Category: Uncategorized
September 22nd, 2017 by Richard
The SPX never ceases to surprise where the ratios are concerned and this “extra” week is no exception.
Ordinarily the ratios should be building at this juncture, sometimes on the odd occasion and with a uniform strength of opinion activity can be one-sided but very rarely do we see so much money being taken off the table so early in an expiry.
The ratios above and below the zone have slipped although it is far more noticeable above.
If anything it makes it more likely to become volatile and as this “extra” week draws to a close so the timing is right as well.
Range: 2480 to 2530
Activity Average
Type: Neutral
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We did say it was a bit odd on Wednesday in the NDX this sudden appearance of bullishness to take it back out and above its zone.
No such act of defiance yesterday as it dropped back into its zone immediately after the open, although for a couple of hours mid afternoon it traded around their upper boundary but evidently lacked the fight (or money) this time round.
Now it becomes the first one this expiry to reach its NZ, which means it has a 50 point bandwidth of no ratio at all to play around in.
Range: 5900 to 5950
Activity: Good
Type: On balance decidedly bearish
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The DJX is still ticking over activity wise after yesterday’s meagre showing but it too is suffering from the going nowhere “extra” week.
It started well enough on Monday closing up 63 points at 22331 but since then it has added only 28 points which is nothing on such a large index.
This is made worse as since Wednesday it has been in an 800 point Y1 ratio bandwidth.
The only noteworthy aspect today is that the NZ may well change to 22200-22500 if only by the natural erosion of the ratio due to the markets stagnation, although the fact it may well keep its 300 point width is interesting.
At least if it does shift then we should get 200 point daily ranges.
Range: 21900 to 22700
Activity: Average
Type: On balance only just bearish
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Posted in Uncategorized
September 22nd, 2017 by Richard
Hopefully that is the FTSE now sorted, it has taken a week for sure but don’t forget the state the expiring September left this one in.
The close last Friday, so the open on Monday, was 7215.47 which was in R3 ratio, which then started at 7250, so this of course was the high (7257.45) that day.
High levels of activity later we get to the stage where on Wednesday 7250 was R2 and the market bounced right back up 25 points off it.
No changes in the ratios today and 7250 is now part of the R2 ratio bandwidth but it has been such an influential level so far, although now but a speed bump, the memories will remain strong so it may well punch above its weight.
Range: 7150 to 7350
Activity: Average
Type: Bearish
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Activity is ticking over in the DAX and very one sided today.
The question is whether it is view based or “just in case” insurance?
However it has resulted in the appearance of R3 below the zone, and R2 moves in slightly, but if the market gets down to those levels it will probably take a lot more than that to stop a market with that level of momentum.
Anyway it gives it something to build on and at least it has got that depth there as above the zone it is still rather barren.
Range: 12550 to 12850
Activity: Good
Type: Bearish
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Posted in Uncategorized
September 21st, 2017 by Richard
Again hardly convincing in the SPX but while the market is acting like this is an extra week derivatives are certainly not.
Considering the total move in three days is just 8 points is bad enough but what is worse is that the average daily range over this period is also just 8 points, or 0.31%, which really is awful.
We highlight this as normally when this market is becalmed then activity dries up and at the moment the absolute opposite is the case.
Basically don’t get lulled into a false sense as that much money does not get put into play without a very good reason and expectation.
Range: 2480 to 2515
Activity Outstanding
Type: On balance decidedly bearish
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It was a strange day in the NDX although it started conventionally enough.
It went as low as its upper boundary, at last, and then rallied until mid afternoon when it returned to 5950.
This resulted in it getting back inside its zone with the low of 5927.70 but it managed an almost perfect inverted head & shoulders pattern with the neck line on (have a guess) 5950 to finish down just 17 points.
The odd part was why and from where the sudden bullishness and subsequent battle to get it back above the zone.
So although there was no hint that there was this potential it may just be the spark this index needs.
Range: 5950 to (6025) / 6125
Activity: Moderate
Type: Bullish
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The DJX has gone back to sleep so it is perhaps worthwhile to recap what has happened here as we believe activity will be the key.
Firstly though we have instigated the use of our new category of activity, which is fairly self explanatory.
The big amount came on Monday and although not all one-way it was “definitely bullish” and then Wednesday we did have one-way traffic that was bearish and “average”.
The problem with so much activity at the start of an expiry is it makes it virtually impossible to define as rather than rollover a position it could just be one(s) that have been allowed to expire and then opened anew.
Judging by the market movement so far this week our guess it is this rather than a new position, and if so the time horizon is a lot greater so yesterday’s activity will probably play a more active role for the remainder of this week even if it is dwarfed by Monday’s level.
Range: 21900 to 22700
Activity: Only just registered
Type: Bearish
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Posted in Uncategorized
September 21st, 2017 by Richard
That was a very impressive test of R2 yesterday in the FTSE giving up 25 points in just 5 minutes plummeting to 7249.58 before taking a bit more time to recover back to where it started.
Sadly though it seems the realignment is not over and there are big changes again below the zone, which does however make it rather easy to remember the levels now.
This leaves this index in a 200 point R2 ratio bandwidth courtesy of maintained high levels of activity.
However we would say do not forget 7250 as one way or another every day so far this expiry it has proved crucial.
Range: 7150 to 7350
Activity: Very good
Type: Bearish
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In the DAX when we said “and there is still 900 points of Y ratio so whatever happens it will be wise to buckle up we suspect” we didn’t mean yesterday specifically.
There will be a spark and whether it is the US and/or the Fed or even their domestic elections there is hardly enough ratio present at all to stop a major move in either direction which is what we are referring to.
Even if R1 proves pivotal, which is possible, then there is still a 900 point Y ratio bandwidth which in itself should be enough to reach for the seatbelts.
No change to the ratios today and still poised just above its zone.
Range: 12450 to 12550 or 12550 to 12850
Activity: Average
Type: On balance bearish
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Posted in Uncategorized
September 20th, 2017 by Richard
The SPX made it above Y2 at 2505 although for a very long time that was in doubt and even at the end it was hardly convincing.
However on the one hand it is a typical extra week on a 5 week expiry with the market taking baby steps, but on the other activity here has been very good.
Admittedly today it has fallen back a bit but for an intermediary this is still not bad, but with this level of engagement it is certainly not what we would call a typical extra week.
The problem is that in this expiry this index is hitting Y2 on its own as in Sept it was joined by the DJX hitting its upper boundary (nb. the markets were going the other way) but from here on in things may change as R1 is now only 8.35 points away, 0.33%.
Range: 2480 to 2515
Activity Good
Type: On balance just bearish
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Again the NDX was in a sort of holding pattern and having a breather after the rollover and expiry last week is perfectly understandable.
Again it didn’t go low enough (5971.17) to test the upper boundary or high enough (5998.24) to test the step-up level.
However this in now just 33.92, 0.56%, away, and so now not a dissimilar distance to their first real test as the SPX above is away from theirs.
Range: 5950 to (6025) / 6125
Activity: Moderate
Type: On balance just bullish
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There have been big changes in the DJX ratios but it may well be worth remembering Y2 was at 22500 which would place the current market 130 points, 0.58%, below it, at least for today.
As you can see Y2 has now moved to 22700 and the ratios escalate very quickly from there, courtesy of bearish activity, which is not something we say a lot here nowadays.
It does therefore give this index a bit more headroom as the Y1 ratio bandwidth widens to 800 points, and although recently one would be forgiven for not remembering this, especially here, but this is a two way street.
Range: 21900 to 22700
Activity: Average
Type: Bearish
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Posted in Uncategorized
September 20th, 2017 by Richard
Even though 7250 was just part of the R2 ratio bandwidth yesterday in the FTSE it didn’t stop it from treading very gingerly around it first thing.
Once it realised it had lost its Monday sting it was happy not to go near it again for the rest of the day.
However the ratios continue to fall below the zone and with R1 appearing our old friend 7250 has now emerged as remaining at R2.
The only difference for us is that this narrows our trading range.
However we hope that this is just realignment at the start of the expiry, to adjust for how deeply the market started below the zone, but any further weakness would now be a cause for concern.
Range: 7250 to 7350
Activity: Average
Type: Neutral
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The DAX actually opened down just 3 points in one of the smallest changes for a long while, but significantly still above its upper boundary.
It then spent the rest of the day back inside its zone although also significantly not testing the bottom boundary, and only getting back above the zone in the closing bar.
Interestingly in one of those coincidences we don’t like the real time close on both days this week has been 12564.
Anyway just days to go until the election and there is still 900 points of Y ratio so whatever happens it will be wise to buckle up we suspect.
Range: 12450 to 12550 or 12550 to 12850
Activity: Strong
Type: On balance just bearish
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Posted in Uncategorized
September 19th, 2017 by Richard
That was not very aggressive at 2505 by the SPX at all yesterday even though it did get as high as 2508.32.
Nevertheless it has worked as it has certainly stimulated activity but what is more interesting is the type, although this sadly does not paint a directional picture.
Needless to say the ratios are firmer on both sides with almost everything above the Y’s coming in to a greater or lesser degree.
Having reacted to Y2 yesterday it reveals a greater degree of sensitivity than in the last expiry, but please remember it is still just a minimal Y ratio and that is strike 1.
Range: 2480 to 2515
Activity Very strong
Type: On balance just fractionally bearish
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It was one of those unanswered question days in the NDX yesterday for us.
Basically the high was 6012.95 and the low was 5963.17 both of which were 13 points away from significant ratio levels.
Up above is the step-up level we mentioned at 6025 where at the other end is the upper boundary of their NZ.
Were they touches or not and at this stage we are going with the “or not” although had either been just a few points closer it would be a different story.
Also decent activity here but not enough to alter the ratio landscape sufficiently.
Range: 5950 to (6025) / 6125
Activity: Strong
Type: On balance bearish
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No surprise at all that the DJX was the star performer yesterday as it was the only one with no ratios to worry about, being in the middle of a wide Y1 ratio bandwidth.
Activity has reverted to more usual or normal levels and there are no changes in any of the ratios.
However it is worth remembering the high level of bullish activity from Monday as it hasn’t gone away.
Range: 21900 to 22500
Activity: Moderate
Type: Neutral
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Posted in Uncategorized
September 19th, 2017 by Richard
That was a truly heroic effort by the FTSE to get over 7250 yesterday.
From the very start it tried, then on many more occasions throughout the day eventually having to rely on the last bar and hanging on in the auction, which incidentally cost 4.03 points.
No doubt they are up for it though judging by the activity, but sadly all that effort yesterday was in the end unnecessary as R3 has slipped to 7200 today.
In fact we would say that 7200 is a tentative R3 and 7150 is a far more solid level.
Nevertheless it is now in R2 which is now quite a wide bandwidth.
Range: (7150) / 7200 to 7350
Activity: Very strong
Type: Neutral
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The DAX was off to the races from the whistle opening up 75 points, which more importantly put it above its NZ.
It thereafter struggled throughout the day and eventually closed just fractionally above the upper boundary, making today’s open critical.
However activity has come storming back and has sorted out the NZ to the more conventional 100 points and the ratios either side have come in, but as one can see it is still only a start as that remains a huge amount of Y ratio.
Range: 12450 to 12550 or 12550 to 12850
Activity: Outstanding
Type: On balance just bearish
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Posted in Uncategorized
September 18th, 2017 by Richard
In the end chasing records was more important for the SPX than the expiry, which is unusual for them being the preserve of the DJX really, but we can appreciate the heightened activity because of the rollover being misconstrued for bullishness.
Of course there is no problem in October as this index is in the Y ratios but it is an intermediary so everything quietens down considerably and becomes more sensitive, the degree of which is the first question.
Therefore a lot will probably be learned from how it reacts to Y2 at 2505 otherwise there is acres of room between the R ratios and bit of a mirror image from the start of Sept with the market opening at 2425.50 with Y2 at 2420 and the low on the 21st August being 2417.35, which was also the expiry low.
Range: 2480 to 2530
Activity Good
Type: On balance bearish
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It is difficult to remember that the NDX at the start of September was below its NZ with over 100 points to go before it even reached Y2.
So it was rather grateful to the other two we suspect as it went as low as 5750.50 which was also its expiry low but in the end it made for a fantastic rally of 237.49 points, 4.13%.
October is very similar with regard to the amount of Y ratio present however this time it is just above its zone.
However we should perhaps mention the step-up levels, being 5775 and 6025, as we as yet do not know how sensitive this index might be this trip.
Range: 5950 to (6025) / 6125
Activity: Strong
Type: On balance only just bullish
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The DJX is normally the one to go chasing new highs and especially this year when it hasn’t hardly even glanced back.
Obviously not quite as manic as the first quarter but even now we are under no illusion that the “Trump trade” still rules this index and derivatives come second.
Having said that the bulls are back in force for this expiry and activity is reflective of this so it is hard for us to see any change in these circumstances.
In September at the start of the expiry it went down to the top boundary of its NZ at 21600 and the low was also 21600 then and for the expiry and this combined with the SPX hitting Y2 was enough to set them off again.
Range: 21900 to 22500
Activity: Off the scale
Type: On balance definitely bullish
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Posted in Uncategorized
September 18th, 2017 by Richard
The October expiry in the FTSE is off to a great start, which for a 5 week expiry is rather unusual as the first “extra” week can often be quite dull and boring.
However if it was going to ever break its zone bound stalemate it was always going to have to grow a pair and the last 2 days, the grey area, is exactly the time to do so.
It is very easy to remember the ratio levels this time as there are so few of them, but there is one not on the table, 7150, which is what we call a step-up.
Basically at 7150 the ratio is just below the DR threshold whereas between this level and 7250 it is just above the R3 threshold.
Nevertheless starting in R3 having spent the last 4 weeks in zero ratio will come as a surprise and makes 7250 a really critical level.
Range: 7050 / (7150) to 7250
Activity: Outstanding
Type: Neutral
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We have got the move up in the NZ in the DAX but it looks like they couldn’t decide exactly where so we now have a huge 200 point zone.
Although this ratio configuration reminds us of the UK over the last few votes (snap election besides) and whether it is by complacency, over confidence or just plain fence-sitting the end result is no ratio, highlighted by the very wide zone.
In plain numbers the distance between the R1 ratios is 1100 points and it just makes the threshold for R2 on both sides but they themselves are hardly close to the R1 levels so it won’t be dull this expiry for sure.
Range: 12350 to 12550
Activity: Outstanding
Type: Neutral
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Posted in Uncategorized
