Category: Uncategorized
November 21st, 2017 by Richard
It was a rather timid start to the Dec expiry for the FTSE only managing a 47-point daily range.
However, this was rather significant as it tested the upper boundary of its NZ for the first time, getting as high as 7397.39.
The problem now is that it is no longer Y ratio having gone up a notch to R1.
In fact, 7550 becomes DR so we lose R3 altogether and just goes to highlight the wall of ratio waiting there as that is now quite a leap up.
But first it still has to break out of its zone which is no given, but at least it has plenty of time on its side.
Range: 7300 to 7400
Activity: Moderate
Type: On balance just fractionally bearish
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The DAX was the opposite of London and has started very aggressively, or perhaps wants to give that impression at least.
First thing it went down to the bottom boundary of its NZ, getting as low as 12926, so it was a very solid test and the success of that holding evidently encouraged the bulls enough to take on the upper boundary.
It did get as high as 13085 but was obviously struggling and the real time close took it back to 13063 with the auction knocking off the other 5-points.
Very close call just 8-points on a thirteen-thousand-point index but we have placed it above its zone, but as one can see this expiry there is plenty of ratio above the zone to make them really have to work for it if they want it.
Range: 12950 to 13050 or 13050 to 13250
Activity: Moderate
Type: Neutral
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Posted in Uncategorized
November 20th, 2017 by Richard
SPX , NDX and DJX Ratio Table 20th Nov 2017
The Dec expiry is difficult to call just by the very nature of its size, but for the SPX there is also the not inconsiderable fact of Thanksgiving.
This is in effect the US’s “Santa rally” and then on Black Friday it is normally a warm welcome back all the time compounded by very thin markets as everyone is away for the holidays.
The fact that the SPX is starting inside its zone is good, and at least satisfies the requirement to visit it at least once per expiry.
Also, it is good, albeit unusual, that there is still Y ratio either side of the zone, and in fact 2445-2555 can’t yet be ruled out as it may resume being the zone.
So, there is a lot to consider but because of the time of year and because of the increase in overall activity generated by Dec we suspect this time we will see a test of R2 at 2605, and hopefully the NZ will again limit the downside, but please take note that the corresponding level of R2 does not appear until 2495.
Range: 2570 to 2580 or 2580 to 2590
Activity Moderate
Type: On balance just fractionally bearish
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The NDX last trip was where it was all happening so we have to assume more of the same.
Therefore, Y2 at 6325 is going to be the first test for this index, although from its close then the open may well play a significant role here as well.
So, we better mention the step-up level which is 6375, as if it starts off all aggressive then what little ratio there is above the zone is in for a torrid time.
However, all this does is hide the elephant in the room which is the NZ down at 5975-6025.
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So, for us the big question is when their zone will move up, not forgetting how compliant this index was on the rollover in Nov, and hopefully it will be soon as all 3 have precious little ratio underneath them, but at least the other two have their NZ’s as a safety net not too far below.
Range: 6025 to 6325 or 6325 to (6375) / 6425
Activity: Average
Type: On balance only just bullish
If we thought the other two were difficult the DJX is even worse, and if only because we don’t know which hat it is going to wear.
In the November expiry just gone the NZ was 23400-23600 and the settlement price for this index was 23403, so it hung in there by the proverbial skin of its teeth.
Tremendous effort, but does this now mean it is back in the fold?
If it is going to start acting rationally again then it will find itself in a 500-point R1 ratio bandwidth courtesy of the Dec NZ starting at 22900-23100.
This should be “uncomfortable” for it so 100-point trading ranges depending on the open, with the zone and R3 bookmarking the ends.
So, nothing on one side and a scary amount the other, but thin markets, so we can easily see a test of 23600 but it will be a very nervous time when or if the market tests its NZ and whether or not that will hold.
Range: 23100 to 23600
Activity: Poor
Type: Bullish
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Posted in Uncategorized
November 20th, 2017 by Richard
FTSE and DAX Ratio Table 20th Nov 2017
Those that predict don’t know and those that know don’t predict.
Is an old saying made for a very good reason and this expiry we would like to take its advice here in the FTSE.
Any expiry is extremely difficult to call and the mighty Dec even more so and when you get a ratio configuration like this is it just headache inducing.
We would like to say it will stay inside its zone, as it has been doing more or less for the last few expiries.
But therein lies the issue as we believe at some stage, probably towards this expiries rollover, 7450-7550 will have another go at being the NZ, which would change everything entirely.
However, if it grows a pair then the overall trading range would be 7150 up to 7600/7650, but we suspect it will just be 7300 up to 7600/7650.
Range: 7300 to 7400
Activity: Poor
Type: Bearish
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Looking at the DAX and we could repeat the first three paragraphs from above.
The change in the NZ matches where November’s ended and also with the market at that point this would not have hurt either.
Basically, the ratio configuration here is horrible and as we saw last expiry this index has been taking on R2, so this starts at 13350 and thereafter the ratio climbs orderly every 200-points, and these levels are exponential don’t forget.
The real issue is all that Y ratio below the zone with the R ratios not even starting until 12250, so that is easily a 1000-point trading range for this expiry.
The problem is if it does take fright, as that R2 below the zone has only just appeared, and that is all there is as a last line of defence, which is asking an awful lot of it.
Hopefully it will continue as before and just go from the NZ upwards, but we think if the DJX has returned to normality and their NZ doesn’t shift this index might not be able to afford the luxury of a bull market.
Therefore, we will link this forecast to our US ones but suffice it to say this is a very dangerous situation to be in if you are a bull.
Range: 12950 to 13050
Activity: Average
Type: On balance bullish
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Posted in Uncategorized
November 17th, 2017 by Richard
Well we certainly got the breakout in the NDX as expected after their NZ bandwidth test on rollover Wednesday.
The fact it was so explosive leads us to believe that the market was indeed being held back in its zone for the rollover and once that was done just like an elastic band it snapped back.
We did say in our forecast this was the hardest to call and especially so as there was so little ratio present anyway, in fact so much so we were talking about the step-up levels from the very start.
That first Friday saw this index put on 175.60-points (no ratio of course) and from then on it was a war of attrition with Y2 and above until the zone came a calling.
In the end we were right to recognise the situation and we were pleased by the finish but this index was definitely where the aggression was.
Range: 6275 to 6425
Activity: Good
Type: Bearish
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The beauty of having a proper rollover like November in the NDX is that it releases the grey area from any unfinished business and so it can go as mad as it likes.
The reason that this is a good thing is that it not only lets the market “let off steam” but can very often provide opportunities in the following expiry.
Or to put it another way, not leave it wallowing in an ocean of no ratio and if there is some dynamic delta hedging from the start it engages everyone, although having just said that activity has literally gone from feast to famine.
Range: 6025 to 6325 or 6325 to 6475
Activity: Only just registered
Type: Bullish
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Posted in Uncategorized
November 17th, 2017 by Richard
Of course, being the expiry today it is more to do with the EDSP than the actual close but the significance of the DJX getting back into its NZ for now is not lost on us.
Due to the bubble this index has been in this year we have not been making any forecast, just expecting it to continue pushing the ratio boundaries as it marched onwards.
So, as it didn’t actually do that this time some may argue that we missed, but as it became sensitive to the ratios again it was Y2 at 23500 towards the end of the first week beginning of the second that stands out for us, especially considering where it is now finishing.
Range: 23400 to 23600
Activity: Moderate
Type: Bearish
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The main thing to watch is the NZ in December and any indication that it might actually move.
This is because if this index does return to normal then the zone has a very important role to play, a role that it has been blatantly obvious that this index has not been concerned with for the previous ten months.
Also, one swallow does not a summer make, and although Oct and Nov have been moving towards rationality we are never going to be able to shrug off a degree of scepticism.
Range: 23100 to 23600
Activity: Very poor
Type: Bearish
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Posted in Uncategorized
November 17th, 2017 by Richard
Blowing our own trumpet in the SPX this was our forecast for the November expiry back on the 23rd October “However, there is no doubt we are in a bull market so in all likelihood we should just see the upper half of the range, so 2545 up to 2595”.
The low came first and was 2544.04 followed by the high at 2597.02.
Nice recovery yesterday but it can always get a bit fruity in the grey area, which if it does normally sets up opportunities for the next expiry.
Even so, and as we often say we don’t believe in coincidences, so seeing the close right on Y2 certainly fits that bill and shows there is still some influence taking place.
Range: 2575 to 2585 or 2585 to 2605
Activity: Moderate
Type: On balance bearish
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There we go, at last the NZ changes here in Dec to match November’s and its only taken all week.
Now it has moved it means that everything can now kick on and hopefully start developing.
Therefore, please do not read too much into all the Y ratio now below the zone as a lot of that is what was already there it’s just the zone has leapfrogged it.
However, even as things now stand, it is looking like it is going to be a cracking expiry, one that has Thanksgiving embedded into it of course.
Range: 2580 to 2590
Activity: Moderate
Type: Neutral
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Posted in Uncategorized
November 17th, 2017 by Richard
So, it is goodbye to November today and right at the end the NZ has moved to 7350-7450 confirming our suspicions.
This also makes for a very neat and appropriate end to this expiry, namely finishing in its NZ.
At the very start of this expiry our forecast was “in its NZ at first and then decide” and indeed it stayed within 7450 to 7550 right up to the end of the second week.
We then saw 3 days above its zone, but not by more than 12-points, back inside and down to the other boundary before that gave way last Friday.
This rollover week was compounded by Dec and the change we eventually saw today, so all in all we are more than happy with our forecast and subsequent calls.
Range: 7350 to 7450
Activity: Poor
Type: Bullish
Just a trading day to go before this expiry becomes the alpha and it has already been apparent that it has been flexing its muscles.
Our forecast will follow on Monday but please remember this is the biggest of the big and as such it can get very excitable.
In fact, because there is so much more activity around, which includes equity, then people need to find a label for it and so be very wary of misdiagnosis and incorrect attribution.
Range: 7300 to 7400
Activity: Poor
Type: Bearish
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The NZ has changed in the DAX as well, back to where it was for the first three weeks of this expiry, but it does explain why the market stayed around 13050 all day yesterday, as this was the common denominator between the two.
Back on the 23rd October we forecast this index trading between the two R1 levels, 12650 to 13250.
In the end it never managed to break down below the bottom boundary of its NZ 12950, getting as low as 12931 but closing at 12953.
By that Friday it had hit R1, the high on the 27th being 13249, which put R2 firmly in its sights.
R2 was at 13400 at the start of this expiry and the market exceeded that the second week, the expiry high being 13525 on the 7th Nov and coincidentally with the collapsing ratio R1 was then at 13550.
So, the market was chasing a moving R ratio target but ultimately it finished back in the zone, so got the end right but the high was only in real time not as forecast.
Range: 12950 to 13050 or 13050 to 13450
Activity: Outstanding
Type: Bullish
Even for the mighty Dec expiry the activity here, although decent, was nowhere near what we saw in Nov where they certainly saved the best for last.
Which is good as hopefully this interest will translate across today or early next week because this expiry certainly needs it still.
The only change is R3 comes in a bit and still no indication that the NZ wants to move.
Range: 12850 to 13250
Activity: Moderate
Type: Neutral
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Posted in Uncategorized
November 16th, 2017 by Richard
NDX Nov to Dec Rollover 16th Nov 2017
Yesterday we called the NDX a spoil-sport as it was the only one that closed outside its zone on Tuesday, but in wonderful hindsight, they actually played the perfect hand.
So, respect where it is due as they got it so right.
Their open was down 32.37-points at 6261.27 which significantly was right in their zone.
The low was 6227.99 and the high was 6276.80 and as one can see from the above table the NZ is 6225 to 6275 so it was definitely in it for the rollover, even closing very near the centre.
Actually, that also comprises a NZ bandwidth test so expect a breakout today.
Range: 6225 to 6275
Activity: Moderate
Type: On balance bullish
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The big news in Dec is the level of activity and it really doesn’t get much higher than this.
In fact, had this happened just after the 2 weeks mark we would have said the big boys are playing, but at this point in the expiry it could just be insurance, albeit an awful lot of it, but it is Dec after all.
The only changes are that Y2 above the zone slips, which is not good as it is rather bald there anyway, and we see the appearance of R3 below the zone.
Not that it never is but this expiry is already looking exciting.
Range: 6025 to 6325
Activity: Off the scale
Type: Bearish
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Posted in Uncategorized
November 16th, 2017 by Richard
All we can say was that it was a very valiant effort in the DJX yesterday.
Having opened down 75-points it was just above Y2, which had only just moved there, and the combination of these two facts we suspect were just not enough.
Furthermore, it was very probably in shock and actually didn’t know what to do.
It has been in a bubble for so long now that we can’t remember when this index was last in bear territory, and our guess is at least 12 months ago, which is stark staring banana’s.
We didn’t make any forecast for this index due to these very reasons but suffice it to say it is of major significance if normality has returned here now.
Range: 21800 to 23400
Activity: Moderate
Type: On balance only just not bearish
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The next two days are going to be critical now for the DJX as the NZ here is giving no indication whatsoever of budging.
Therefore, we will be keeping a very close eye on activity and considering it was the rollover the level achieved today is okay but nothing special.
Another scary thought is we may now have to consider making a forecast for this expiry now.
Range: 23100 to 23600
Activity: Moderate
Type: Bullish
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Posted in Uncategorized
November 16th, 2017 by Richard
Well it certainly turned out to be a rumble for the SPX, best laid plans and all that.
The open was down 9.42-points at 2569.45 and it fought back to get inside its zone, getting as high as 2572.84, but obviously couldn’t hold onto it.
However, at the end of the day, we are talking just 5-points, or 0.20%, after 4 weeks of excitement and that is only because of a last-minute surprise, so all in all we are more than happy to take that.
The only slight disappointment for this expiry was that we never got a test of 2605 as it bounced off the then bottom boundary of its zone 2545 (low 2544.04) but only got as high as 2597.02 before hitting its NZ for the rollover Wednesday.
Range: 2535 to 2570 or 2570 to 2580
Activity: Average
Type: On balance only just bearish
What a little tease Dec is turning out to be with 2575 losing over 90% of its value and yet it still won’t change.
However, in our book, that is as good as so probably best to assume the NZ here is in fact the same as Nov’s now.
The main aspect is the level of activity and if this were any other expiry apart from the massive Dec (other triples included) then it would be “off the scale” so very surprising that there haven’t been more changes in the ratios, but certainly shaping up to be another cracker.
Range: 2555 to 2590
Activity: Very good
Type: On balance bearish
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