Category: Uncategorized
August 18th, 2017 by Richard
NDX Rollover Aug to Sept 18th August 2017
As we said yesterday in the NDX “if nothing has been done then it is a bit like Russian roulette but if everything has been offset then this index is as potentially vulnerable as the other two with a main prop of support being removed.”
So let us hope they have been at least offset as the activity suggests they haven’t been closed.
Once again in the grey area on expiry with the second biggest expiry looming large on the horizon and it gets volatile, which really shouldn’t come as a surprise.
However it is just as well this expiry is ending as the ratios below the zone have been decimated, but at least it’s not too far now to R2.
Range: 5725 to 5875
Activity: Average
Type: Bullish
Also not long now until this expiry becomes the front month or Alpha expiry, so it is good we are seeing a bit of movement in the ratios.
Below the zone both R1 and Y2 move in a bit and we see R3 appear for the first time, not a lot to be fair but at least it’s a start.
It is unlikely that in a triple expiry any index will be sensitive to Y2 but it is worth noting that even if this one was there is still a massive 350 point Y1 ratio bandwidth.
Range: 5675 to 5875
Activity: Very strong
Type: On balance definitely bearish
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August 18th, 2017 by Richard
DAX Rollover Aug to Sept 18th August 2017
For the DAX it seems just getting back to its zone for the rollover on Wednesday was about as much as it could do.
The only change today is the reappearance of Y2 below the zone which just serves to highlight exactly how much minimal Y ratio there is here.
Although it is way too late don’t forget 12150-12250 was looking very likely as the next NZ at the start of this week and with Sept already there it was always going to face a difficult expiry.
Range: 19750 to 12250
Activity: Poor
Type: Bullish
The grey area is so difficult to analyse but we do say that sometimes the massively bigger Sept can exert a disproportionate influence even before it becomes the front month or alpha expiry.
How significant the close is being inside this zone is therefore difficult to determine but after spending almost all day of the rollover on Wednesday at 12250, the common denominator between the two zones, we suspect it is not a coincidence.
There have been no changes in the ratios today but the bulls we suspect will be very pleased to see this ratio configuration, and we again highlight the jump in the ratio at 11950.
However one word of warning is that so far the DAX seems to be the only one with this set up so again, like Aug, just the other way round, it could be on its own.
Range: 12150 to 12250
Activity: Moderate
Type: On balance just bullish
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August 17th, 2017 by Richard
SPX Aug to Sept Rollover 17th August 2017
Just slightly disappointing the SPX didn’t close inside its zone on the rollover, but as it spent almost the entire day there we have no problem calling that a hit.
Unsurprisingly there have been quite a few changes in the ratios but now we enter the grey area these should be taken as guides only as these changes will only accelerate.
Also the mighty September now starts to flex its muscles so this has to be borne in mind as well.
Our only fear is that so much effort has been expended to get back to the NZ for yesterday it could leave this market very vulnerable once this support is removed.
Range: 2445 to 2470 or 2470 to 2480
Activity: Moderate
Type: On balance bearish
Well the rollover activity certainly did not disappoint, and please remember as these big expiries are so much bigger and as we grade activity on a relative basis then to get to the top end is really going some.
Although we must say that the little scare last week has in all probability certainly made a few more players consider a degree of insurance.
Surprisingly it hasn’t actually changed the table that much but it has most definitely added a lot more depth.
The big difference we have noted is that 2445-2455 has not yet given up on its designs to be the NZ.
Range: 2410 to 2470 or 2470 to 2480
Activity: Very strong
Type: On balance definitely bearish
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August 17th, 2017 by Richard
The problem for the SPX was not in itself but rather one posed by the DJX here.
Yesterday R2, the level that caused all those problems last week (336 point pullback), was at 22100 and the DJX got as high as 22085.
So that is strike 2 but as they are a week apart we are not counting it as such, not to mention the point we are at in the expiry.
However it was enough to halt the advance here and so by default the SPX’s as well.
Although both now could find themselves in the same boat as both could now be vulnerable but for different reasons as here it seems the bulls have fled.
Range: 21700 to 22100
Activity: Outstanding
Type: Not bullish
The question we posed yesterday was “the really big question is whether or not the bulls will be as adamant in the mighty September?”
Judging by the activity in August and that here then we can’t see any evidence of those bulls rolling their positions.
This is actually quite ironic as the trouble August has had with R2 is well documented first at 22200 and then again at 22100, but here it would be in the Y2 ratio bandwidth that stretches all the way up to 22500.
Range: 21600 to 22500
Activity: Moderate
Type: Bearish
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August 16th, 2017 by Richard
DJX Aug to Sept Rollover 16th August 2017
The only change in the DJX today is above the zone R1 moves up to R2 which highlights the 2 main aspects here.
Firstly the zone and although this index had its bullish hat on from the very start, reminding us of the 1st quarter this year, it has steadfastly refused to go anywhere near it so the fact it is so far above it remains a risk, but under the circumstances a small one.
Secondly it seems the press, or fourth estate, are making a big thing out of 22000, the big figure, whereas for us it is just part of the Y2 ratio bandwidth, but 22100 now it is R2 is a different story and remember what happened the last time it encountered this ratio last week when it was at 22200.
Range: 21700 to 22100
Activity: Moderate
Type: Bullish
The really big question is whether or not the bulls will be as adamant in the mighty September?
There is a very valid argument that they can use the sudden explosion of activity that comes naturally with the second biggest expiry of the year as justification or even validation of their view.
However with such a huge increment in the ratios in this expiry we can’t see the NZ budging so for us it will all boil down to how much the blinkered bulls are willing to take on the dynamic delta hedging.
Range: 21600 to 22400
Activity: Very good
Type: On balance only just bullish
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August 16th, 2017 by Richard
FTSE Aug to Sept 2017 Rollover 16th August 2017
For the FTSE it appears to have made it to the rollover today in its NZ, so with hours to go it looks like being a textbook expiry.
Of course one can’t rule anything out but we can’t see any shocks coming from the US so it is in the best position it could be.
The real question is perhaps when today is over whether it has been a case of every effort being made to get it back to its zone for today so when this prop is removed how hard will it be for the market to hold on to these levels?
Range: 7350 to 7450
Activity: Moderate
Type: Bullish
Being the actual rollover today this means the first look at FTSE September has been delayed by a couple of days so therefore we are a bit surprised the zones have not dovetailed already.
However after today we would fully anticipate them both being 7350-7450 which would change the complexion here considerably.
Furthermore we must point out that September is the third triple of the year and as such it is also generally the second largest expiry, so we very much doubt R1 will have even nearly the degree of influence it did in August.
Range: 7350 to 7450
Activity: Very poor
Type: On balance only just bullish
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August 15th, 2017 by Richard
SPX, NDX and DJX Ratio Table 15th August 2017
The SPX set it stall out in the first week by having all that difficulty with Y2 firstly at 2480 then at 2485 where it remains today.
Although we were correct in calling the move in the NZ to its current level.
All the other changes have been below the zone and it seems Y2 is the catalyst for this index this expiry and when we left it was standing at 2420 but as you can see today it is at 2445, so we can only presume the rising Y2 ratio level intercepted the falling market last week around its low of 2437.75.
This just leaves the final element of this expiries jigsaw which is to be in its NZ tomorrow.
Range: 2445 to 2470
Activity Average
Type: Neutral
The last thing we said in the NDX was “we are now approaching the point in the expiry where the big players if they are interested start getting involved”.
They evidently have done and the number of strikes has also increased but we don’t know when so it is virtually impossible for us to say whether this was pre or post the 131.20 point fall.
If it was pre then just to get this index back to its NZ for tomorrow will be an enormous relief we suspect, and the low of 5783.36 is also suspiciously close to where R1 currently resides.
Range: 5875 to 5925
Activity: Average
Type: Neutral
There have been a lot of changes in the DJX but when we left this index was struggling in the R1 ratio bandwidth therefore we were calling the daily range as 100 points depending on the open.
Back on the 2nd August R2 ratio was at 22200 and as it is still there it is safe to assume it has been there all along so the high last week of 22179 and its encounter with R2 was evidently the catalyst for the rather rapid retrenchment.
Despite the fact the NZ has moved up this index remains stubbornly above it and puts it in direct competition with the SPX, but judging by how ardent the bulls have been we don’t think this index will trouble itself too much.
Range: 21700 to 22100
Activity: Average
Type: Neutral
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August 15th, 2017 by Richard
FTSE and DAX Hedge Ratio Table 15th August 2017
Back on the 21st July we mentioned the huge potential range of this market and since then the ratios above the zone have hardly changed so the high last week of 7551.85 neatly coincides with R1.
Before we left we mentioned the NZ was going to change so to see it at 7350-7450 should also come as no surprise.
Back in July we were going for a low of 7250 so as it was 7296.48 we have missed that by a bit.
However being back in their zone with a day to go puts everything back on track, and is also probably why.
The astute may notice this is the more normal format but hopefully by tomorrow we will be able to produce the rollover format it should be.
Range: 7250 to 7350 or 7350 to 7450
Activity: Average
Type: Neutral
We left the DAX with a falling NZ and collapsing ratios so with this in mind it has actually done very well and ironically is back to where it was when we left, 12181.
Back in late July we don’t think we made any specific forecast here as basically the R1 ratio levels went from 12150 all the way up to 13050.
This index has never left bear territory and has essentially been in damage limitation mode, to which end it still has a day to go.
All we can add at this stage is the next NZ will in all probability be 12150-12550 tomorrow, so all this index has to do now is tread water for one more day.
Range: 11950 to 12250
Activity: Average
Type: Neutral
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August 3rd, 2017 by Richard
Well we got a sharp pullback in the FTSE just not quite enough to effect the change in the zone, but really you couldn’t come closer.
In fact so much so that we would expect it to be 7350-7450 tomorrow but now 7250-7350 is stating its case and that would shake this index up considerably.
Even without these changes Y1 now stretches for 200 points so the last couple of days are probably just the warm up and the main event is yet to start.
All the ratios are weaker below the current zone, and considerably so, therefore a quick move would be in everyone’s interest.
Range: 7250 to 7450
Activity: Moderate
Type: Bullish
If anything the abyss for the DAX just got deeper and the only crumb of comfort is that activity remains bullish.
On the flip side if the DJX’s exuberance cracks it really could get very messy here.
The NZ has dropped but more importantly so have the ratios below it, not only making further falls likely but if this market picks up any momentum then its saviour of late, R1, which is now down 200 points from the first encounter, is unlikely to be enough.
Range: 11950 to 12350
Activity: Good
Type: On balance bullish
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August 2nd, 2017 by Richard
US Ratio Table 2nd August 2017
The only development in the SPX is the fact that 2470-2480 may become the next NZ.
We do not think this is by design but rather the fact that this index has spent the best part of two weeks trading at this level, so more akin to natural erosion.
There is certainly no ratio driven reason why this should be the case, in fact the exact opposite, and activity again today reflects the confusion this is causing, so our best guess is that really this index wants to go down but the DJX is precluding it from doing so.
Whatever the reason the upshot of all this is that the ratios are almost exactly the same now as when this expiry started, so apart from the acres of Y ratio above the zone it still only goes up to R2.
Range: 2455 to 2505
Activity Very poor
Type: Not bullish
The NDX opened up strongly at 5900.64 which put it in the middle of its zone.
It didn’t get much higher but they did test the bottom boundary, getting as low as 5880.45 before finishing almost back to where they opened.
We are now approaching the point in the expiry where the big players if they are interested start getting involved, however we did notice that in the first quarter this index seemed to be left alone while everything, or everyone, concentrated on the DJX.
If that is the case this expiry then the NDX tends to become very compliant to the ratios, although there are precious little of them still.
Range: 5875 to 5925
Activity: Moderate
Type: On balance only just bearish
Just as we said yesterday it seems we are in a repeat loop of the first quarter when the DJX just did its own thing.
The open was up 70 points at 21961 so by the definition we have repeated below that would have made our range yesterday 21900 to 22000.
The high was 21990 but the low was 21940, but then it has got its blinkers on.
“Therefore back then when this index forced itself into a level it was uncomfortable with we saw it stuck within a 100 point range dependent on where it opened”.
Range: 21700 to 22200
Activity: Moderate
Type: Bullish
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