Category: Uncategorized
September 15th, 2017 by Richard
SPX Sept to Oct Rollover table 15th September 2017
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The SPX has been very much like the DAX in that we are more than happy with it hitting our forecast high and low, and in fact how it reacted throughout the expiry until this final week.
A miss is a miss but what is very odd is that it is just 15 points away so easily within range but it seems it just can’t be bothered.
Furthermore it would not be so much an issue if it was in the minimal Y1 ratio but here it is in R1 which is going to hurt someone so that should be worth at least trying to do something about it.
This is made even more surprising as they are still batting right up to the end judging by the level of activity.
Range: 2490 to 2505
Activity: Moderate
Type: On balance bearish
October seems to be carrying on the can’t be bothered theme as for an intermediary expiry this level of activity is tantamount to the “only just registered” category.
The result has been some of the ratios on both sides slipping out a bit when in fact at this point we would fully expect them to be developing.
The last 3 days have been surprising because of the daily 6 point trading range so when this expiry takes over the market will be released from R1 into the Y ratios so we should start seeing some decent movement at last.
Range: 2480 to 2525
Activity: Very poor
Type: On balance definitely bullish
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As one can see from the above table the ratios in the NDX above the zone have tumbled and we would like to say that something had to give, which is normal, but the SPX is proving the exception to the rule.
The main problem with taking it down to the wire is that everybody has to be singing from the same song sheet and although the zone hasn’t moved it is as good as at 5975-6025, so evidently everyone isn’t here.
This is because the fall yesterday, probably on route to the current level, has passed the potential new zone going the other way.
The end result now the ratios have fallen so dramatically is anywhere between 5875 and 6025 will not now be too painful.
Range: 5925 to 6050
Activity: Average
Type: On balance decently bearish
The irony is that any more weakness today could see this index start October’s expiry inside its zone.
Considering how little ratio there actual is here and the minimal rate of development then this would be the ultimate display of sensitivity.
We have seen Y2 above the zone come in slightly but this needs to be a lot faster and more significant, but as they say you can take a horse to water but you can’t force it to drink.
Range: 5950 to 6200
Activity: Moderate
Type: On balance only just bullish
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If the DJX had just one more day we believe that 21900-22100 would be the next NZ, but as it is this is all academic now.
Furthermore the index is still 100 points above the top boundary of this potential new zone so it is still a miss.
However we are not surprised by this as this index made its feelings very plain on the first day when it went as low as 21600 and the top boundary of its current zone and has never looked back since.
This applied even when the SPX’s zone fell and that index dropped to meet it the DJX steadfastly refused to go anywhere near theirs and has maintained this bullish stance almost all year now.
Range: 21600 to 22600
Activity: Moderate
Type: Bearish
That was a rather short lived burst of normality from this index as today activity reverts to its more usual begrudging levels.
At these levels we can’t see any major development of the ratios in the near future so come Monday this index will find itself back in Y1 ratio.
And as we mentioned there is still the possibility of a move up in the zone, although today it has not taken a further step towards this, but the result would be truly minimal ratio from 22100 all the way down to 21600 if it did.
Range: 21900 to 22900
Activity: Moderate
Type: Bullish
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Posted in Uncategorized
September 15th, 2017 by Richard
We suspect the only reason the fall yesterday in the FTSE didn’t happen on Wednesday was because of the rollover, although it seems to be the only index this time round paying any attention to it.
Because of this as we said “it could go out to play” and having spent three and a half weeks inside its zone the day the shackles come off is the day it breaks down below its bottom boundary.
The main issue to be aware of is that being the odd one out, or not in sync, then if the others indices react to their expiries then it could just be adding fuel to the fire here.
Range: 7250 to 7350
Activity: Very poor
Type: Not bearish
For an index that has just spent the best part of 4 weeks in zero ratio Monday morning could come as a very rude awakening, because as it stands it is in a R2 ratio bandwidth, which is a huge leap.
Of course we have today to go but where it ends up will be all important for the start on Monday.
Unless emotion suddenly explodes (see above about the other indices) then any close below 7350 will find it struggling to go anywhere within whichever 50 point range it is in.
Rather ironically this expiry looks more like a triple than the triple we are just leaving behind.
Range: 7250 to 7350
Activity: Very strong
Type: Neutral
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Basically exactly what we said yesterday “for the second (now third of course) day running the DAX was entrenched at 12550 ………persistent and aggressive, two words we seldom use with this index, and at any other time very bullish as it is willing to go toe to toe with the futures selling, but not quite gung ho enough to push through”.
No change in the NZ although one more day would probably see it at 12450-12550, but no excuses this is a miss.
However we did nail the low and the high in our forecast 4 weeks ago and we must mention that we look at everything from derivatives and them alone so sometimes fundamental issues can crop up that trump this, and although we can’t be certain the small instance of the looming elections here we suspect may be playing a part.
Range: 12250 to 12650
Activity: Poor
Type: Neutral
The Oct DAX is the polar opposite of London’s, so one of them must be wrong, and there is still so little ratio present it has hardly evolved all week.
In fact the Y1 ratio above the zone has been so persistently low we have never seen it last this long without affecting a change in the NZ.
So where London is in for a shock come Monday as it stands here they are in for a sudden release and acres of freedom in either direction.
To put this into perspective the NZ could easily be anywhere between 12150 and 12550, effectively 400 points of zero ratio, what fun.
Range: 12250 to 12900
Activity: Very good
Type: Bearish
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Posted in Uncategorized
September 14th, 2017 by Richard
Every expiry is weird, especially the triples, and the SPX is not disappointing in this regard.
They seemed quite happy to ignore the rollover which now places a lot of emphasis on the actual expiry tomorrow.
This is of course unless fundamentals have assumed full control and we can find no evidence of this, and anyway in a triple that is an enormous ask, so why this index is happy to be in the R ratios at this particular juncture is a mystery to us but nevertheless it has all our alarm bells ringing.
However we should point out activity is the second highest it has been this expiry, which in itself is outstanding considering this is the rollover, so the players are still very much playing.
Range: 2485 to 2505
Activity: Average
Type: On balance bearish
This is so different that we were forced to actually check it was the rollover now and expiry on Friday as we would expect a great deal more activity than what we have.
It does match Septembers granted but as an intermediary it is about a third of the size so to achieve this level is not that difficult here as the bar is so much lower.
Also Oct is a five week expiry so normally there is no rush all of which will not change the fact that there is still an ocean of Y ratio present which could make for a very volatile start to this expiry.
Range: 2480 to 2515
Activity: Average
Type: On balance bearish
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Again it is a bit like the forgotten rollover as here in the NDX there is absolutely no clue that September is drawing to its end.
We have seen R1 and R2 above the zone slip slightly but it really is just a tiptoe across the threshold and overall nothing near to the changes we would expect to see.
Of course had the market been inside its NZ yesterday then fair enough, but being so far away then normally there would be an adjustment but it seems everyone is happy to just ride this one out, well so far at least, bizarrely or not.
Range: 5925 to 6025
Activity: Very poor
Type: Bearish
As one can see activity is acceptable but whether it is representative of the rollover is a tough call as it looks more normal to us, but this index can be very light.
There are no changes to any of the ratios but a bit of depth has been built up above the current market level.
Otherwise we are still on track for that ice rink scenario where even the smallest nudge sends everything a very long way, a frictionless market as it were.
Range: 5950 to 6225
Activity: Average
Type: On balance bullish
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The DJX is acting very similarly to the SPX in that the only way one would know the rollover is now would be by checking the calendar.
Activity here has reverted to the “only just registered” which is appalling considering where we are and so any hope of the NZ changing has gone.
Obviously there is still one more day to go but by not following through it does leave this index very vulnerable, although pragmatically the bulls are still very much in control as they have been all year and it would take a lot we suspect to reverse their views.
Range: 21600 to 22600
Activity: Very poor
Type: Not bearish
At least Oct is acting like it is the rollover, at least where activity is concerned.
However what we say above about the bulls being in control is very much the case here as you couldn’t get a more definitive type of activity.
Furthermore although the NZ has given up on its move in Sept in this expiry it has not, so 21900-22100 is looking likely as the next zone.
Perhaps worth noting is that if it does move up to this new level it will mean from the bottom of the current level, 21600, all the way up to the top of the new one, 22100, will have virtually zero ratio, at least in the beginning.
Range: 21900 to 22900
Activity: Very strong
Type: Bullish
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Posted in Uncategorized
September 14th, 2017 by Richard
Today’s rollover tables will be posted here;
https://www.instagram.com/hedgeratioanalysis/
That was a very nice sting in the tail for the FTSE getting all aggressive from the open and rampaging down to test the bottom boundary at 7350.
The low was 7336.23 which was part of an inverted pyramid over about 15 minutes so for the bulk of that time the market was in fact a lot closer to the bottom boundary.
Obviously it held but it must have made quite a few rather nervous.
Out of all the FTSE was the only one to spend the rollover inside its zone, so it finishes top of the class and can now go out to play.
Range: 7350 to 7450
Activity: Poor
Type: On balance just not bearish
Today and tomorrow will see if the FTSE needs to break its recent zone shackles and although this expiry now has an influence we call it the grey area as it always seems neither but both are in charge and in the ensuing confusion anything can happen.
Sometimes it can provide great opportunity for when reality comes crashing back in at the start of this expiry on Monday.
The ratios are firmer across the board but there are no changes.
Range: 7350 to 7450
Activity: Average
Type: Neutral
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For the second day running the DAX was entrenched at 12550 which stood at R1 yesterday down from R2.
Persistent and aggressive, two words we seldom use with this index, and at any other time very bullish as it is willing to go toe to toe with the futures selling, but not quite gung ho enough to push through.
Very impressive apart from the small detail of the rollover and expiry, and as we say we are not used to this index at this stage being so forthright, but hat’s off to them.
The NZ hasn’t changed but as you can see from the table the ratios above the zone are in freefall so the desire is blatantly obvious, the only doubt is whether they can ignore the expiry as well?
Range: 12250 to 12650
Activity: Average
Type: Bearish
Oct being a work in progress theoretically should be the first and easiest to reflect any changes and so it is noteworthy that it too hasn’t moved.
However we mentioned yesterday that 12350-12450 is making a move to be it and that is also the case today and we would be surprised if it wasn’t by tomorrow.
The problem with it taking so long is rather than building the ratios you get the scenario where they weaken to accommodate the move, thereby stunting the normal development, so really the sooner the better.
Range: 12250 to 12850
Activity: Average
Type: On balance decidedly bullish
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Posted in Uncategorized
September 13th, 2017 by Richard
The SPX is normally more pragmatic when it comes to records and usually it is the DJX that goes crazy when chasing a new high.
We have seen this before when this index has such a quiet expiry it confuses the sudden increase in activity brought about by the rollover with investment and has a belated reaction.
Unfortunately the rollover and subsequent expiry often result in a sudden and more often than not painful reminder of what the real force is behind the market currently.
Funnily enough although the only change is to R1 above the zone today it is looking like 2445-2455 may not be done yet.
Range: 2490 to 2505
Activity: Very poor
Type: Bearish
Although Oct doesn’t assume full control until Monday after today it can have an influence, although this would be in the grey area which is where we stand back as from experience it can take on a mind of its own, and hence its name.
However as an intermediary we would expect it to become more sensitive so depending on your time horizon this expiry is now entering an interesting position.
By which we mean Y2 is very quickly followed by R1 with the next level not too far behind all the while it is sitting on top of a 100 point Y ratio bandwidth.
Range: 2480 to 2510
Activity: Good
Type: On balance just bearish
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It is a rather odd rollover in the NDX, and we say that even though the big players stayed away this expiry from what we could see.
Without them it is normally meek and mild and with them it is generally a game of chicken between the market and the NZ, with the NZ generally losing.
This time we saw the market get back to its zone in good time on Friday, then the rally this week but absolutely no sign of the zone giving way.
Again like the SPX we suspect the rollover and expiry may well come as bit of a surprise.
Range: 5925 to 6025
Activity: Very poor
Type: Bearish
Even after today when this expiry can influence proceedings there is still not enough here to do so.
Again we see activity towards the bottom end of the table but as this is an intermediary as well as a five week expiry then the bar is very low indeed, so it should easily be above average without even trying.
Until this gets addressed as we said earlier on this week best get your ice skates on.
Range: 5950 to 6225
Activity: Moderate
Type: On balance just bullish
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Sincere apologies in the DJX for yesterday because we said “the biggest change by far is the appearance, or reappearance, of Y1, which throws up the distinct possibility of the NZ moving to 22000-22200”.
This was incorrect as on the table it showed Y1 as being at 22000 so therefore the potential new NZ should have read 21900-22100, sorry.
Of course 22100 was the old R1 level so yesterday would have carried the memory of that as well of course.
It hasn’t changed today, although it again makes big strides towards doing so, and until it does it will always carry the risk that the current level will prevail.
Range: 21600 to 22600
Activity: Moderate
Type: Not bearish
In Oct there is no hint at all that the NZ wants to change, in fact there is not much of a hint of anything.
The most striking aspect remains the NZ being a whopping 300 points wide, but until this index starts’ reacting in a more normal manner it is unlikely that it will even visit it.
Range: 21900 to 22900
Activity: Poor
Type: Not bearish
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Posted in Uncategorized
September 13th, 2017 by Richard
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Any hope of a follow through in the FTSE from Monday’s huge performance on the Street was easily dismissed so in the end it was rather too easy to “difficult to dampen down the enthusiasm here”.
We do have mixed feelings about the FTSE this expiry although, as because the open is the same as the previous close, then we are pleased with the market being virtually dead center of its NZ on the rollover in line with our forecast.
The mixed part comes about because the market never ventured outside its NZ the entire expiry so it never went near our high and low, but again we have to be very pleased with the demonstration of the powerful influence exerted by said zone.
Range: 7350 to 7450
Activity: Moderate
Type: Bullish
It is far too early for any forecast for October however we have found it invaluable to monitor its development prior to becoming the next alpha expiry.
So far this has revealed that from the start there was no Y ratio whatsoever so if any does appear during the expiry that would be a strong indication of weakness potentially resulting in a zone shift.
Everything will depend where the market is on Monday but the main issue to address this expiry will be if London will grow a pair?
Range: 7350 to 7450
Activity: Average
Type: Bearish
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Exactly as we said yesterday in the DAX “now we are caught between a rock and a hard place as it could well test R2 today, which would complete our forecast of course but this would make getting back into their zone for Wednesday a very big task”.
In fact the time this index spent at 12550 (high 12558) is not done justice by the raw data.
As you can see from the table there have been a lot of changes, all above the zone, but no change in the NZ so to make the last leg of our forecast today will have to be a spectacularly bad day.
Conversely it could pre-empt a change in the zone, or even a mixture of the two, which is looking the more likely.
Range: 12250 to 12550
Activity: Moderate
Type: Bearish
October is still a work in progress so if there is to be a change in Sept it has time to adjust.
Furthermore with so little ratio in situ at the moment this is not going to be that difficult.
However we have seen a frontrunner emerge which is 12350-12450, and as we say above a “mixture of the two” would be the more likely and this is certainly in keeping with this.
Range: 12250 to 12800
Activity: Strong
Type: On balance bearish
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Posted in Uncategorized
September 12th, 2017 by Richard
It wasn’t quite as spectacular as the move down yesterday in the SPX but only because the market was already half way there but no less dramatic.
Certainly come to life now, and exactly as we would expect in the rollover, however the trick now is to calm everything down as job done really.
Of course it found itself in R1 and it did bring such a magnificent move to bit of an abrupt halt and today will be all about the zone or fighting the R ratios.
The big difference today is the appearance of Y2 below the zone which shows considerable firmness there which takes away almost all chances of the zone flipping back to 2445-2555.
Range: 2480 to 2485 or 2485 to 2505
Activity: Moderate
Type: Bearish
Where Oct is concerned all the market has done is go from one Y1 ratio bandwidth to another.
From Wednesday onwards when we enter the grey area then this index can sometimes influence proceedings, but as you can see there is no ratio here to actually impact anything anyway.
However looking at the activity and there is no shirking going on and don’t forget the rollover is tomorrow so all this is a day early, so with this much involvement and so much Y ratio it could be a very good expiry to trade.
Range: 2480 to 2515
Activity: Very strong
Type: On balance just bearish
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As we said yesterday in the NDX “the real trick is going to be holding it in or at least near its zone for Wednesday as it looks a little early for us”.
Although judging by activity we suspect now it was early by design as it looks like fundamentals (and perhaps a launch) have taken control at the moment.
Having said that Y2 yesterday was at 5975 and although the market got as high as 5990.87 it was making rather heavy going of it and the close is significant.
Today it is no longer Y2 but it is just below the threshold so we would definitely call it a step-up.
Range: 5925 to 6025
Activity: Very poor
Type: Bullish
In keeping with what we have said above the activity here is hardly noteworthy so this just lends weight to the influence being elsewhere at present.
Of course this is in stark contrast to both the SPX and the DJX where at least one of the participants in the rollover had a very decent level of activity.
Of course with the huge amount of Y ratio still surrounding this index then the ratios couldn’t do anything even if they wanted to.
Range: 5950 to 6225
Activity: Moderate
Type: On balance only just bullish
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The DJX is making up for lost time where activity is concerned, with easily the highest level this expiry and that is impressive in a triple.
The question is whether this is a result of the high of 22067 being a hit of R1 at which was then at 22100 or not.
It is still 33 points shy but it was a massive move so we can’t rule it out, but whatever the answer the end result is a decimation of the ratios above the zone.
The biggest change by far is the appearance, or reappearance, of Y1, which throws up the distinct possibility of the NZ moving to 22000-22200.
In the meantime it gives this index a stupidly wide Y ratio bandwidth.
Range: 21600 to 22600
Activity: Strong
Type: Bearish
The DJX Oct expiry is little changed, the main one being R1 below the zone drops back to 20900.
Of course it is still early days but where Sept has suddenly found freedom with a huge Y ratio bandwidth then this just highlights what is possible in this expiry when, as things stand, it will know no different.
Range: 21900 to 22900
Activity: Moderate
Type: Bearish
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Posted in Uncategorized
September 12th, 2017 by Richard
DAX Sept to Oct Rollover 12th September 2017
Yesterday we were lamenting the fact the DAX may not make it across the full range we forecast for this expiry back on the 21st August, 11950 to 12550.
Now we are caught between a rock and a hard place as it could well test R2 today, which would complete our forecast of course (conveniently 12550 has moved up a level to R2 today) but this would make getting back into their zone for Wednesday a very big task.
In truth as the high was 12481 yesterday we would have actually been very happy with that even if it was 69 points shy.
Range: 12250 to 12550
Activity: Good
Type: On balance fractionally bearish
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The clock is ticking and it just has to do better is all we can say.
R1 on both sides comes in a notch but there is no further development of the ratios and this is what needs to be addressed.
However as we mentioned yesterday the fact that this is a 5 week expiry with a rare German holiday thrown in means we are not getting our hopes up.
Range: 12250 to 12750
Activity: Average
Type: On balance only just bullish
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It looks like today is going to be the biggest test for the FTSE this expiry as with a rampant Street it will be difficult to dampen down the enthusiasm here.
Although having said this London only managed a rise of 0.5% yesterday whereas the other European exchanges were almost three times this, so they have had plenty of practice.
We are still only talking Y2 above the zone but today should be all about positioning for the rollover on Wednesday, which means in or around the NZ and considering they haven’t left it all expiry it would be terribly ironic to break free now.
Range: 7350 to 7450
Activity: Poor
Type: Bullish
The ratios in October are stronger across the board and as you can see from the table there have been several moves.
However it is still the fact that there is no Y ratio at all in this expiry that is the main issue, which again ironically is more usual in a triple than an intermediary, so today and where it finishes will have a direct influence here as well.
However we feel the key will be Germany as it chose to ignore its enthusiasm yesterday but it too is facing their rollover and this may prove more problematic then they perhaps realize yet, so London may not be able to ignore it again.
Range: 7350 to 7450
Activity: Strong
Type: Neutral
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Posted in Uncategorized
September 11th, 2017 by Richard
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The DJX has been the bullish stalwart for the entire expiry and on Friday was the only one to finish up just to prove the point.
However unlike the SPX here activity has certainly not been stimulated, in fact we are getting so many of these now we should perhaps create a new category “only just registered”.
Still quite a bit of headroom before it hits the R ratios, however what we said on Friday still holds true as the SPX ruled the rollover (nb. its NZ change today) whereas the DJX ruled the actual expiry.
Which this week in the last expiry proved very exciting from the Wednesday on as the DJX gave up 350 points.
Range: 21700 to 22100
Activity: Average
Type: Not bearish
The most striking aspect for October is the fact that this zone stretches for 300 points.
Of course one has to go back to well before Trump to find the time that this index bothered with its zone and in fact it was this index that was always the more likely to remain zone bound, so times have truly changed.
Still early days but even for an intermediary expiry there is still too much Y ratio present.
Range: 21600 to 21900
Activity: Moderate
Type: Neutral
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The NDX was the big faller on Friday losing almost 51 points which rather neatly took it back inside its zone, so it looks like the zone won, at least round 1.
Of course that was after 2 tests of Y2 last week on the Tuesday and Thursday.
Also like the SPX it has stimulated activity; however that index didn’t lose almost 1% so this is only what we would expect given the move and where it is in the expiry.
The real trick is going to be holding it in or at least near its zone for Wednesday as it looks a little early for us.
Range: 5875 to 5925
Activity: Average
Type: Bearish
Of course it is still early days but even accounting for that this is a very meagre amount of ratio for Oct, even after allowing for the fact it is a five week expiry.
The NZ is slightly ahead of Sept but we wouldn’t read too much into this as the ratios are so thin out there a good twitch should see it move.
Unless this situation improves dramatically over the next few days we are afraid it will be back to skating on ice again.
Range: 5900 to 5950
Activity: Moderate
Type: On balance only just bearish
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Posted in Uncategorized
September 11th, 2017 by Richard
SPX Sept to Oct Rollover 11th September 2017
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You wouldn’t know it from such a small move in the SPX on Friday but this index has certainly come to life.
Please remember it is a triple so this level of activity is actually very high so the only question is whether it is purely as a result of insurance positioning due to the weather or for the rollover.
However there is no disguising the result which is the NZ returning to 2470-2480, and with just days to go until Wednesday this is quite punchy.
All in all we should be in for a volatile rollover and expiry and not before time for us.
Range: 2420 to 2470
Activity: Good
Type: On balance bearish
For the first look at October in the SPX and it look bullish if only because the ratios only go as high as R2 above the zone.
At least the zones are in sync and although it is still early days there is an awful lot of Y ratio in evidence.
Of course a lot will depend on where this week ends but as it stands now there is almost as much of it below as there is above, covering a total range of 125 points.
Now in the mighty Sept expiry the market effectively traded between the changing zones so if Sept breaks this mould it could be a very exciting expiry.
Range: 2405 to 2470
Activity: Average
Type: On balance just bearish
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Posted in Uncategorized
