Category: Uncategorized
FTSE & DAX Ratio Table 2nd May 2018
Significant changes in the FTSE ratios since our last look on the 26th April, the major one being at 7550.
This was DR and as such was tested on Monday with the high of 7546.16, and then yesterday with a triple top, the highest being7549.07.
Today 7450 is R2 and 7550 is now R3, so no mistaking how far they have fallen, the only question that remains is can the FTSE maintain this aggressive a stance?
Then there is perhaps the question of risk versus reward as the zone is now a very long way away, and we are only half way through the second week.
Range: 7450 to 7550
Activity: Average
Type: Bearish
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The DAX may have been officially closed yesterday, but in reality, it hasn’t really got going at all this expiry.
It closed on the Friday of the last expiry at 12540 so it has moved just 70-points in a week and a half.
More revealing are the closes, as all last week they were within 30-points of either side of its zone if it wasn’t actually in it.
With such a huge Y ratio bandwidth this just can’t last.
Range: 12450 to 12550 or 12550 to 12750
Activity: Did not register
Type: N/A
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April 27th, 2018 by Richard
SPX , NDX & DJX Ratio Table 27th April 2018
What changes there are in the SPX are significant, almost as much as what hasn’t.
The most obvious is the zone dropping to 2670-2680, and a falling zone is bearish, and to make matters worse 2645-2655 is looking very likely for the next move.
Then what hasn’t changed is the R ratios below the new zone, which means in the entire week they have not strengthened, which is almost as bad as falling.
Above the zone it is the opposite, with them all making good progress inwards, but because of the zones drop actually find themselves further away from it.
And that is the main issue, as the Y ratio bandwidth is still a massive 150-points, so really these 1%+ daily moves are in fact quite tame.
Range: 2595 to 2675
Activity Average
Type: On balance only just fractionally bearish
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Last expiry in the NDX it did prove sensate to Y2, testing it twice at 6325 before rallying.
However, this does not make May a given to being the same, as despite the weakness earlier on this week, when it got down to 6464.74 and 6426.57, this is still some 300-points above where the unchanged Y2 is in this expiry.
Y2 has strengthened above the zone, but considering the level of activity and type, this is not a good thing.
At the end of the day the Y1 ratio bandwidth is still a staggering 900-points so these 2% daily moves are, just like the SPX, quite tame.
Range: 6625 to 7025
Activity: Strong
Type: On balance bearish
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For us this last week has been all about the DJX.
On Monday it had a 208-point range, but as it was the first day of this expiry it was just putting out its feelers to see which way the ground lay.
Tuesday and Wednesday were the main event and the low on each day was 23828 and 23823 respectively were both very solid tests of R3 at 23800.
The fact it has taken what is high ratio level so early on is a concern, the fact it is now on strike 3 means it is also now only very tentative support as well.
To compound this is the fact it is also on its own, as it does not get any help at all from the R ratios in the SPX or NDX.
On a slightly more positive note this is also true going the other way, so if these tests of R3 do prove sufficient R3 above the zone does not kick in until 26000.
Range: 23800 to 24600
Activity: Moderate
Type: On balance only just bearish
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April 26th, 2018 by Richard
FTSE & DAX Ratio Table 26th April 2018
It has been a while (20th April) since we last looked at the FTSE and as you will hopefully know by now the hedge ratios are a direct consequence of actual business done, and therefore evolve.
So please check our last post to see the previous ratio table in the FTSE as they have changed significantly above the zone.
However, we left this index finishing the April expiry at 7368.17, this placed it above R2 at 7350 with R3 waiting for it at 7450.
As you can see R3 hasn’t changed so when this index hit 7439.58, just 10.42-points, or 0.14%, away, it should have rung alarm bells.
Especially so had you read what we said about the US indices on Monday.
Regaining 7350 was good yesterday, but just 4 days ago this was R2, so it is running up a sand dune with the sand slipping away beneath its feet.
Range: 7350 to 7400
Activity: Very good
Type: Neutral
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It has been even longer (18th April) since we covered the DAX but all things considered it has been the sanest index of the lot.
The ratios have developed considerably, hence the level of activity, but there is still a considerable way to go.
However, and we have now no way of knowing when the zone did actually move, but on Monday the low was 12466 and the high 12588, suggesting it was then at least.
Tuesday saw the market close at 12550 and yesterday it did very well to get back to 12422, both of which are or are close to either end of their zone.
Make no mistake with so much Y ratio around it certainly has the potential to move like the DJX, but at the moment it seems happy cuddling its zone.
Range: 12150 to 12450 or 12450 to 12550
Activity: Very good
Type: Neutral
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April 23rd, 2018 by Richard
SPX , NDX & DJX Ratio Table 23rd April 2018
Once the expiry was out of the way, and for the SPX this was 2693.40, so close enough to their zones bottom boundary (1.6-points, 0.06%) as to not make that much difference, the reason for it being there seemed to vanish.
Therefore, it was quite a drift off which does not instil early bullishness for May, however we have to mention our delta ratio indicator is at 48.6% which is bullish.
Whichever way it does decide though it won’t be gently, as the Y ratio bandwidth alone is still a massive 160-points, so it could pick up quite a head of steam.
Range: 2635 to 2695
Activity Average
Type: On balance only just bearish
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The April expiry in the NDX was truly remarkable as it went all the way down to Y2 at 6325 (low 6322.60) which was a fall of 700-points and then on rollover Wednesday it was just 8-points above its zones upper boundary, and we were more than happy with that.
However, the expiry was 6752.78, which was just 22.22-points below its bottom boundary, or 0.33%, so we are even more pleased with that.
The overriding issue here was the May zone, which is unchanged, but it was always 200-points below April’s, and that sort of divergence means either it or the market has to adjust.
The Y2 ratios on both sides have come in considerably but same as last expiry, just hang on as there is still a 1000-point Y1 ratio bandwidth.
Range: 6625 to 7125
Activity: Very strong
Type: On balance only just fractionally bullish
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When we last looked at the DJX (17th April) the zone for both April and May was 24400-24600 and we have no way of knowing when May’s changed, but the expiry at 24659 suggests April’s didn’t budge.
This meant it was just 59-points or just 0.24% above its upper zone boundary, which like the SPX is close enough and in minimal levels of ratio, especially as one has to appreciate they were both caught on different sides so were both experiencing apposing influences.
It is a strange set up as it stands in May, and what stands out for us is the level of activity.
The other main aspect is again a huge Y ratio bandwidth that here stretches for a staggering 1900-points.
The bullish aspect however is that the R ratios start, and are then close together, at 24100, so not that far away.
Range: 24100 to 24600
Activity: Very strong
Type: On balance only just fractionally bearish
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April 20th, 2018 by Richard
SPX April to May Ratio Rollover Table 20th April 2018
The SPX went on a trip almost as spectacular as that of the NDX (17.1%) as here they toyed with R3 at the start of this expiry circa 2595 and then it basically followed it all the way down with little bounces to when it was 2555 and the market low was 2553.80.
So, from the close of the March expiry, 2752.01, it dropped to R3 at 2555, hitting 2553.80 before climbing all the way back up to finish within spitting distance of its zone on expiry at 2693.13.
That is a total round trip of 337.54-points or 12.27%, not bad for 5-weeks.
For the record the NDX closed on their zones bottom boundary 6775 (6774.89) whereas the DJX finished just 63-points above their zones upper boundary 24600 (24664) which is as close a compromise as you’re likely to get.
Range: 2670 to 2705
Activity: Moderate
Type: On balance only just bearish
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For the last look at May before it becomes the alpha expiry and the most impressive aspect is that it has maintained almost all its Y ratio despite activity being so high.
For the record the ratios do not predict what will happen or what the market may do, the only thing they reveal is where futures buying and selling will occur (dynamic delta hedging) and a guide to how much to expect.
Obviously in the April expiry this index was sensitive to the amount of futures buying generated by it hitting R3, and in the absence of any bigger external influence the natural point at which the market should expire is its zone.
What it will be sensitive to in May remains to be seen, but above are today’s levels.
Range: 2595 to 2695 or 2695 to 2705
Activity: Strong
Type: On balance bearish
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April 20th, 2018 by Richard
FTSE April to May Ratio Rollover Table 20th April 2018
Poor old London as this will smart a bit, but as we said “The trouble is that this is rather early, so it could be tough to keep it inside the zone for so long, made all the harder we suspect because of how the expiry is shaping up over in the US”
In fact, we think the FTSE could have coped with the US’ s stampede to their respective zones, it was the mining sector on Wednesday that it couldn’t cope with.
This is a huge sector, and if the whole thing goes it has the weight and momentum to crush derivatives, which were just biding their time anyway, so stalled in neutral as it were.
Still it should make for an interesting expiry.
Range: 7300 to 7450
Activity: Poor
Type: On balance decidedly bearish
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Big changes in May so the overall picture has changed considerably.
The most obvious is the zone has dovetailed with April’s, which also removes that weight from around its neck.
Also, don’t forget when April started it was so far below its zone it started with several tests of R3 at 7050 before going on to test DR at 6900 after which it began its long climb back up to its zone (and now above of course).
So, as it stands, it looks like May will start life above its zone but this makes today’s close and whether it is above or below 7300 crucial.
Range: 7250 to 7300 or 7300 to 7350
Activity: Strong
Type: On balance only just bearish
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April 19th, 2018 by Richard
NDX Apr to May Ratio Rollover Table 19th April 2018
Just brilliant, what a fantastic expiry for the NDX, not quite perfect, but we are more than happy with its performance nevertheless.
Considering its journey to finish just 8-points above its zone on the appointed Wednesday is easily close enough for us to take as a success.
To reiterate Y2 was at 6325 and this index finished the March expiry at 7019.95, so almost three weeks later when the low was 6322.60 (2nd April) and then confirmed with 6326.54 (4th April) we were actually more than happy with just calling the bottom.
So, to get back to its zone for the rollover is just an added bonus, and no mean feat as last Friday it closed at 6628.34, so it still had a lot of work to do.
The fact it has recovered virtually 500-points is the main reason why being just a measly 8-points out is truly insignificant.
But, what a journey, 700-points down to Y2 then another 500-points back, which is a staggering 17.1% in 5-weeks. Far more enjoyable than going in a straight line one-way, which, incidentally, would have meant it being at 8220.20 today.
Range: 6775 to 6825 or 6825 to 7100
Activity: Moderate
Type: On balance bearish
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Still a couple of days to go before MAY becomes the alpha expiry, but still no R ratios, however it is worth remembering that at this point in April’s expiry there was not even any Y2 ratios in evidence.
The main point to note is that the zone here is 200-points below April’s, which may of course change, but again it is worth remembering that at this stage in April the zone was a massive 150-points, so there may not be any R ratios but what there is already has a little bit more depth.
Nevertheless, unless it changes dramatically, always possible, it is more of the same.
Range: 6625 to 7375
Activity: Average
Type: Neutral
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April 18th, 2018 by Richard
DAX Apr to May Ratio Rollover Table 18th April 2018
On Friday in the DAX we did stress the zone could end up anywhere within the Y1 ratio bandwidth and just to underline that point today it is back to the level it spent the first two weeks of this expiry at, 12350-12450.
Whether this is its last move we will just have to wait and see, although with the strength in the ratios displayed below 12150 we suspect anything further will be from this point up.
This, of course, does not exclude a move higher from where it is as the ratios are significantly weaker above the zone as well.
At the end of the day it still has a 1000-point Y ratio bandwidth, which is actually bigger than the SPX’s, and that’s how extreme this is.
Range: 12450 to (12650) / 12750
Activity: Moderate
Type: Bearish
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Even taking into account this index is a slow starter, and the fact it is a rollover from one intermediary into another, the ratios levels in evidence are still dire.
Although there is a slight discrepancy in the zones the fact there is so little ratio in the Y1 ratio bandwidth means this is not that significant.
However, what is significant is the fact there are no R ratios at all below the zone as when April started R1 was at 11750 (nb. The March expiry closed at 12389) and the two lows were 11726 (26th March) and 11770 (28th March).
There is still a bit of time and it is back to the more normal 4-week cycle but no doubt it is looking vulnerable in the May expiry as things stand.
Range: 12350 to (12650) / 12900
Activity: Average
Type: Neutral
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April 17th, 2018 by Richard
DJX Apr to May Ratio Rollover Table 17th April 2018
Since we last looked at the DJX (11th April) it has hardly strayed far from its zone, which is remarkably well behaved for this index considering last year.
Although this expiry the zone started around 25000 it quickly fell to this level, where it has remained for the last fortnight, and is interestingly the same level it was throughout most of the March expiry.
Furthermore, the low last Tuesday was 24198 and the close on that Wednesday was 24189, which reveals a degree of sensitivity to R1.
The problem here is not so much themselves but rather all that Y ratio in the SPX, although it may be worth noting R1 above the zone doesn’t comes in until 25000.
Range: 24400 to 24600 or 24600 to 25000
Activity: Average
Type: Bullish
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Scary feeling of déjà vu for us with the first look at May as just like April at this stage it’s all Y ratio below the zone until R3 suddenly appears.
Back then the DJX finished the March expiry at 24946 and April R3 was still at 24000 (nb. On the first day it had been joined by DR at 23700) and scarily by Thursday 23rd March the DJX had closed at 23957.
It then went on to go as low 23509 before the next three days resulted in lows of 23741, 23708 and 23728 and then these two levels pretty much dominated the following week as well.
However, what is different this time is the dearth of ratio above the zone.
Still a very long way to go but perhaps worth pointing out nevertheless.
Range: 24400 to 24600 or 24600 to 25500
Activity: Average
Type: Neutral
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April 17th, 2018 by Richard
FTSE Apr to May Rollover Ratio Table 17th April 2018
The FTSE was never comfortable in R1 and blatantly struggled the entire time it was above 7250.
In fact, it only ever got to within 26-points of testing the next level up, R2 at 7300, so not even half way it was that tough going.
Therefore, finding itself back almost dead centre of its zone is indicative of just wanting to see the back of this expiry we suspect.
The trouble is that this is rather early, so it could be tough to keep it inside the zone for so long, made all the harder we suspect because of how the expiry is shaping up over in the US.
Range: 7150 to 7250
Activity: Very poor
Type: Bearish
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The first look at May does not bring much comfort to April, or indeed for this expiry in itself.
The most obvious difference is the zone here is way down at 6950-7050.
At least it immediately goes to the R ratios below that, but the second most obvious aspect is that the highest it goes down here is just R2.
On the other side 7250 and 7300 are both levels of interest here as well.
Of course, a lot may change before next week, but as things stand May is looking like one for the bears.
Range: 7050 to 7250
Activity: Average
Type: Neutral
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