Category: Uncategorized
December 20th, 2017 by Richard
Pragmatism seems to have set in on the SPX as with equities going a bit tax mad the derivatives have had to adjust quite quickly.
The upshot of this is the Y ratio bandwidth continues to expand but it seems a bit of a line in the sand has been drawn at 2705.
As one can see from the table above it jumps from Y2 straight to R2 and as these are exponential that is a big leap, which on an ordinary intermediary expiry would have us calling that the top.
However, not only is there this tax issue but also the potential mayhem with truncated markets over the holiday period so we are not that convinced, but it might be well worth noting that the nearest R ratio in the other direction is a whopping 160-points away.
Range: 2605 to 2705
Activity Very good
Type: On balance only just bearish
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It seems to have calmed down in the NDX as well and with the market closing near to yesterday’s Y2 level it gave it a fighting chance.
As it happens Y2 has slipped so that the fall combined with this weakness means the market is back inside the Y1 ratio bandwidth.
However, there is no disguising that Y2 has been beaten and that is all there is still, so as things stand this index won’t help anybody’s case in either direction.
Range: 6325 to 6525
Activity: Good
Type: On balance only just bearish
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Well that couldn’t be more crystal for the DJX as with the loss of Y2 above the zone it is now just Y or B, so it couldn’t be easier to remember.
In this mood earlier on in the year on bad days it was known to test the upper boundary of its NZ, but it never closed inside let alone below, and used the support generated by that to reinvigorate the bulls.
Range: 24500 to 24900
Activity: Poor
Type: On balance only just bearish
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Posted in Uncategorized
December 20th, 2017 by Richard
It was certainly a better effort in the FTSE as it took on R1 again and if one knew what they were battling at 7550 then the effort was all too apparent.
For most of the morning they held the market 5-points above R1 apart from the spike that resulted in the high of 7563.49, and then again in the afternoon they twice rallied back up to R1, and held for there for several bars, but in the end just couldn’t manage it.
The main change is the loss of Y2 above the zone which leaves this market in a 100-point wide Y1 ratio bandwidth so they need to grow a pair or it will most probably be straight back to the NZ.
Range: 7450 to 7550 or 7550 to 7600
Activity: Average
Type: Bearish
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It seems like the DAX may be a bit more sensitive than perhaps we first thought.
Basically, after Monday’s explosion out of the gates we thought yesterday that it would breeze past the newly formed Y2 at 13350 but as the high of 13338 testifies it obviously couldn’t.
The fact it has slipped today to 13400 is also indicative of just how close to the threshold it was, which also indicates a higher degree of sensitivity.
Nevertheless, it still has a huge amount of Y1 ratio to play around in so we are sure it won’t be boring.
Range: 13050 to 13400 / 13450
Activity: Very good
Type: Neutral
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Posted in Uncategorized
December 19th, 2017 by Richard
If one is a bull then you couldn’t paint a better picture in the SPX, although this is truly unprecedented, as this degree of exuberance is normally associated with the last week of an expiry not the first few days.
Yesterday it opened at 2685.92, up 10.11-points, which put it above R1 at 2685 from the very start, and as this was also the low it really was motoring.
Today R1 is back above the market, we will see if this still remains the case after the open, but with this and Y2 slipping to 2680 should give one a feel for how weak the ratios are above the zone.
Which in itself has been left back in the changing rooms, so movement to come here shortly as well no doubt.
Range: 2605 to 2695
Activity Average
Type: On balance only just bearish
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Brutally aggressive from the start for the NDX is the only way we can describe it.
The open was up 38.57-points at 6504.89 which put it above Y2 at 6475, and where it remains today.
The only saving grace is if this market is in an uncomfortable level of ratio the range, based on the open, would be 25-points.
In this instance 6500 to 6525, and as it happens the low was 6495.18 and the high was 6522.70, so there is a degree of normality in there somewhere.
Range: 6475 to ……
Activity: Moderate
Type: Bullish
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Strike 1 for the DJX.
When we first highlighted the anomaly in this expiry, back on the 11th December, we mentioned what the obvious target would be.
Admittedly we didn’t think it would hit it on day 1 of the expiry, the high being 24876 yesterday, but also don’t forget the previous day’s close (from our original mention) was 24329 so it still had almost 600-points to go, or 2.5%.
Range: 24500 to 24900
Activity: Good
Type: On balance bullish
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Posted in Uncategorized
December 18th, 2017 by Richard
SPX , NDX & DJX Ratio Table 18th Dec 2017
We think it would be fair to say in the SPX the start of the Jan expiry is bit of a scramble.
It was very nicely proportioned but what has upset the natural development here and hence a conventional transmission was the total lack of movement in the Dec NZ.
Here the NZ was already higher, at 2595-2605, but already 2645-2655 as well as 2670-2680 are making moves, hence it’s bit of a scramble as so very early on the ratios are tumbling above the already surpassed zone.
This of course inhibits this expiries evolution and as one can see there is plainly more depth of ratio below the zone than above, and what’s happening only serves to make this more pronounced.
All very bullish but also very forced and as it is not a more normal and natural progression it leaves a dearth of ratio in its wake, which can be very dangerous.
Range: 2605 to 2685
Activity Good
Type: On balance only just bearish
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Another high level of activity in the NDX but as we have been saying the bar is so low just turning up gets it excited.
The high on Friday was 6470.92 which is coincidentally close enough to call a test of Y2 here, but more importantly the close wasn’t far away which brings opening gaps into play.
It wouldn’t take much to get this into Y2 from day 1 and there is so little ratio around there just isn’t anything higher so it could be game over before it even starts.
Range: 6325 to 6475 or 6475 to ……
Activity: Very strong
Type: On balance bullish
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Virtually no change in the DJX today or from what we were saying in the rollover.
No changes in any of the ratios today which is hardly surprising as activity was so low, and on the first day actually makes this worse.
How 24500-24700 is not the new NZ we don’t know, but it will be very soon we feel.
However, the elephant in the room remains that colossal position that gives rise to B1, so that’s the target and where the trench warfare will be fought we believe.
Range: 24500 to 24900
Activity: Only just registered
Type: Bullish
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Posted in Uncategorized
December 18th, 2017 by Richard
FTSE & DAX Ratio Table 18th Dec 2017
It was a very aggressive end to the Dec expiry in the FTSE although this is far from unusual and this was also quite tame by comparisons.
Nevertheless, it means Jan starts outside its NZ, even though we are talking just Y1 it is still a bold start.
The first test therefore will be to stay above as the last few expiries have been all about being in their zone for the first three week.
Otherwise it will just be a question of the level of aggressiveness and as much of when, as this expiry has two shortened weeks and correspondingly thin markets which can cloud the matter and make for big moves.
Range: 7450 to 7550
Activity: Strong
Type: On balance bearish
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The DAX is quite used to being outside its zone, below it is where it doesn’t like to go currently.
Although not as dramatic as Dec this expiry also has a lot less ratio below the zone, and in fact overall it has a lot less ratio.
So, the downside risk remains but the big difference this trip is that immediately above the zone there is 400-points of Y1 ratio bandwidth, so it has plenty of room to play in.
However, it does skip Y2 and then the R ratios appear and climb quite quickly, so again it will be just a question of aggressiveness coupled with when it becomes so in this holiday infused expiry.
Range: 13050 to 13450
Activity: Average
Type: On balance just fractionally bullish
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Posted in Uncategorized
December 15th, 2017 by Richard
This is the risk you take when, as in the FTSE, it takes for granted the NZ will move, acts accordingly, and then it doesn’t.
The assumed NZ was meant to be 7450-7550 and the fact the market closed just below the bottom boundary is significant.
Especially as one can see the zone has rather stubbornly stayed put so it will be an interesting battle today for the expiry.
To get back into the existing zone means giving up as much again today as yesterday, but these expiries can be rather transient blips.
Range: 7400 to 7550
Activity: Moderate
Type: Bearish
Whatever fun and games they are having in Dec here in Jan the close just means it is now back within its zone.
It might be worthwhile bearing in mind on this last day for Dec that the common ground covered by both NZ’s is a rather narrow 7350 to 7400.
Of course, this expiry really doesn’t gain full control until Monday but partly why we monitor this is because of the opportunities it may provide, although in this instance, as it stands, being back in its zone narrows down the choice.
Range: 7350 to 7450 or 7450 to 7550
Activity: Strong
Type: On balance only just bearish
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It seems like the NZ is having a bit more influence in the DAX then perhaps they would like.
To be fair we were more than happy to see it Y1 for the rollover and we extend that to include the expiry but with the low yesterday of 13011 we thought it might actually end up expiring in its NZ.
It rallied at the last minute to finish just above its upper boundary, but it may well make for a grandstand finish to this expiry yet.
Range: 12950 to 13050 or 13050 to 13250
Activity: Moderate
Type: On balance only just fractionally not bullish
At least activity has picked up in Jan but really where the market finishes today will dictate the sort of expiry we may be in for this trip.
Of course, this is all about the NZ and whether or not it will end up inside it.
Otherwise, despite the level of activity, there have been no changes to any of the ratios, and they all still appear rather undernourished.
Range: 12950 to 13050 or 13050 to 13450
Activity: Good
Type: On balance bullish
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Posted in Uncategorized
December 14th, 2017 by Richard
SPX Dec to Jan Rollover 14th Dec 2017
Same again today in the SPX, as R3 has slipped to 2680 so now 2675 replaces the role that 2670 provided yesterday, which was actually quite effective as the high was 2671.88.
Despite this march forward forcing R3 into a staged retreat we are at the tail end of the expiry and it shouldn’t be acting this aggressively anyway, so although the ratios continue to fall above the zone these are high levels to be taking on even at 2670 with just hours to go.
What we said for this expiry back on 20th Nov “we suspect this time we will see a test of R2 at 2605, and hopefully the NZ will again limit the downside” was an underestimation, although we took pains to point out that Thanksgiving is this market “Santa rally”.
It came from its NZ so no problem there, hit R2 just after the holidays, then went on to test R3 and then DR and basically since then it has headbutted R3 all the way up.
We are not troubled by this, although it did get far punchier than we thought, but we did fear this and of course this tax deal ignited it all again and there is no way we could account for the timing of that.
Range: 2630 to 2680
Activity: Moderate
Type: On balance definitely bearish
It was a pretty tame rollover for Jan as the level of activity produced is only noteworthy because it is not higher.
Furthermore, despite it being not particularly biased, the change in the ratios is more akin to it being all one direction.
The ratios are firmer below the zone, but the only move is Y2 climbing up within the Y ratio bandwidth which actually stays the same.
However, above the zone R1 drop significantly to 2680, making the Y ratio bandwidth above the zone alone being 75-points wide.
The main ramification of this is that the NZ will very probably move to either 2620-2630 or even 2645-2655, this is all good.
The real problem is it is being sucked higher rather than evolving higher, and this means the ratios underneath are not having time to fill in, so although it is a rising zone, which equals a bull market, there is a total vacancy of support underneath it.
Range: 2605 to 2680
Activity: Good
Type: On balance only just bearish
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It was a good rollover for the NDX, and not just because it was in its NZ.
The high was 6416.83 and the low was 6388.41 which means it was just 9-points shy of its upper boundary and just 13-points shy of its lower one, and of course its zone is 50-points wide.
So, plenty of movement and all within its NZ, and whether or not they were tests, making that a bandwidth test, is immaterial as it has free rein now in the grey area anyway post a successful rollover.
This expiry has been all about the NZ, initially because it was so far below the market, but it did move as expected and otherwise this market followed Y2.
Range: 6375 to 6425
Activity: Very poor
Type: On balance only just bearish
Well we at least saw some activity, as one would expect on the rollover, and the level below is very flattering to say the least.
Of course, all activity is welcome but the bar is so very low a little goes a very long way, so it is certainly not something to get excited about.
Having said that at least Y2 above the zone comes in to 6575, so it at least did have some effect.
Range: 6325 to 6575
Activity: Strong
Type: On balance bullish
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The DJX acted exactly as suspected, the open was up 21-points and the low was 24518 both of which were above DR at 24500.
So, at least it is being consistent.
However, at the end of the day it is in DR ratio on the rollover with the expiry looming and no changes, in fact activity was only just above the “only just registered” category.
Our forecast took into consideration which “hat” it was going to wear, and if the tax bonanza one all bets were off so no foul no penalty.
However, it is perhaps worth noting that the close at the end of the last expiry was 23358 so it is up a cool 1227-points this expiry and it is in a 21% world of its own.
Range: 24500 to ……
Activity: Very poor
Type: Bearish
It wasn’t a bad effort for Jan on the rollover, and due to the presence of B1, which has raised the bar for this expiry, it probably would have been a couple of rungs up the ladder in a “normal” Jan expiry.
There is absolutely no point in ignoring the elephant in the room which is B1 and the fact that it is holiday season soon and anything else we add is superfluous.
Range: 24500 to 24800
Activity: Good
Type: Neutral
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Posted in Uncategorized
December 14th, 2017 by Richard
The FTSE acted all day as if 7500 was the epicentre of the NZ, trading the entire day within an 18-point range, rather eerily.
Of course, the actual one has yet to move but to all intents and purposes we don’t think there can be any doubt where its spiritual home is, which is easier to understand as it was so predictable.
Today we see the appearance of Y2 and whether or not it makes it by the expiry really doesn’t matter as we think by now everyone has got the picture, which is why our trading range is what it is.
Range: 7450 to 7550
Activity: Poor
Type: Bearish
A big shake up in the Jan expiry as well and although the zone here hasn’t moved it is looking rather likely to dovetail with Dec.
The ratios are very much weaker above the current zone and stronger below it which as one can see has switched the Y ratios around.
However, running this forward, we would not be at all surprised to see the NZ here ending up at 7450-7550, this could also mean the upper boundary will be R ratio with just Y on the lower one.
Range: 7450 to 7550
Activity: Very strong
Type: Bearish
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DAX Dec to Jan Rollover 14th Dec 2017
It was a relatively quiet day for the DAX as well, for them just a 70-point range.
However, we did say we would expect the NZ to have an influence but all things considered being in Y1 on the rollover is not too bad, so a mild down day just about covers that.
The only ratio to change is R2 above the zone slips a bit and activity has tailed off as well.
Difficult to tell if this rollover was satisfactory or not, we think so, therefore it should enter this grey area with a license to go wild.
Range: 13050 to 13250
Activity: Very poor
Type: On balance fractionally not bearish
Not really as much activity in Jan as we would like to see at this stage, but it is a start and hopefully something to build on.
The only ratio to change is R2 below the zone, which is still a very long way away, and just to emphasise the point it is currently the last line of support as well.
No changes above the zone, but it too doesn’t fare much better, only getting as high as R3, but the big difference here is that these levels are not that far away from where the market is currently.
Range: 13050 to 13450
Activity: Moderate
Type: On balance just bullish
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Posted in Uncategorized
December 13th, 2017 by Richard
2665 in the SPX did play a significant role yesterday but in the end it did take R3 at 2670 to slap a bit of sense back into this market as the high was 2669.72.
As one can see R3 has slipped a bit again today so 2670 now replaces the role that 2665 played yesterday.
However, the bigger picture is that this is the rollover, so while the market is in an equity led tax induced euphoria the grim reality for derivative players will come crashing home now.
Range: 2630 to 2675
Activity: Poor
Type: Neutral
Jan today is intriguing as the moves look rather serious and yet it doesn’t really impact until tomorrow onwards.
However, it is activity that caught our eye as that is acceptable and being “neutral” is even either side as well as being not “not” shows it is building, again as it should be.
The intriguing part comes from how the ratios have moved, which is they haven’t below the zone but above R1 slips to 2665.
A very small movement but the end result is the market is back in the Y ratios here, which is significant.
On top of which R3 comes in quite significantly, which shows what bullish activity there was is of a very optimistic variety.
Range: 2605 to 2665 or 2665 to 2705
Activity: Average
Type: Neutral
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NDX Dec to Jan Rollover 13th Dec 2017
As suspected in the NDX the NZ has returned to 6375-6425 which leaves this index in it for the rollover.
In fact, yesterday the low was 6371.69 which was very probably a test of the bottom boundary as it obviously changed quite early on in the day.
The good news about finishing in the zone on the rollover is that resets the account as it were and now this index is free to enjoy the grey area (Thu & Fri) free from any hangover.
Range: 6375 to 6425
Activity: Poor
Type: On balance only just bearish
No change in Jan’s zone but there is still plenty of time.
The issue here is activity, and as it didn’t register yesterday we hoped to see some today and again it was very disappointing for this stage in the expiry.
The base line is so low it is basically the polar opposite of Dec so achieving moderate is really not saying very much at all.
Of course, with such low levels it is hardly surprising there is still so much Y1 around, but at least above the zone it has come in a bit although it is still so far away one requires binoculars.
Range: 6325 to 6675
Activity: Moderate
Type: Neutral
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It was a big day for the DJX and it looks like today will be as well as they tried very hard to break above DR getting as high as 24552.
But as everyone knows we don’t believe in coincidence and yet the close was right on the level, so it looks like the open may be brought to bear.
Our comments in the SPX apply here just as much, the only difference is this index has been doing it all year.
It does bring back memories though of when there was a trading floor and if it was quiet and the market was in this mood it used to be fun to shout something random to see if it would kick off the bull stampede again, frenzy them up a bit more as it were.
Range: 23600 to 24500 or 24500 to ……
Activity: Very poor
Type: Neutral
It is a very close call in Jan as it is a twenty-four-thousand-point index and it is just 4-points above 24500, but we have decided to call it above its zone as evidently that is their intention.
Nevertheless, this is significant as this now takes this expiry north of its zone.
The only change is Y2 now starts at 24700, but if they can take on DR then Y2 is not even a speedbump.
Range: 24300 to 24500 or 24500 to 24700
Activity: Average
Type: On balance bullish
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Posted in Uncategorized
December 13th, 2017 by Richard
It is the strangest thing as the market in the FTSE is doing everything according to our forecast back on the 20th November.
This is not strange but the fact the ratios are not even acknowledging this move is.
We thought they would try to get the NZ to 7450-7550 (nb 7500 is dead centre) for this exact moment in time, even nailing when they would start the attempt, but as you can see the ratios just haven’t budged.
If everyone is acting like the this for the rollover then the expiry on Friday will be interesting.
Range: 7400 to 7550
Activity: Moderate
Type: Bearish
Rather a mixed bag in Jan but considering how it has shaped up probably well worth noting.
No change below the zone.
R1 drops to 7550, which means Y2 now extends for 100-points, and R2 firms, or comes in, to 7600.
Basically, it looks like the battle lines have just been drawn for this expiry.
Range: 7450 to 7550
Activity: Very good
Type: Bullish
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The introduction of all that Y1 in the DAX above the NZ evidently affected the market as it managed a decent day enjoying its freedom.
Of course, it is the rollover today so we would fully expect the zone, even though it is now quite a way below this market to have an influence, but as we said “being in Y1 is not too bad on the rollover”.
No changes to any of the ratios and although activity remains at the same decent level today it is of an entirely different nature, being money coming off the table.
Range: 13050 to 13250
Activity: Moderate
Type: On balance just not bullish
Judging by how much the DAX enjoyed the freedom afforded it by the introduction of Y1 in Dec just imagine when Jan takes over and it finds itself in a 400-point wide bandwidth of it.
Still early days of course but when this expiry starts getting populated it is easier to build on, or add to, existing levels so it is perhaps worth noting that there is no Y2 above the zone then the R ratios climb quite quickly.
Range: 13050 to 13450
Activity: Poor
Type: Bullish
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Posted in Uncategorized
