Category: Uncategorized
May 18th, 2018 by Richard
FTSE May to June Ratio Rollover Table 18th May 2018
This is a big miss for the FTSE this expiry and one definitely for equities, oils and miners in particular. Although corporate action also has this effect.
The zone didn’t change in the end, although 7450-7550 was but a whisker away and even the appearance of the “amber gambler” at 7700 didn’t hold much sway, but the market is way above both of these anyway.
So, from a potential “humdinger” we got probably the most boring rollover of recent times (net move over three days was just measly 10-points), and the expiry today could be just as drab.
Range: 7750 to 7850
Activity: Good
Type: On balance only just bearish
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“Come out, come out, to playeee” and they have, and what was an already impressive June expiry just went ballistic.
If equities won May we don’t think they will stand a chance in June.
The only issue is what does all this interest actually mean, and this is impossible to answer, as the only certainty from our viewpoint is that the baby-steps seen so far this week will probably become a distant memory rather quickly.
Range: 7650 to 7800
Activity: Strong
Type: On balance bullish
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Posted in Uncategorized
May 17th, 2018 by Richard
DAX May to June Ratio Rollover Table 17th May 2018
It was just over a week ago since we last looked at the DAX (9th May) and then the R ratios above the zone started at 12800 and now they start at 13050, which pretty much sums up this last week.
Also, worth pointing out is that R3 has gone completely.
This expiry has always been light of ratio, which has been represented by the continual huge bandwidth of Y ratio, so just like the previous expiry we don’t see much of an agenda here and so the expiry could be rather fluid.
Perhaps the most important difference this time round is the influence of the much much bigger June expiry.
Range: 12700 to 13050
Activity: Average
Type: Bearish
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Normally we would warn about the slow build up for the new expiry but as you can see June starts at R2.
This, of course, is actually the highest level of ratio in May.
So, the fact this index lows this week have been 12927, 12918 and 12960 and the highs have been 13015, 13006 and 13030 strike us as being the direct influence of this expiry, and it being kept in its zone with an ineffectual downward bias courtesy of May.
Considering how uninvolved May has been then the door has been left wide open really, so the only question that remains is how aggressive will the DAX get in the June expiry?
Range: 12950 to 13050
Activity: Average
Type: Neutral
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Posted in Uncategorized
May 16th, 2018 by Richard
NDX May to June Ratio Rollover Table 16th May 2018
There has been a lot of symmetry in the NDX over this and the last expiry.
For those that can remember (or even look up past posts) the NDX in April went down to Y2 which in that expiry was at 6325 (low 6322.60), a fall of 700-points, before reclaiming 500-points to hit its zone on the rollover Wednesday at 6800.
For this, the May expiry, it started off from 6667.75, the zone was then 6575-6625, and it got as low as 6426.57.
However, the low this expiry was all about the DJX fighting a rear-guard action until the SPX hit their R ratios.
For the NDX this expiry was all about hitting Y2 above the zone this time, and we got three strikes at it when it was 6975 last week, and as you can see it is now 7025, but now it is all about the zone and whether this expiry can achieve another nigh on perfect one.
Range: 6725 to 7025
Activity: Average
Type: On balance fractionally bullish
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Now there is a caveat to what we have said above “now it is all about the zone” as here in June the zone is already 6775-6825.
June is also a triple whereas May just an intermediary, so the biggie normally out-muscles the smaller so we have to go with May’s zone joining June’s rather than the other way around.
So, it is still all about the zone, the trouble is which one.
Although there are still no R ratios in evidence, this expiry is already further developed than the last two expiries, if only because the Y2 levels are “only” 300-points away at this early stage.
Range: 6825 to 7175
Activity: Average
Type: Neutral
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Posted in Uncategorized
May 15th, 2018 by Richard
DJX May to June Ratio Rollover Table 15th May 2018
When we last looked at the DJX (10TH May) it was all about whether it could break up into its zone.
And if by magic that very day it opened at 24591, right on the bottom boundary, and then went as high as 24794, so not only did it break back in but it also achieved a zone bandwidth test.
That normal precedes a breakout so the surprise the next day was not the close at 24831, but rather the lack of conviction.
Very simple ratio levels now to bookmark, but we suspect the main aim now is to stay around its zone for the rollover and expiry.
Range: 24800 to 25500
Activity: Average
Type: On balance only just bearish
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The June DJX is just not helping matters, and that’s not just because of where its zone is.
When one looks at the bare numbers then it is not a pretty sight, especially with the Delta Ratio standing at a very bearish 226.2%.
However, when one see’s how the ratios are distributed it becomes clear that 26100 is bit of a watershed.
Ordinarily we would call this a line in the sand, but we have seen this before, at the start of 2017, and then, as we correctly guessed, was that because of its unique make-up it is very probably the minimum target, so could be a very interesting expiry starting next week.
Range: 24300 to 24900 or 24900 to 25100
Activity: Average
Type: Neutral
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Posted in Uncategorized
May 14th, 2018 by Richard
SPX May to June Ratio Rollover Table 14th May 2018
The SPX enters the May rollover in a good place and with sufficient scope either way to hopefully have a calm and relaxed expiry.
It seems to have eventually made up its mind and the zone returning to 2695-2705 looks very possible, and if so then the downward drag is not onerous at all.
Y2 above it seems also to be in retreat and R1 has also slipped marginally to 2750.
Also, worth remembering it was R2 at 2595 (low 2594.62) that turned the tide here and above the zone this doesn’t even kick in until 2770.
However, for a perfect expiry we would be more than happy with a test of R1 before ending the week circa 2700.
Range: 2680 to 2750
Activity: Moderate
Type: On balance only just bearish
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For our first look at June SPX and it looks like the May calmness has been carried over.
The zone is already at 2695-2705, reinforcing the possibility that May’s will join it.
However, for a triple there is still an enormous amount of Y ratio currently present.
Of course, we wouldn’t expect it to be this extreme in a weeks’ time, but for a biggie then having any at all is somewhat rare, let alone 155-ponits of it.
The other stand-out feature is that R1 and R2 in both expiries are at the exact same level.
Range: 2705 to 2750
Activity: Average
Type: Neutral
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Posted in Uncategorized
May 14th, 2018 by Richard
FTSE May to June Ratio RolloverTable 14th May 2018
This could be a real humdinger of an expiry for the FTSE as we enter the rollover week.
The damage was done on the day of our last comment, the 9th, as both the oil and mining sectors added 3%’ish to push the index above 7650, which was then R3.
This couldn’t have come at a more inappropriate time as 7550 was the critical level, and it still is, as below here it is all Y ratio.
The only real change is the appearance of R1, which knocks both R2 and R3 out a bit, but the real issue is this index being in R3 with the rollover and expiry now in focus.
One saving grace may well be the zone could end up at 7450-7550, but this is still 200-points below where we are now, so hang on tight.
Range: 7700 to ….
Activity: Moderate
Type: Bearish
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One glance at the June Ratio Table above should tell you it’s a triple, and for the second biggie of the year it is already rather impressive.
Still a week to go but two aspects stand out already, the first being the zone here is already at 7350-7450.
The second aspect is that this index is already in B1 ratio, and that is a real problem.
In the triples going between the B ratio levels is quite normal, but to go into them not so much, so a really big week here as well.
Range: 7650 to 8050
Activity: Average
Type: Neutral
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Posted in Uncategorized
May 10th, 2018 by Richard
SPX , NDX & DJX Ratio Table 10th May 2018
When we pointed out the extremeness of the Y ratio bandwidth in the SPX at the start of this expiry one could be forgiven for perhaps not fully understanding the implications.
However, after the low last week of 2594.62, which tested R2 (nb. Now R1) below the zone, this should not be the case now.
The rollover starts next week, so time is running out, but R1 above the zone is now only 47-points away, so now eminently achievable, to chalk up the second target for a perfect expiry.
Range: 2680 to 2745
Activity Poor
Type: Neutral
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For the NDX the move has been even more extreme, but then again it was the index with the widest Y1 ratio bandwidth.
In fact, its low was 6539.86, which was then the bottom boundary (6550) of its zone and up to yesterday that is a very impressive bounce of 356.07-points, or 5.44%.
Again, not understanding the implications of an extremely wide Y ratio bandwidth should now be a thing of the past.
The only difference today is the zone has moved up, but there is such a lack of ratio we could quite easily make the zone 6550-6725, which is truly scary.
Activity is decent but no new strikes to us means everyone is still on the side-lines.
Range: 6725 to 6975
Activity: Moderate
Type: On balance just fractionally bearish
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Today could be a big day for the DJX as it could get back into its zone.
Yesterday the high was 24586, so no doubt the first test of its zones bottom boundary at 25600.
All a very long way indeed from its test of R3, in fact it was quite the rear-guard action as in the first week it was all about R3 at 23800 providing support, and then the following week when it had fallen to 23600, the low being 23531, but was then joined by the SPX and as we said it did need a friend at that time.
The DJX has been the force so far this expiry, whether it remains so is questionable, but it is still below its zone and therefore in bear territory.
So, the lower boundary is hugely significant as achieving it would not only give it 200-points of no ratio above it, but also mean it is no longer bearish.
Range: 24100 to 24600 or 24600 to 24800
Activity: Average
Type: On balance not bearish
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Posted in Uncategorized
FTSE & DAX Ratio Table 9th May 2018
It is at times like this that the FTSE’s ratios need to be produced daily, such has been the magnitude of change.
So, don’t forget, the ratios result in dynamic delta hedging and so are a direct consequence of the type and level of activity, entirely mathematical in other words.
No changes below the zone, which also remains steady, but above it and 7550 has fallen from R3 to R2, and we did point out it was in a downward trajectory, so no great surprise, similarly the low yesterday being 7550.44.
Therefore, it still remains a very significant level, but mainly now because it is all Y ratio below it, and you know what that means, as we have just witnessed what has happened in the US indices when in a mammoth Y ratio bandwidth.
Range: 7250 to 7550 or 7550 to 7650
Activity: Average
Type: Bearish
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Our last comment in the DAX was “it closed on the Friday of the last expiry at 12540 so it has moved just 70-points in a week and a half….. with such a huge Y ratio bandwidth this just can’t last”.
And it has duly obliged as despite two down days totalling 150-points it is still up 300-points.
The zone has slipped, ignoring the market going the other way, and activity has held up, but the Y ratio bandwidth, which is what it is all about after all, is still a very impressive 800-points.
So, it has narrowed, but not by much, however the difference now is the market is in the R ratios at one end, so unless ratios change that’s now a really big void below.
Range: 12800 to 12950
Activity: Very good
Type: On balance only just bearish
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Posted in Uncategorized
SPX , NDX & DJX Ratio Table 4th May 2018
Just as well the SPX hit 2595 yesterday when it was R2, as today it has dropped to R1.
Just as we said on Wed 2nd R2 at 2595 did provide “a solid line of support” so we sincerely hope you did indeed take note of this level, as it was a very impressive bounce from the low of 2594.62 of 35.11-points.
More to the point with virtually zero drawdown.
No two expiries are ever the same, and May is proving a very odd one indeed, as although activity is neutral it is strange that this early on we are seeing a considerable amount of money coming off the table on both sides.
Still a ridiculously wide Y ratio bandwidth and the zone could now either be 2645-2655 or revert back to 2695-2705, weird, or more likely very undecided.
Range: 2595 to 2670
Activity Moderate
Type: Neutral
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For the NDX to only drop 100-points’ish we think is very restrained of it.
In fact, considering yesterday was by and far the low so far this expiry for both the SPX and DJX it is worth noting here that their low last week was 6426.57, just over 100-points lower than yesterday.
Perhaps it was the bottom of their zone that came to the recue at 6550 as the low was 6539.86.
Both Y2 levels have come in, activity is holding up but still a insanely wide Y1 ratio bandwidth persists.
Range: 6625 to 6975
Activity: Average
Type: On balance only just bearish
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Hopefully you also took note of what we said in respect of the DJX as right on cue 23800 gave way.
“We hope so as that was strike 3, so it has already beaten expectations, but more importantly it is just holding on to being R3 by the skin of its teeth, and if it does get breached then 23600 would be the next ratio support level”.
As it turns out it went as low as 23531, so a little bit of overshoot (0.33%), but as we also said is what it really needed was a friend, so little surprise it had to wait on the SPX hitting their R2 level before reacting, in what was a changing ratio environment for themselves don’t forget.
Funnily enough the exact opposite here than in the SPX where activity is concerned, so it may well be more than happy to pick up the baton again and take the lead.
Interestingly the high yesterday was 23996, so it didn’t quite make it past R1, so that is the first hurdle, and if it gets over that then it is back into its own enormous Y ratio bandwidth.
Range: 23600 to 24600
Activity: Moderate
Type: Neutral
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Posted in Uncategorized
SPX , NDX & DJX Ratio Table 2nd May 2018
It hasn’t really been down to the SPX lately, but when the DJX needs a friend it will be well worth your while taking note of the ratio levels here.
Firstly, there has been no change in the Y ratio bandwidth, so that remains at 150-points, so still acres of room to move in, and this is only going to get more apparent.
Secondly, 2645-2655 is still looking very likely to be the next zone, which would make it the second bearish move down.
Although the Y ratio has not moved below the zone, 2595 is now R2, so a solid line of support as that is quite a jump up in ratio, which don’t forget are exponential.
Range: 2595 to 2670
Activity Moderate
Type: On balance bearish
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Neither of the other two are going to get much help from the NDX which remains critically underdeveloped.
The main change is the zone now stretches from 6550 all the way up to 6625, which is symptomatic of such low levels of ratio.
Therefore, we should perhaps mention the “step-up” levels, while at the same time cautioning to remember that this is still within the minimal Y1 ratio.
These are 6275 below the zone and 6750 above it, so still plenty of scope to continue with the 2% daily move days.
Range: 6625 to 7000
Activity: Moderate
Type: On balance only just bearish
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Coincidence the DJX finished right on R1, we think not.
Coincidence this is the third 200-point + bounce off R3 at 23800, again we think not.
For the record on the 24th April the low was 23828, the next day 23823 and of course yesterday 23808.
So, it still remains all about the DJX, but will this time be enough?
We hope so as that was strike 3, so it has already beaten expectations, but more importantly it is just holding on to being R3 by the skin of its teeth, and if it does get breached then 23600 would be the next ratio support level.
If it does prove sufficient then there is no denying there is plenty of upside.
Range: 23800 to 24600
Activity: Average
Type: On balance bearish
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