Category: Uncategorized
February 14th, 2018 by Richard
DAX Feb to Mch Ratio Rollover 14th Feb 2018
A real chalk and cheese pair of expiries from the DAX so far for 2018.
The Jan one was the perfect expiry, conforming exactly to the ratios, but Feb definitely not.
However, from this point (i.e. Before Feb became the front month or alpha expiry) we took pains to point out the huge and unusual put activity present, which it still is incidentally.
These are both now significantly in-the-money, but regardless, have most certainly clouded everything this trip.
Range: 11950 to 12300
Activity: Good
Type: Bullish
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Just like the SPX the big clue here in the March DAX is that the zone is already at 12450-12550.
Furthermore, the March expiry is looking like another real humdinger, and ordinarily we would be anticipating a blast-off and cautioning seat-belt usage.
However, just like Feb, there are some very chunky put positions, in fact so much so our delta ratio is already as low as 39.8%, and yet again negating the need for us to caution how this index is “always” a slow-builder.
These always cloud the picture but we can only say what we see so best strap yourselves in just in case.
Range: 12150 to 12350
Activity: Average
Type: Neutral
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Posted in Uncategorized
February 13th, 2018 by Richard
SPX Feb to Mch Rollover 13th Feb 2018
The SPX has managed a tremendous recovery but it looks like this expiry is going to go down to the wire, or the expiry on Friday, depending on how one looks at it.
Worth noting in our last table DR was 2545, down from 2565, and that was on 8th Feb so by that fateful Friday it would have been around 2535 (expiry low 2532.69) because as one can see a further 2 days on it is now 2515.
Today 2645 is a key battleground, as below it slips back into the R ratios whereas above it at least has a chance of reaching a compromise should the zone, as we would expect, drop.
Range: 2645 to 2745
Activity: Average
Type: On balance just fractionally bearish
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The most obvious clue March is giving us is that here the zone has already moved.
2695-2705 is eminently more achievable of course, but just as a rising zone is the hallmark of a bull market so a falling one is symptomatic of a bear market.
Still early days and one move during the rollover is hardly conclusive, but it is still certainly worth keeping an eye on.
The other aspect to make note of is that DR below the zone is not until 2495 here, but more importantly the R ratios start at 2645 here as well, so a doubly important battleground it seems.
Range: 2645 to 2695
Activity: Average
Type: Neutral
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Posted in Uncategorized
February 8th, 2018 by Richard
SPX , NDX and DJX Ratio Table 8th Feb 2018
Tuesday was a hugely important day, which seems like stating the obvious but this is actually backed up by the numbers.
The ratio table on the 31st Jan had R3 in the SPX at 2595, just like today’s, and the low on Tuesday was 2593.07, please note the lows on this day in both the DJX and NDX.
Tuesday’s table had R1 at 2695, the close was 2695.14.
Today’s table has the market back in the Y ratios, which as one can see are tumbling, and just to add more to the flames it is the rollover next week, although it may just be that where the zone is, if it can hold there, could be the SPX’s saving grace.
Range: 2660 to 2745
Activity Very good
Type: Neutral
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The only change in the NDX’s ratio table above is R2 drops to 6175 from where it was on Tuesday, 6375.
The low here on that day was 6370.48.
The close was 6665.98 but anywhere above 6400 was back into their massive Y ratio bandwidth.
Regarding rollover Wednesday we would totally expect the zone to change, most probably reverting to 6775-6825 initially, but in truth almost anywhere in the Y1 ratio bandwidth is possible.
Range: 6475 to 6875
Activity: Good
Type: On balance only just bearish
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In Tuesday’s ratio table for the DJX the DR level was at 23800, and the low on that momentous day was 23778.
By the close it had recovered to 24912, which was back into their Y ratio bandwidth, just like the SPX, although to a greater extent.
The zone has changed, although as a target for next Wednesday this is now eminently achievable, but in the meantime 24900 is a serious and very significant level, as well as now being the demarcation line between the Y and R ratios.
The other main aspect to note is the type of activity, which suggests the bulls are back even if the ratio movement does not.
Range: 24300 to 24900 or 24900 to 25000
Activity: Strong
Type: On balance bullish
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Posted in Uncategorized
February 6th, 2018 by Richard
SPX , NDX and DJX Ratio Table 6th Feb 2018
As we said in the SPX “was overstretched and not without risk …… if it remains in the Y ratios then this is one very wide bandwidth which could make the 20 or 30-point moves look like a practice”.
Evidently it couldn’t maintain its aggression and couldn’t get back above 2830 and on Friday the close was 2762.13, very close to their zone, so exactly what we would have expected.
Monday (and the DJX) was the issue, and in our last table please remember R1 didn’t start until 2670, so once below their zone this was exactly what we meant by being overstretched, and also the next level.
The good news it is now in among the R ratios providing support, and there is quite a significant step up level at 2645, where it is nearer the R3 threshold than R2, and should provide ample evidence of whether or not the bulls are actually in full flight or not, as so far this to us is actually normal and is what should happen.
Range: 2620 to 2665
Activity Average
Type: On balance only just bearish
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The NDX just highlights the entire situation in one table.
Here their zone has actually moved up, but only within the Y1 ratio bandwidth, which is and was the issue all along.
This stretches from 6475 all the way up to 7025, and the high here was 7022.97 on the 26th Jan please note.
The question here will be whether or not Y2 will provide enough support or will it need the R ratios?
Either way this is the first dynamic delta support here, just like the other two, so it’s first real bear test.
Range: 6475 to 6875
Activity: Moderate
Type: On balance bearish
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The DJX is now a very long way from its encounter with B1 at 26600, but just like the SPX this is exactly what should happen, although under more normal circumstances the support ratios would not be such a very long way away.
Lot of changes to the ratios and the zone is back to its rollover level, which is important as last week (Tuesday onwards) this index was in its old zone at 25900-26100.
The problem here was when it closed below this zone, or indeed the zone could have moved as we haven’t calculated the table since last Wednesday.
Nevertheless, in the old table R1 was at 24400, whereas today its straight into R2 at 24300, so this area was always where the support started.
So, the only question that remains is whether or not this is just a tumble through minimal ratio or now they actually have to sell futures into the dynamic delta buying, will they?
Range: 23900 to 24300 or 24300 to 25200
Activity: Average
Type: On balance only just not bearish
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Posted in Uncategorized
February 3rd, 2018 by Richard
Recent Excerpts;
The SPX;
26th Jan 2018:
This respective weakness and strength and rising zone are all bullish, however please be aware that this is all one sided and therefore unnatural, and with the corresponding R2 level nigh on 200-points away this is very much not a risk-free environment.
31st Jan 2018:
So, the open and 2830 are the main points today as it either needs to maintain this aggression or if it remains in the Y ratios then this is one very wide bandwidth which could make the 20 or 30-point moves look like a practice.
The NDX;
31st Jan 2018:
We perhaps should have mentioned the next step-up level, which was 7025, and which is now Y2 in its own right, but the fact the high was 7022.97 on Friday and 7020.64 on Monday means it was more aligned to the DJX than perhaps we thought.
Otherwise not a lot else has changed and it is still in a sea of Y ratio.
The DJX;
26th Jan 2018:
The Feb expiry is different from the Jan one, although the sudden appearance of B1 shows that the same situation is present, but we will say it is nowhere near the colossal magnitude we saw last trip, though it is, however, still big enough to jump straight to our highest level.
The difference is our delta ratio, which is standing at 99.9%, and this shows that there are as many bears out there as there are bulls.
31st Jan 2018:
We left the DJX at 26392 with the ratio levels last Friday showing B1 at 26600.
We sincerely hope you took note as the high that day was 26616, which was also the close, and then on Monday the high was 26608, so since hitting B1 it has retreated virtually 600-points.
Looks like all those bears that we highlighted were out there for the first time in ages were not that benign, or just insurance.
Posted in Uncategorized
February 1st, 2018 by Richard
FTSE and DAX Ratio Table 1st Feb 2018
We left the FTSE happily ensconced inside its NZ, where it was until Tuesday 30th Jan.
Don’t forget in the last table R1 was 7500, so one can see from the above the ratios have strengthened with that level now being R2 and R1 now residing at 7550.
This is of course very important with the market now at 7533.55 dissecting the two.
The fact the high (so far) this expiry was 7745.22, which was a test of the corresponding R1 above the zone, suggests it is now coming up against ratio support levels it is sensitive too, so hopefully it will be a brighter end to the week.
Range: 7500 to 7550 / 7600
Activity: Strong
Type: On balance bearish
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There seems to be something about the DAX and NZ bandwidth tests at the moment.
Our last comment saw this index at 13298 and happily dead centre of its NZ and then followed not one but two NZ bandwidth test.
Friday was 13268 to 13348 and then again on Monday it was 13274 to 13370, which was a little skewed, so the breakout downwards was probably more to do with the other markets than here.
It has however not travelled very far, and as one can see the ratios down here are all firmer.
The really big test would be 12950, but it looks to us it would be more than happy loitering within its zone.
Range: 12950 to 13250
Activity: Strong
Type: On balance bearish
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Posted in Uncategorized
January 31st, 2018 by Richard
SPX , NDX and DJX Ratio table 31st Jan 2018
On Friday we left the SPX in its R1 ratio bandwidth just below R2 at 2845.
The open that day was 2847.48 which confirmed the level of bullish aggression we had been seeing, but also as we pointed out, that this was overstretched and “not without risk”.
As one can see R2 is now 2875, so the ratios above the zone continue to collapse, but rather worryingly they have not really filled in below the zone which has also stayed static.
So, the open and 2830 are the main points today as it either needs to maintain this aggression or if it remains in the Y ratios then this is one very wide bandwidth which could make the 20 or 30-point moves look like a practice.
Range: 2755 to 2830 or 2830 to 2875
Activity Average
Type: On balance just fractionally bearish
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We left the NDX last Friday just below the huge step-up level at 6925 highlighting the previous 2 closes that were just below it.
The highs on those two days were 6992.91 and 6967.60 so Friday was not only strike 3 but by the very depth of incursion previously the intent was plain to see.
We perhaps should have mentioned the next step-up level, which was 7025, and which is now Y2 in its own right, but the fact the high was 7022.97 on Friday and 7020.64 on Monday means it was more aligned to the DJX than perhaps we thought.
Otherwise not a lot else has changed and it is still in a sea of Y ratio.
Range: 6825 to 7025
Activity: Very strong
Type: On balance decidedly bearish
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We left the DJX at 26392 with the ratio levels last Friday showing B1 at 26600.
We sincerely hope you took note as the high that day was 26616, which was also the close, and then on Monday the high was 26608, so since hitting B1 it has retreated virtually 600-points.
Looks like all those bears that we highlighted were out there for the first time in ages were not that benign, or just insurance.
This 2%+ pullback has not only stimulated activity here but has changed the ratio landscape considerably, as you can see in the above table.
We just can’t stress enough how significant it is for this index to get back to its NZ, or what happens now it is back inside.
Range: 25900 to 26100
Activity: Very strong
Type: Bearish
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Posted in Uncategorized
January 26th, 2018 by Richard
SPX , NDX and DJX Ratio Table 26th Jan 2018
The SPX has started the Feb expiry exactly where it left the Jan one it seems.
Basically, the ratios above the zone are receding under the relentless onslaught of the market, which in turn is dragging the zone up behind it all the while the ratios below the zone desperately try to fill in.
This respective weakness and strength and rising zone are all bullish, however please be aware that this is all one sided and therefore unnatural, and with the corresponding R2 level nigh on 200-points away this is very much not a risk-free environment.
Range: 2820 to 2845
Activity Average
Type: On balance bearish
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It is difficult to place the NDX in either the SPX or DJX camps as it is still at least trying to play by the rules.
The trouble is that being alone makes it all the harder and this is further compounded by it not being in fashion at the moment.
Nevertheless, when we mention that 6925 is a huge step-up level then the last two closes might make a bit more sense.
Suffice it to say at this level they are just below the Y2 threshold whereas below it the ratio is just above the zone threshold they are so low.
Range: 6825 to (6925) / 6975
Activity: Average
Type: On balance just fractionally bearish
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The catalyst behind the markets interstellar journey is the DJX and as such has been governed by other factors than the ratios for quite a while now.
The Feb expiry is different from the Jan one, although the sudden appearance of B1 shows that the same situation is present, but we will say it is nowhere near the colossal magnitude we saw last trip, though it is, however, still big enough to jump straight to our highest level.
The difference is our delta ratio, which is standing at 99.9%, and this shows that there are as many bears out there as there are bulls.
However, as you can see from all the Y ratio below the zone this comes across as something more akin to insurance whereas we all know what tends to happen with a singular large bullish position.
Range: 26100 to 26400 or 26400 to 26600
Activity: Average
Type: Neutral
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Posted in Uncategorized
January 26th, 2018 by Richard
FTSE and DAX Ratio Table 26th Jan 2018
Well we hope you saw our last post in the FTSE as we left it having got as high as 7791.83 and in the Feb expiry R3 was then at 7800.
The Feb expiry is now a week old and although the zone is up slightly (and R3 is now at 7850) we are unsurprised to see the market now back safely within it.
The only question now is whether it will be happy staying inside its zone for the remaining 3 weeks of this expiry, or get aggressive again, and if so, in which direction?
Yesterday’s low was strike 1 of the bottom zone boundary and this expiry high (Tue @ 7745.22) was a test of R1, and all the other levels you need are in the table above.
Range: 7600 to 7700
Activity: Average
Type: Neutral
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We left the DAX with it performing a NZ bandwidth test on the actual rollover having bounced between the two R1 levels, covering an impressive 700-point range, 1400 there and back, completing the perfect expiry.
The high in this expiry was 13596, also on Tue, which is very close to the R1 level here, even if it actually wasn’t 13600 on the day.
Today it is back safely inside its zone, just like London, the trouble is the other corresponding R level is still a very long way away, and in-between just the minimal Y1 to make matters worse.
The good news is that the jump up at that level is quite the proverbial ratio mountain, but exactly what we say in the FTSE applies here, even down to strike 1 on the bottom boundary, with the low yesterday of 13222.
Range: 13250 to 13350
Activity: Average
Type: Neutral
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Posted in Uncategorized
January 18th, 2018 by Richard
DAX Jan to Feb Rollover 18th Jan 2018
You just can’t get better than that in the DAX, a NZ Bandwidth test on the actual rollover.
The upper boundary is 13250 and the high was 13251, and this was after the open at 13200, dead centre, and the lower boundary s 13150 and the low was 13137.
Perfect.
Range: 13150 to 13250
Activity: Moderate
Type: On balance only just not bullish
And there is the move up in the Feb NZ to sync with Jan’s.
Otherwise the ratios below the zone are unchanged.
Above the zone both Y2 and R1 come in slightly and we see R2 for the first time.
Still a day or so to go so it needs to accelerate the ratio development above the zone, but this is not something new, but still plenty of Y ratio around to give this expiry greater potential than the last one.
Range: 13150 to 13250
Activity: Very good
Type: On balance only just bullish
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