Category: Uncategorized
October 27th, 2017 by Richard
FTSE and DAX Ratio Table 27th Oct 2017
It has certainly been an explosive start to this expiry for the FTSE (and the others) very much in contrast to the start of the last expiry.
Yesterday it opened strongly but then went back to 7440.11 so it certainly had another strong test of the bottom boundary, but as ever it is always difficult in this index as when the open = the close it can be difficult to discern.
The ratios are stronger across the board but much more so above the zone, and now with no Y ratio left there are but 3 levels of ratio with 7650 emerging as a line in the sand for this index this expiry.
Range: 7350 to 7450 or 7450 to 7550
Activity: Average
Type: On balance bullish
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Now that is how you do a breakout after a NZ bandwidth test.
Although, like London, having opened up just a couple of points first thing the DAX did was to have another test of the bottom boundary, getting as low as 12940, before taking off.
It did hit the upper boundary and pulled back but managed to get a second wind and just blasted through, as we would expect, and only paused for thought at Y2, getting as high as 13144.
It has been very quiet for a long time so this is understandable, however the real test will come at 13250 as R1 is the ratio level it struggled with last expiry, but if it gets aggressive there is only one more level above that.
Range: 13050 to 13150 or 13150 to 13250
Activity: Average
Type: Neutral
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Posted in Uncategorized
October 26th, 2017 by Richard
Wednesday could in fact turn out to be the deciding day in this expiry for the SPX.
As so far it has been acting totally rationally after hitting Y2 at 2580 on Monday it has come back to feel for support at the other end, which in this case would be the upper boundary of its NZ at 2555.
Had this been the only index in the world we suspect this would have sufficed but with the FTSE, DAX and NDX all breaking below their respective lower boundaries it is not surprising this level here didn’t hold.
The next support level then would be the bottom boundary, and the low was 2544.04, so spot on, and the fact this index not only recovered but also finished back above its zone is very bullish.
Range: 2545 to 2555 or 2555 to 2595
Activity Average
Type: On balance bearish
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It sounds like we are having our cake and eating it in the NDX but despite this index finishing back within its NZ we are also happy to claim the breakout.
Basically, the NDX broke its bottom boundary first, hence the breakout (NB this was happening at the same time in real time), which then took both the FTSE and the DAX below their bottom boundaries and the SPX below their upper boundary.
If it wasn’t for the SPX getting support on their bottom boundary we don’t think any of the other 3 indices would have rallied, at least the exact timing of the moves suggests so.
It is very positive this index regained their zone but the weakness in the ratios below also suggests it is not out of the woods yet.
Range: 5975 to 6050 or 6050 to 6100
Activity: Strong
Type: On balance bearish
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Wow, that certainly rattled the DJX’s cage considerably.
We suspect it has been a long time since they saw that amount of red and probably more importantly and as we said yesterday that as much as there is no ratio to stop this market going up so there is none to stop it going down, and it’s this realisation that again leads us to suspect an iota of normality is creeping back into this index.
Big changes in the ratios above the zone and so now Y2 doesn’t even start until 23400 so that now leaves a truly enormous Y1 ratio bandwidth.
The real issue here is that as it has come so far on maniacal belief if doubt now starts to creep in even the bottom boundary of the SPX’s zone won’t help.
Range: 22700 to 24000
Activity: Average
Type: Bearish
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Posted in Uncategorized
October 26th, 2017 by Richard
It is difficult today to talk about just one index in isolation as Wednesday was bit of a symphony between this index, the FTSE and the DAX, but also the SPX and the NDX.
They all hit zone boundaries at the same time and in the case of the FTSE, DAX and NDX broke down below their respective lower boundaries at the same time after having initially rallied.
The NDX was in a poor state (NB it was expected to breakout) but here in Europe both indices clawed their way back up to their lower boundaries by the close, but the UK auction just failed to get this index back into its zone.
The open today will be crucial and although it doesn’t look good as we said on Monday we would expect this index to test both ends of its NZ before deciding and that is just what it has done.
Range: 7350 to 7450 or 7450 to 7550
Activity: Average
Type: On balance bullish
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The two crucial differences for the DAX was firstly it spiked up to 13049.47 very early on in the day to test again their zones upper boundary.
It was quite a spectacular pullback, almost 50-points, in just minutes which only went to highlight this failed test.
Secondly their auction managed to add 5.44-points which was just enough to keep them in their zone, out of interest London only managed to gain 2.45-points.
However, this then makes yesterday in the DAX a NZ bandwidth test, so expect a breakout today.
The good news is that if it is downwards then 12650 has become R2, the bad news is that it is at 12650, 300-points away.
Range: 12650 to 12950 or 12950 to 13050
Activity: Moderate
Type: Neutral
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Posted in Uncategorized
October 25th, 2017 by Richard
If there was any doubt Monday’s high of 2578.08 was a test of Y2 in the SPX then yesterday’s action dispels it.
If there was ever a better opportunity with a rampant DJX to at least re-test it then that was it and yet it hardly reacted.
For us then we see this index as looking towards the safety and comfort of its zone rather than anything else, but as we said yesterday the decision may not be theirs.
Activity has settled down and the ratios continue to strengthen below the zone and weaken ever so slightly above, both of which are actually bullish.
Range: 2555 to 2595
Activity Moderate
Type: On balance bearish
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Meanwhile the NDX is quietly going about its business and from our viewpoint pretty much ignoring the other two.
The low yesterday was 6057.69 which makes it strike 2 of the bottom boundary.
However, the high of 6090.89 was also a test of the upper boundary which gives us a NZ bandwidth test so it could well break out today.
As we said it is acting normally, or rationally, and although activity has settled a bit here as well it is still decent.
Range: 6050 to 6100
Activity: Moderate
Type: Neutral
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We do take great pains to just stick to derivatives but the DJX is just taking the pi**.
So please giving Caterpillar and 3M as the excuse to go up 168-points on a fundamental argument is just insulting, this index is so way past any form of fundamental justification people need to start calling it what it is and that is rampant, with the stress on the first syllable.
However, as we have said, even as early as last week there is no ratio and so therefore nothing to stop it, or at least make it work for it, until 24000, and this is a far better and justifiable reason than any measure of possible future earnings.
Range: 22700 to 24000
Activity: Only just registered
Type: Bullish
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Posted in Uncategorized
October 25th, 2017 by Richard
It seems the FTSE is very content inside its zone, so much so it only managed a 27-point daily range.
More importantly that didn’t include another test of the upper boundary which leans towards the suspicion it has no aspirations in that direction presently.
However, as it also didn’t break the mid-point of its zone it evidently has no great desire to go in the other direction either.
Activity has returned to the more usual even though this is just day 3 of this expiry but it does look like it is adopting bit of a wait and see policy.
Range: 7450 to 7550
Activity: Moderate
Type: On balance bearish
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In direct contrast the DAX looks very discontented inside its zone and although their daily range was also a lot narrower, being just 72-points it did have some meaning.
With the high of 13055 it was another test of its upper boundary, and quite a spectacular one being at the end of a very long wick.
However, yesterday the low was some way from the bottom boundary which gives a clear indication of this index’s aspirations.
So that is two tests in a row of its upper boundary, three if you include Friday’s, so if it goes there again today it should succeed, and in reality, it is only Y1 as well on the other side.
Range: 12950 to 13050
Activity: Good
Type: On balance bearish
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Posted in Uncategorized
October 24th, 2017 by Richard
The question is whether or not that was a test of Y2 in the SPX?
The high was 2578.29 and it was very quickly after the open but being only 1.71-points away we have to say it was.
This then gives us an indication of this index’s sensitivity, and it’s probably just as well that it remains so as there is still not a great deal of depth in the ratio above the zone.
We would hope to see this market gravitate towards its NZ, in fact better still to visit it, like the EU indices, but we suspect this may not be in its control.
Range: 2555 to 2595
Activity Strong
Type: On balance bearish
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The NDX actually opened up 13.42-points at 6122.24 but it didn’t take very long, in fact no time, as the open was also the high.
The odd aspect was shortly after as the upper boundary did not provide much of a barrier although the market did hover around just below it for the rest of the morning, then tested it from underneath before going on to make the low.
It is very reminiscent of the start of the last expiry and we certainly can’t complain about any market that finds itself in its NZ at the start of a new expiry as that is exactly how it should be.
Range: 6050 to 6100
Activity: Very strong
Type: On balance bearish
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There have been no changes in the ratios for the DJX despite continuing decent levels of activity.
One of the issues is that this expiry only started attracting interest in the last couple of days of the rollover, which ordinarily would have been fine had this index been acting rationally, but as it was so far from its zone it has just passed the problem on.
So, it is perhaps worthwhile putting everything into numerical perspective, and if the bulls continue to salivate over this tax deal then the next hurdle is not until 24000, 700-points away (3.00%).
The zone is now also 700-points (the other way) away, or 3.00%, which means a there and back round trip, which we would expect in a “normal” bull market, would equate to 6% in 4 weeks.
If it went searching for support below its zone, a range bound market, then R1 doesn’t appear until 21500 a mere 1800-points away.
And if this tax bubble bursts and it gets down there then we suspect R1 will not be nearly enough to hold it let alone turn it round.
It’s not a case of this will happen but sometimes it can be very constructive to know what the risks actually are.
Range: 22700 to 24000
Activity: Strong
Type: Neutral
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Posted in Uncategorized
October 24th, 2017 by Richard
It was a day for the purists in the FTSE yesterday with the excitement coming about midday with a test of the upper boundary.
It was a weak start which made the recovery all the harder but it eventually got as high as 7542.00.
After that it almost lost interest, but judging by the level of activity someone remained very interested.
We would expect decent levels at the start but this is over and above and pretty much centred on just one strike, 7600, and on one side.
Range: 7450 to 7550
Activity: Off the scale
Type: On balance bullish
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For the DAX it was a repeat of Friday’s NZ bandwidth test, just a little lop-sided this time.
This does however give a clue to its preference as the low yesterday was 12973 (Friday 12956) and the high was 13069 (13063).
The table above looks busier than it is as the main change is the introduction of Y2 below the zone.
Again, decent levels of activity and in keeping with where we are in the expiry and with both the EU indices we analyse in their respective zones it is all going to be down to which one breaks out first.
Range: 12950 to 13050
Activity: Very strong
Type: Neutral
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Posted in Uncategorized
October 23rd, 2017 by Richard
Recently there has been quite a bit written about the crash of ’87 it being the 30th anniversary and everything, so we feel a few facts need to be straightened out.
A lot of people do not realise how much the storm of 1987 actually impacted upon events as the Friday before virtually no one could actually get in to work. I did manage to make it after a two-hour trek but as I was in a definite minority and as everything was still face to face in those days there was little point.
This may sound inconsequential but it was the October expiry that day, and back then it was all done between 10 and half past when baskets were traded as all the positions were unwound.
So, to us the true anniversary is the Monday after expiry, which is today.
Of course, the market was rampant then and being mainly equity fuelled this was not a good time in the relatively brand new derivatives industry.
This left a lot of people guessing and unsure of what their exposure was as it hadn’t been closed or rolled so naturally there was a degree of overcompensation.
And the first chance people had is what most people read about now and as ever in these situations it quickly got out of control.
It may have happened on the Monday but the die was cast on the Friday.
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Posted in Uncategorized
October 23rd, 2017 by Richard
SPX , NDX and DJX Ratio Table 23rd Oct 2017
Hopefully we will not have to wait long in the SPX to get the first indication of how this new expiry could play out as Y2 is right on top of the current market.
Of course, how it reacts here will go a long way to determining the degree of sensitivity currently present, but don’t forget it is just Y2 and all last expiry this index tailgated R1 all the way up for weeks.
If it returns to normal then it could be a very exciting market as the Y ratio bandwidth stretches from 2470 all the way up to 2595, a very impressive 125-points.
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.
Range: 2555 to 2595
Activity Strong
Type: On balance just bearish
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The NDX is the hardest one to call as ironically it has been acting normally but historically is the one more likely to generate the attention of the big players.
Suffice it to say this was the only index last trip to see beneath its NZ.
Apart from that blip it was sensitive to Y2 when it wasn’t being contained by its zone.
As the step-up level is also the bottom boundary of its NZ then we don’t see much weakness creeping in, although we would at least expect to see a test.
On the other hand, the step-up level is 6125 so there is a lot more leeway this side, but really a lot will depend on the DJX as that is the risk factor.
Range: 6050 to 6100 or 6100 to (6125) / 6200
Activity: Strong
Type: On balance only just bullish
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The DJX has a very familiar shape to it which sadly doesn’t actually make it any easier.
However, the high level of activity has continued so it’s not short of participation, just any meaningful ratio.
We did see just a glimmer of a hint that normality might return here, which was then rudely snatched away in the rollover week.
So, the table above speaks for itself but it might be wise to appreciate that while there is no ratio above the zone there is also precious little below it.
Range: 22700 to 24000
Activity: Very strong
Type: On balance bullish
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Posted in Uncategorized
October 23rd, 2017 by Richard
FTSE and DAX Ratio Table 23rd Oct 2017
The last two days have seen the FTSE’s ratio table come on in leaps and bounds and despite all the changes here we are at the start of a more normal 4-week expiry with some Y ratio still present.
The big question is going to be what sort of expiry are we in for, a repeat of Sept when it never left its NZ or more like Oct when it traded between the two R3 ratio levels?
Today will go a long way in determining this we suspect, as again on Friday it tested 7550, which was R2 in old money and the upper boundary here.
After an amazing 9 days knocking or perhaps hammering on that door now it’s on a new trip it should have another pop at it and how it reacts will be crucial.
Our best guess is that it will hold, and if history is anything to go by we should also see a test of the lower boundary this week and then it will make up its mind.
Range: 7450 to 7550
Activity: Outstanding
Type: On balance fractionally bearish
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The DAX’s NZ has moved up to 12950-13050 but after all our comments everyone should have been thinking it had already we suspect.
Interestingly the high and low on Friday was 13063 and 12956 and we are not great fans of coincidence so we further suspect it has already been in the fray.
However, the big news quite literally is the level of activity, and more importantly that it wasn’t all one-sided.
Nowhere near as exciting as it was just a day ago but our range for this expiry is still a rather tantalising 12650 up to 13250.
Range: 12950 to 13050
Activity: Off the scale
Type: On balance bearish
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