during the rollover in our last comment on the 17th Oct on this index we pointed out how little ratio there was, and what the outcome may be.
Furthermore, we highlighted the return of the 1000-point wide zone as a direct consequence.
So, if it didn’t register that what has happened was a possibility in what we said about the SPX then reading what we said about this index should have left no doubt whatsoever as to what may happen, and of course has.
In our last table 24500 was R1 so we feel we should point out the intraday lows on the 24th & 26th Oct of 24533 and 24445 respectively.
In fact, going back to day one and the intraday high of 25561 and this index’s failure to get over its zones bottom boundary was the very first sign all is not well.
The fact that R1 was 1000-points away hopefully registered.
R2 at 24000 hasn’t changed and just like the SPX on that day the intraday low of 24122 on the end of a 566-point fall in highly volatile and fast markets we are more than happy to take as a test of R2 at 24000, being just 0.50%.
Anyway, the really important aspect of the DJX’s ratio table now is the appearance of DR at 27000, which shows some massive involvement, and not only do we not know when, sadly we don’t calculate the ratios daily anymore, but also whether it is the target, ceiling or shorts, but what we do know, having seen this ilk before, is that this expiry is very far from being over.
Range: 24500 to 25500
Activity: Very strong
Type: Bullish
Posted in Uncategorized
October 31st, 2018 by Richard
FTSE & DAX Ratio Table 31st October 2018
There are a lot of undercurrents in the FTSE at the moment, and it is worth bearing in mind that as we do not calculate the ratios now every day it is sometimes very difficult to see where the rate of change is, and hence forthcoming moves.
Of course, we are referring to the zone now being 6950-7050, which now makes perfect sense as we were wondering why 7050 was proving such a hurdle on Mon and Tues, but as it is now the zones upper boundary, bingo.
The fact the zone has moved again is really not good, but we suspect this is mainly due to the southerly momentum that had built up.
Nevertheless, as the ratios below the zone have also weakened, there is still a high degree of downside risk present.
However, on a more positive note, it is plainly evident that the market is trying to move ahead, hence the huge battle with 7050.
And if it does break through, then there is as much Y ratio still above the zone as there was below it at the start of this expiry, so it really could motor, and this is reflected in our trading range below.
Range: 6950 to 7050 or 7050 to 7250
Activity: Average
Type: On balance bullish
Very scarily, we haven’t looked at the DAX since the 9th October, a full 16 trading days ago.
In which time there has been a rollover and expiry, so no chance whatsoever of any continuity
However, as all the other indices that we did cover had a huge amount of Y ratio below their respective zones at the start of this expiry, so there is absolutely no reason to suspect otherwise here.
In fact, the exact opposite would be more than likely, as this is always a slow starter and it was an intermediary to intermediary.
So, please find the ratios in the table above, but as for rate of change, or in which direction, this is impossible to discern at this stage.
Range: 11150 to 11450
Activity: Average
Type: Neutral
Posted in Uncategorized
October 29th, 2018 by Richard
FTSE Ratio Table 17th and 29th Oct 2018
The table above shows what the ratios were when we last commented on them during the rollover back on the 17th October, and then in the column on the right as you look at it what they are today.
17th October
This may sound a little strange but really the FTSE is acting very calmly and totally in keeping with the “cards” it has been dealt.
By “cards” we mean the ratios and back on the 17th we pointed out that there were 200-points of Y ratio either side of the zone.
The fact that the close on Friday 19th was 7049.80, and hence the open on Monday, the first day of this expiry, is significant as although the zone on the 17th was 7150-7250 we don’t believe in coincidences so it must have or was about to move to where it is today.
On the subject of the previous close being the next day’s open, a London peculiarity, and totally wrong in our opinion, it seems Friday’s intraday high was 7004.16 up from the open/close of 7004.10.
As we had the market in the real world opening down about 60-points this intraday high of 0.06-points just adds another layer to the mockery of the FTSE’s opening level.
Anyway, looking at the ratio table from the 17th then the Y Ratio bandwidth of 6950 to 7150 was the pertinent part, so really there should be no excuses for being surprised by what happened last week. We even had it as our trading range.
Range: 6950 to 7150
Activity: Average
Type: Bullish
29th October
Obviously, the main aspect here is the change in the zone, which considering there was 150-points of the minimal Y1 ratio below the old zone is not really a surprise.
Above, we mention the significance of Monday’s open, 7049.80, but last week was littered with other significant levels.
The close on Tuesday was 6955.21 for example, then the intraday low and open (again) on Wednesday was also 6955.21 and then on Thursday and Friday the intraday highs were 7004.10 and 7004.16.
Although, we express our cynicism over Friday’s intraday high in our comment above, and this just highlights why, as in weeks or years to come why would you not think the market had traded as high as this intraday high suggests, but we have no misgivings at all over the intraday low which was 6851.59.
To further highlight the incorrect picture this open and close peculiarity paints we made the open down about 60-points, which would have placed it right on R1 at 6950, but which side of it was the important part, but no one will ever now know.
Of course, we suspect it was below 6950, as the market move down to R2 was the inevitable outcome.
This now makes 6950 a significant level, but a lot will depend on what the Street does, but as things stand so far, the FTSE is acting totally rationally and exactly as we would expect considering the huge amount of Y ratio that was, and still is, around.
Range: 6850 to 6950
Activity: Good
Type: Neutral
Posted in Uncategorized
October 25th, 2018 by Richard
SPX Ratio Table 16th & 25th October 2018
16th October 2018
Below is our comment made on the 16th during the rollover regarding the upcoming November expiry.
So, the question on everybody’s lips is how will November pan out, and great if you are a trader we think.
Heart-attack inducing for fund managers.
The huge difference this time round is the last expiry, October, was coming off the back of a very decent and compliant September expiry.
Whereas, November, is trying to form while the market is still under October’s control, which has been a little tumultuous, to say the least.
Therefore, it should be no surprise that it is very underdeveloped, and it still has 4 more days before it takes control on Monday, so it will fill in for sure, but it is not ideal conditions for sure.
However, the fact that the zone is 2845-2855 here is a clue, and we think 2820-2830 is a distinct possibility as well.
The real issue is how much Y ratio bandwidth will there be?
Where the zone is and how much Y ratio still present on Monday will dictate this expiry, and we are not going to proffer any opinion at this stage for the very reasons outlined above.
Range: 2740 to 2845
Activity: Average
Type: Neutral
Below is today’s comment about the current, or Alpha, expiry, November.
The first thing to note is the zone didn’t move to 2820-2830 but skipped right to 2795-2805, or at least it seems that way to us.
More importantly, is the last paragraph about seeing how much Y ratio would still be present on Monday, and from the tables above in the rollover R1 was at 2740 whereas today it is 2745.
The intraday low on Monday was 2749.22 and the close on Tuesday was 2740.69, which just about says it all.
Basically, that was the decisive day(s) and yesterday the intraday low was 2651.89 which was at the end of an 88.8-point fall, and with the Vega spiking, we have no hesitation in calling that a test of R3 at 2645.
Of course, it is all gloom and doom at the moment, but really this index has only just found support the Y ratio bandwidth is so massive.
The real issues will be if it starts breaking down below R3, following it down is a possibility, but with the dynamic delta buying up futures at these levels it really takes a committed bear to want to sell that many.
The good news is that this expiry is but days old and the corresponding R3 doesn’t appear until 3005, with a huge amount of Y ratio still in evidence, so get the defibrillators ready for those fund managers.
Range: 2645 to 2705
Activity: Very good
Type: On balance bearish
Posted in Uncategorized
October 17th, 2018 by Richard
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
Type: Bearish
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
Activity: Average
Type: Neutral
Posted in Uncategorized
October 17th, 2018 by Richard
FTSE Oct to Nov Ratio Rollover Table 17th Oct 2018
For the FTSE Monday was the key day with the intraday low of 6961.28, which was a test of DR, that had been lurking there at 6950 for the entire expiry.
As you can see today it has dropped to R3, but the fact the next level is R1 then this just goes to underline its continued significance.
The first two weeks of this expiry this index just bounced around in its zone, exciting at the time but really severely rangebound.
So, when the breakout happened it was probably all the more extreme for it, however, what really scuppered this index was when it was hitting its support, or the R ratios, that was the exact moment that the US decided to pull their plug.
There is no doubt the zone here will drop, and November gives us bit of a clue in this respect, but getting back above 7150 will be the other key here.
Range: 6950 to 7150
Activity: Average
Type: Bullish
For the next expiry, 22nd Oct to 16th Nov, the next few days will be critical.
We have no doubt whatsoever that this index would dearly love to get back into the safety of its zone, and it may well do so, so here also 7150 is key.
However, the fact is that here there is 200-points either side of this zone that is still Y ratio, so the real trick will be staying there.
So, depending on which side of the fence you sit there will be plenty of opportunity for one or the other.
Range: 6950 to 7150
Activity: Average
Type: Neutral
Posted in Uncategorized
October 16th, 2018 by Richard
SPX Oct to Nov Rollover 16th Oct 2018
Well, here we are at another rollover in the SPX and at this exact point in the last expiry when we were looking forward to this the October expiry we said “so left to its own devices then it has a potential 150-point trading range”.
So, be honest, back on the 19th September did you honestly think we would see a 150-point trading range, indeed, didn’t think so.
The intraday high was 2939.86 (nb. R1 was at 2945) and the intraday low, so far at least, was 2710.51, to give a range of 229.31-points in fact.
Of course, the ratios evolved over the course of the expiry, and once any index, but especially the SPX, has dumped 150-points there is going to be quite a head of steam built up, so R1 would have been doing exceptionally well to hold the market under those conditions.
Also, it didn’t help with the ratios crumbling under the pressure, for example R3 was 2745 just two trading days ago.
Activity is as high as it has been, the zone has stubbornly not moved, yet, so if this index can back into the Y ratios (above 2795) it could still manage a salvageable expiry.
Range: 2720 to 2760
Activity: Very good
Type: On balance only just bearish
So, the question on everybody’s lips is how will November pan out, and great if you are a trader we think.
Heart-attack inducing for fund managers.
The huge difference this time round is the last expiry, October, was coming off the back of a very decent and compliant September expiry.
Whereas, November, is trying to form while the market is still under October’s control, which has been a little tumultuous, to say the least.
Therefore, it should be no surprise that it is very underdeveloped, and it still has 4 more days before it takes control on Monday, so it will fill in for sure, but it is not ideal conditions for sure.
However, the fact that the zone is 2845-2855 here is a clue, and we think 2820-2830 is a distinct possibility as well.
The real issue is how much Y ratio bandwidth will there be?
Where the zone is and how much Y ratio still present on Monday will dictate this expiry, and we are not going to proffer any opinion at this stage for the very reasons outlined above.
Range: 2740 to 2845
Activity: Average
Type: Neutral
Posted in Uncategorized
