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June 13th, 2018 by Richard
DJX June to July Ratio Rollover Table 13th June 2018
As we said from as early as the last rollover in the DJX that the June expiry was always going to be about that jump from “normal” levels of ratio straight to DR at 26100, and whether this was the limit or the target.
Since the SPX hit R1 at 2755 then R2 at 2775 (Tues & Wed last week) this index has added just 38.05-points to date, whereas the DJX has managed 521-points.
So, whether the DJX just doesn’t have the willingness, or firepower, to force the SPX where it doesn’t want to go, or the siren-like call of their zone is proving too hard to resist, or a combination of the two.
Either way it has certainly been a disjointed expiry with a lot of diverse influences impacting, so it will be good to see the back of it really.
Range: 25100 to 26100
Activity: Very poor
Type: Bearish
Probably best to remind everyone that we just report on what the numbers reveal, we have no control over what those numbers actually are.
So, here is another first, over a 1000-points of zone, or zero ratio, in July.
Talk about chalk and cheese between the two expiries but this it in extremis.
Still a few days to go of course, and of course July is a five-week expiry (slow away), but all the same if it stays like this then it could get extremely skittish either way, or whipsaw both ways, so buckle-up.
Range: 25100 to 27000
Activity: Average
Type: Neutral
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June 13th, 2018 by Richard
DAX June to July Ratio Rollover Table 13th June 2018
The DAX never really got to grips with being in such a high level of ratio for the entire expiry.
In fact, we can’t remember this index being so staid.
The first couple of days of this expiry were exciting, and the only time it has been above its zone as well rather significantly, and not forgetting it was closed on that first Monday, so from the close on Thursday 24th May, at 12855, it hasn’t really gone far at all from its zone.
Very probably because it has been trying to wade through DR ratio, which today has admittedly slipped to R3, but it is too late now as the focus is on the rollover and expiry, and it remains nicely poised just a fraction below its zone to that end.
Range: 12450 to 12950
Activity: Poor
Type: Neutral
In one of those delicious twists of irony all the lower ratios that don’t appear in June are all that July can go as high as.
Well, not quite, as above the two respective zones there is some R2, but as both zones are 300-points apart this doesn’t really count.
All the usual mentions of this index being a slow starter and there still being a few days to go but having been stuck in a quagmire for so long we suspect it will really relish its new-found freedom.
Of which there is a lot of it as things stand, with the Y ratio bandwidth measuring a cool 1200-points.
Range: 12750 to 13450
Activity: Average
Type: Neutral
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June 12th, 2018 by Richard
SPX June to July Ratio Rollover Table 12th June 2018
The SPX has been continuing to fight a rear-guard action, with R2 at the moment holding the tide in check.
As we said the driving force seems to be the DJX this expiry and this index is just plain and simply being an irritant as it is not playing along.
As you can see from the table above R2 has slipped from 2775, where it held the market up for a couple of days, to 2785.
We suspect 2780 was a stepping stone to where it is now, solely because the highs on Thursday and Friday last week were 2779.90 and 2779.39, and anyway it is R1 now.
Of course, Wednesday will be the big day and whether or not the SPX will flex its considerable muscle, and if it does it may well transpire that in a compromise the zone will shift to 2745-2755 by either the rollover or the expiry on Friday.
Range: 2730 to 2785
Activity: Moderate
Type: Bearish
If you are a trader then you should be getting excited with what could be in store for July.
Remember the May expiry which bounced between the two R1 levels for an almost 9% return in just 4 weeks, well as it stands in July this bandwidth is an even more impressive 7.2%.
But, don’t forget, that just represents one-way not there and back, so 10% is easily possible.
Again, it may well depend on whether there is an agenda in the DJX, but even if there is they won’t get much of an argument from this index anyway.
Range: 2705 to 2795
Activity: Average
Type: Neutral
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June 12th, 2018 by Richard
FTSE June to July Ratio Rollover Table
We have said all along in the FTSE June expiry that it will be governed by several massive positions, and that hasn’t changed.
Therefore, we are under no illusion whatsoever that there probably won’t even be a pretence at acknowledging the zone here, either for the rollover or the actual expiry.
If we could get a handle on what it might mean we would, but our best guess is a return to the first two days of this expiry, but that is all it is.
Range: 7450 to 7850
Activity: Very poor
Type: Bearish
The most obvious difference in July is that the zone here is around the current market level.
We say current but, on the Friday, 25th May, it was 7730.28, then the Bank Holiday, but the following Monday, 4th June, it was 7741.29, so it has hardly strayed very far.
The real issue for July is the jump from R2 straight to B1 and whether this is something for this expiry or part of everything going on in June, the answer to which we won’t know until next week probably, and again it will very likely determine this expiry as well.
Range: 7650 to 7750
Activity: Average
Type: Neutral
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June 6th, 2018 by Richard
SPX , NDX & DJX Ratio Table 6th June 2018
The SPX is about to be snapped out of its doldrum as it is about to face its first real test of this expiry, R1.
It is too close to call whether the high yesterday of 2752.61 was a test or not, it was 2.39-points away, and on that basis probably not, but as this index has risen so much this is now only 0.08%, so on this basis, yes, it probably was.
Either way, today should answer this one way or the other, but it is only R1, so it may the first test but it is hardly a stern one, especially so for a triple.
Also, worth bearing in mind that next week it is the rollover so everything should be ramping up naturally now.
Range: 2730 to 2755
Activity Very poor
Type: On balance bearish
If the NDX was going to react to their Y2 ratio the chance was the open on Monday, the damage having been done with the Friday close at 7083.93.
The fact it opened up just below 7100 meant it was job done and that it had clear skies above.
It was always going to be a long shot for the minimal Y2 to contain any market, but on one of the big expiries probably verging on the highly unlikely.
They have added a swathe of strikes but as yet no great out of the ordinary activity that we can discern, so it will probably end up like those other similar expiries where the zone starts playing catch-up with the market.
That is the trouble, or benefit, of no depth of ratio, as this index is now up 300-points (4.38%) in just over 2-weeks. But as it’s upwards then everybody is happy of course.
Range: 7075 to ….
Activity: Moderate
Type: Neutral
As we said on Monday the DJX had a lot of zero ratio to play around in now, and it obviously took full advantage of its 200-point zone.
The issue on both Monday and yesterday was the upper boundary at 24800.
The fact this index closed at 24813 and 24799 respectively means today will be strike 3, and the way the ratios have moved means Y2 at 25100 is now its last hurdle before it can make a full-on assault on DR.
Time is now an issue, and perhaps also the SPX, as it is now entering its R ratios then it may not be such a willing co-conspirator.
Range: 24600 to 24800 or 24800 to 25100
Activity: Very poor
Type: On balance not bullish
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June 4th, 2018 by Richard
SPX , NDX & DJX Ratio Table 4th June 2018
The SPX continues to surprise, but now it is not just the amazing amount of Y ratio still present, but rather how timid it is being.
Sure, the zone has moved from 2695-2705 to this level, but between these two points has pretty much captured the entire price action so far this expiry.
In fact, on the first day of this expiry this index closed at 2733.01, so it has literally gone nowhere in two weeks.
Absolutely no problem with this but just be aware that it is a triple so it could very easily cut loose at any stage.
Range: 2730 to 2755
Activity Poor
Type: On balance only just bearish
The NDX is quite simply ignoring the other two and just getting on with its own thing.
And as none of the ratios have changed this means taking full advantage of the impressively wide Y1 ratio bandwidth, as we have seen so often before here.
The low so far this expiry has been 6846.94, which was very close indeed to the upper boundary of its zone, otherwise it is now attacking Y2, as it should.
They have at least been adding a swathe of strikes so there is some derivative interest, which sadly has not yet translated into activity, but fingers crossed.
Range: 6825 to 7075 or 7075 to ….
Activity: Poor
Type: Neutral
The DJX has certainly been a lot less boring than the SPX.
The first two days saw it attack Y2 at 25100 with highs of 25086 and 25064, and then by the end of that first week was all about the bottom boundary of its zone.
As one can see this is at 24600 and the low on Thursday 24th May was 24605.
Last week, after the holiday, it was all about getting back into its zone, and evidently it didn’t like being in bear territory.
Friday saw it close back inside, so if it gets a good start today it has a decent amount of zero ratio to take advantage of.
Range: 24600 to 24800
Activity: Poor
Type: Neutral
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June 4th, 2018 by Richard
FTSE and DAX Ratio Table 4th June 2018
The FTSE from a ratio viewpoint couldn’t be simpler, it hit B2 (high 7903.50) on the second day of this expiry having closed above 7850 on the first day.
Since then it spent the first three days of the second week around the DR level, which was then at 7650, and which marked the bottom of our trading range.
As one can see that has now gone so there is just one enormous R3 ratio bandwidth that stretches from 7450 all the way up to 7850 that it is now in.
But, as we said last time, “there are some huge positions which will dictate this expiry for sure”, and that hasn’t changed so just don’t expect normal.
Range: 7450 to 7850
Activity: Poor
Type: Bearish
Germany and the DAX is almost the mirror of London, with all the changes in the ratios here taking place below the zone.
Also, whereas for London it’s all about being above the zone, for the market here it is all about being below the zone.
Furthermore, the DR ratio bandwidth that this market is currently in stretches for a mammoth 700-points, from 12250 all the way up to 12950.
Again, there are some huge positions, but it is harder to tell if this is over and above what would be normal, or expected, for the second biggie of the year.
Range: 12250 to 12950
Activity: Average
Type: On balance bearish
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May 24th, 2018 by Richard
FTSE & DAX Ratio Table 24th May 2018
The only ratio to change in the FTSE since our last note on May 18th is B1, which has slipped from 7800 to 7850.
Historical now of course, but Monday did the damage, closing above 7800, but Tuesday was the decider.
The low was 7854.58 and the high 7903.50, which was most certainly a test of B2 at 7900, as that hasn’t changed, and was most probably a B1 bandwidth test, which would by definition lead to the breakout seen yesterday.
It is still incredibly aggressive for the FTSE, but it is now in a 200-point wide DR ratio bandwidth, so plenty of scope, and those “baby-steps” days are most certainly over, but there are some huge positions which will dictate this expiry for sure.
Range: 7650 to 7850
Activity: Moderate
Type: Bearish
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No change at all in the DAX ratios, which is rather unusual as it was Thursday 17th May we last commented, which is normally the busiest period for this or any expiry, being over the expiry.
And the activity was certainly there, as you can see below it is right at the top end of the scale, so it is a very rare beast indeed when you get very high activity with no change in any of the ratios.
Don’t forget this is a triple so that is high activity when the benchmark is already very high.
No wonder it has sought refuge in the safety of its zone.
Range: 12950 to 13050
Activity: Very strong
Type: Neutral
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May 23rd, 2018 by Richard
SPX , NDX & DJX Ratio Table 23rd May 2018
Surprising SPX, and the first one is that there have been no changes at all in the ratios.
This for the start of an expiry is odd, but especially so for a triple.
And just to compound this, surprise number two is the fact that there is still 135-points of Y ratio still present, in itself weird enough but when we don’t see any changes when the ratios are this low to begin with is even stranger.
Number three is the fact the ratios only go as high as R3, which is very low for a triple, and the fact that they don’t get even that high for a very long way either side.
Just bear in mind that the Y ratio bandwidth alone goes from 2620, 100-points away, up to 2755, just 30-points away, but with so little ratio here at all we suspect the driving force may well prove to be the DJX.
Range: 2705 to 27855
Activity Poor
Type: On balance only just bearish
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Poor old NDX, as the only surprising thing, nay coincidental thing here, is that when we last commented (16th May) the market was 6888.54, so in the last week it has moved just +5.08-points.
Considering this includes the expiry, which incidentally was 6884.87, so also represents a minimal move, for such an index prone to big moves this is unusual.
The only ratio to change is Y2 above the zone, which comes in a bit, but same old as no R ratios at all, slightly more surprising for a triple, but reveals just how unloved derivatives remain in this index.
Range: 6825 to 7075
Activity: Average
Type: Neutral
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Surprising DJX, and the main one is that it’s all change here.
This means even the zone, but more surprisingly is that it has slipped, not by much, but it is the direction more than anything else.
Interestingly on Monday, high 25086, was the top boundary of the old zone, 25100.
More to the point the Delta ratio, which was 226.2%, is now just 168.6%, which is still lop-sided, but shows a huge swing towards balancing.
26100 still remains a target, although evidently now there are a lot of others who think otherwise, so perhaps it is now a line in the sand.
However, with so much Y ratio now present the only thing we can say for certain is that it could be a very volatile expiry.
Range: 24600 to 24800 or 24800 to 25100
Activity: Moderate
Type: On balance bearish
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May 18th, 2018 by Richard
SPX May to June Ratio Rollover Table 18th May 2018
Conveniently for the SPX their zone has adjusted so that this is almost the perfect expiry.
We have to say almost as the bounce off R2 (nb. The first level of R ratio the market encountered) at 2595 was spot on, with the intraday and expiry low of 2594.62.
And the finish in its zone is also spot on, but the “almost” comes from the intraday and expiry high of 2742.10 when R1 was 2750 having just moved that day from 2745.
Despite us calling it almost this is still calling the low, high and close and considering it finished the April expiry at 2670 that is 2.81% down to 2595 and then 5.78% back up to 2745 with a little icing on the cake for the finish.
8.59% in just 4 weeks is not bad, so perhaps slightly closer attention to June might be worth your while?
Range:
Activity: Average
Type: On balance bearish
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Interestingly June’s zone has stayed put, so the first decision for this index will be where it wants its zone to be, here or at 2720-2730?
However, what we said “for a triple there is still an enormous amount of Y ratio currently present” in our last note applies even more now.
There is still an incredible 135-points of Y ratio, which is enormous for any expiry but for a biggie when we expect none this is highly unusual, and furthermore historically the low R ratios are generally not pivotal and in triples it normally takes DR and above to turn moves around, so it will be an interesting 4-weeks for sure.
Range: 2705 to 2755
Activity: Average
Type: On balance just bearish
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