Category: Uncategorized
July 26th, 2017 by Richard
The FTSE did try to get back into its NZ managing to get as high as 7453.74, but ultimately failing.
Interestingly the high on Monday was 7453.22 but of course then it was already inside its zone so it doesn’t count as a strike.
This means today’s open is going to be critical, but being London (with their unique open) this actually means the first half hour.
If they get back in the zone then there is 100 points of no ratio above them, but if they fail then they are still sitting on top of a 200 point Y ratio bandwidth, hence 7450 being critical.
Range: 7250 to 7450 or 7450 to 7550
Activity: Good
Type: On balance definitely bullish
At least the DAX hasn’t been back down to revisit R1 at 12150 but otherwise the news is not that good.
Firstly the high yesterday was 12301 and at that time Y2 was at 12300 so it couldn’t break out and back into the Y1 ratio.
There is a glimmer of hope as the ratios below the zone have all fallen and so today Y2 starts at 12250 so by default this index is back in the Y1 ratio bandwidth, which makes the open today critical here as well.
However the ratios are all firmer above the zone so together that is a bearish sign, but as we said yesterday we suspect the fate of this market now rests with what the others are going to do.
Range: 12150 to 12450
Activity: Average
Type: On balance decidedly bullish
Posted in Uncategorized
July 25th, 2017 by Richard
No change in the SPX’s NZ today although tomorrow perhaps Thursday and we should see it at 2445-2455.
This delay really is not helping as this index misses yet another day to build ratios, which is happening below the zone no problem but above it today R1 slips to 2505.
The ratios are going to continue to be weaker above the zone until it does finally move, and our issue is that this is the exact time it should be developing here so if it misses this opportunity it could end up stunted throughout.
Great if you are a “sky’s-the-limit” bull but we much prefer to see natural fully developed market, which of course does not preclude the bulls it just means they actually have to literally buy into it not just talk it up.
Range: 2430 to 2505
Activity Average
Type: Neutral
Talking about “sky’s-the-limit” bulls the NDX is now only up about 24% this year and judging by how much Y ratio is still present the door is still wide open, or should that be the skylight?
The ratios are better below the zone, then weaker around the current market level then firm up further out, which remains a bullish signal and being in the middle of a 200 point Y1 ratio bandwidth there is nothing to stop them, although that works both ways of course.
Range: 5825 to 6025
Activity: Moderate
Type: Neutral
It is a huge day for the DJX today, and therefore by default the US markets overall.
The low yesterday was 21496, where it was for quite a while, so a very solid test of the upper boundary of their NZ.
The fact it came back to close where it did, which is effectively right on it, means the open and first 5 minutes of trading are going to be critical today.
Below 21500 and it is back into its zone with 200 points of no ratio below it whereas a strong start and it has 200 points of minimal Y1 ratio above it and then a huge jump in ratio straight to R1, so bit of a brick wall. Have fun.
Range: 21300 to 21500 or 21500 to 21700
Activity: Good
Type: Bullish
Posted in Uncategorized
July 25th, 2017 by Richard
We said yesterday in the FTSE that the open would be crucial and it did try, which resulted in the high of the day at 7453.22, but in the end it was just not enough to keep it in its zone.
Once below 7450 and into all that Y ratio there was nothing available to provide any support, but what we also said yesterday was the distinct possibility of 7350-7450 being the next NZ.
Coincidence or not but we couldn’t help but notice that the low was 7357.50 and of course we mention the high above.
It is perhaps also worth mentioning that the auction added a massive 17.82 points to the real time close, so being in the middle of a 200 point Y ratio bandwidth only means more days like Monday to come.
Range: 7250 to 7450
Activity: Strong
Type: On balance bearish
About mid morning the DAX went down to R1 and had a very solid test of it at 12150, getting as low as 12142, but it was the 20 or so minutes it spent there that was the real yardstick rather than the depth of penetration.
Certainly this index is not out of the woods yet but it was a very convincing rally which even held its nerve when the Street looked weak, not to mention what was happening in London.
Activity remains high but surprisingly no change in any of the ratios, but what there is now has far greater depth.
We feel the issue is now not here but rather what will happen in the US and if the DJX especially will upset their particular apple cart.
Range: 12150 to 12450
Activity: Very strong
Type: On balance bearish
Posted in Uncategorized
July 24th, 2017 by Richard
SPX, NDX and DJX Ratio Table 24th July 2017
For the record the SPX’s NZ in July was 2445-2455 at the end and the settlement was 2465.65 so very close and in the minimal Y ratios but also very calm and relaxed.
Here in August the NZ is still at the old level which we would expect to change very soon, and in fact it may even go one better and jump to 2470-2480.
No two ways about it the ratios only go as high as R2 above the zone and with a rising NZ then the potential is obvious so the only question is whether or not they will be allowed to, and the answer to this we feel lies with the DJX.
Range: 2430 to 2500
Activity Very good
Type: Neutral
The settlement in the NDX was 5892.11 and at the end their NZ was 5875-5925, which actually means they were the only ones to settle inside their zone.
As you can see August is still seriously underdeveloped so again a small pebble in a small puddle makes relatively big waves, which is this case where activity is concerned here.
The big issue here is that we are back to a 4 week expiry and therefore everything should be quicker than in July, so if the big players are circling then we would probably be looking at week 2, which means possible weakness until then.
Range: 5825 to 6025
Activity: Very strong
Type: On balance just fractionally bearish
The settlement for the DJX was 21567 and their NZ in July was 21300-21500, so very close but again all very calm and relaxed. In fact the only obvious reaction was at the very start of the day to get the settlement prices as close as possible, but it almost seemed bit of an afterthought.
More importantly the real issue here is the proximity of R1 to the market and if it gets there to test it how it will react?
Remember that for almost the first three weeks in July this index never left its NZ so as it is starting outside it this expiry it is going to have to be aggressive from the word go, and to us at least it is not giving that sort of impression.
Range: 21500 to 21700
Activity: Very poor
Type: Bullish
Posted in Uncategorized
July 24th, 2017 by Richard
FTSE and DAX Ratio table 24th July 2017
Welcome to the FTSE August expiry and back to the more normal four week format, this does tend to be a bit more exciting and which expires on 18th.
Being a rollover between intermediaries there is naturally a lack of ratio which can also add to the excitement as it can allow for greater volatility.
Friday saw this index claw itself back into its NZ for the close which it has held onto, albeit only just, despite losing 5.13 points in the auction, so the open today is critical.
The two main aspects to note are 7350-7450 now becomes far more obvious as the next potential NZ with the appearance of Y1 and above the current zone the ratio starts at R and climbs very steeply.
Range: 7250 to 7450 or 7450 to 7550
Activity: Very strong
Type: Neutral
We would say welcome to the DAX but it isn’t in a very good place at the moment, and one really of its own making.
The first issue is when they lost control of the rollover last Tuesday, having been camped in their NZ for the previous few days. However this in itself was not the problem which was really their lack of desire to remedy it.
The second issue is the fact that they take so long to develop an expiry, what we refer to as a slow burn, so when something does go awry there is nothing in place to help.
This was further hindered this time by the change in the NZ as this also impedes ratio development.
R1 saved the day last expiry at 12300 so fingers crossed this time as there is precious little else as backup.
Range: 12150 to 12550
Activity: Strong
Type: On balance just bullish
Posted in Uncategorized
July 21st, 2017 by Richard
Of course we would have liked to see the SPX inside its zone for the rollover and failing that for the settlement, and the ratios have done their bit with the NZ moving up to 2445-2455 as anticipated.
However for such an active week we can’t remember having ever seen such a relaxed market.
The last 4 closes are all within 13 points, which is next to nothing and more to the point the daily range can only just about average 8 or 9 points, which is virtually nothing.
If it is happy then what can we say but glad to see it although this is definitely a new twist to us.
Range: 2455 to 2485
Activity: Average
Type: On balance decidedly bearish
It could just be that July is not that bothered as it is already anticipating August and where July started hitting R1 originally at 2465 last Friday here it does not even start until 2495.
On top of that, and which is the entire point, the ratios only go up to R2 so it is bit of a vacuum at the moment.
The flip side is that although the NZ is very likely to move up we still don’t get the corresponding R1 ratio level until 2370 so there may well be scant resistance but there is equally no support for a very long way.
Range: 2430 to 2495
Activity: Good
Type: On balance just bearish
The adage “no prisoners” comes to mind as that’s what has happened as even up to the end we are seeing very high levels of activity.
So much so what was Y2 yesterday becomes today just the upper boundary of the NZ which bounds ahead a massive 100 points to coincidentally embrace the market.
The ratios are a product of activity and are purely arithmetic and we just crunch the numbers and interpret, although here we don’t think there is any need of a translator.
Range: 5875 to 5925 or 5925 to 5975
Activity: Strong
Type: Bearish
In keeping with the trend the NZ in August has also moved up although to be fair with so much Y1 around still it could end up anywhere.
For example the step-up level within the Y1 ratio bandwidth above the zone remains at 6025 which is still 100 points above the current market let alone the actual Y2.
This in itself is not too bad but when you consider this index is on day 10 of closing up having added 322 points over this period and it is still that far away then it really shows how thin it really is here.
Range: 5825 to 6075
Activity: Strong
Type: On balance just fractionally bearish
The lackadaisical nature of the SPX we suspect has impacted the DJX leaving it close, just over 50 points from its upper boundary, but with no great desire to do that much about it.
Considering the close here on Monday was 21629 it has hardly moved all week, so like we said with the SPX it looks content to be here.
Although we should point out that an almost 6% jump in the NDX over the last couple of weeks must have placed a considerable degree of upward pressure on these two indices so to finish even close is actually doing quite well really.
Range: 21500 to 22100
Activity: Moderate
Type: Not bullish
In August we suspect a lot will depend on how involved the DJX decides it wants to be.
In July it spent the first 4 weeks in its zone and saved the market by refusing to break down below it so the close today will be vital.
Basically a close inside its zone and we are back in the same familiar territory as the last expiry but if it closes above then it will have to make a choice.
If it is forced to make a choice then the appearance of R1 replacing Y2 at 21700 may well have an impact, so it looks like the ball is firmly back in the DJX court.
Range: 21500 to 21700
Activity: Off the scale
Type: Neutral
Posted in Uncategorized
July 21st, 2017 by Richard
As we said there is now no need for the FTSE to stay inside the zone, and it hasn’t, right on cue.
Ironically in doing so, although this close to the settlement the cause is a bit chicken and egg, but the falling ratios have thrown up the distinct possibility that the NZ may well move to 7450-7550, but with just hours to go this is immaterial.
However for the record the ratios have fallen across the board, so much so we see the return of the Y ratios below the zone.
Range: 7450 to 7550
Activity: Poor
Type: Bearish
Although July’s NZ is seemingly just a day away from joining Augusts’ at 7450-7550 this expiry is still signalling that it may in fact join July’s at 7350-7450.
Of course this expiry has 4 weeks to run so it has the potential to change whereas July is pretty much a done deal.
Where the NZ starts is obviously crucial to our forecast for the next 4 weeks but as things stand then the range is a massive 7600 to 7250, a impressive 350 points and on the top side it is backed up by R3, a jump of a complete level, at 7650, which for us is bit of a line in the sand.
On the bottom half R2 is 100 points below R1 and the current market is a lot closer to the top of this range than the bottom.
Range: 7450 to 7550
Activity: Very good
Type: Bearish
We can’t say the DAX didn’t try to get back to its NZ as it managed to get as high as 12575 but it never seemed to have any conviction.
It is in a 200 point bandwidth of the minimal Y1 ratio that can easily become the next zone, especially at this point of time in an expiry, so it is very close but sadly no prize this time.
For us the operative word here would be conviction as it was doing fine and very early too but after that scare on Tuesday when it lost 157 points it never really recovered, or seem to have the desire to do so, therefore they evidently think this is good enough.
Range: 12250 to 12550
Activity: Poor
Type: Bullish
However August is taking no chances and the NZ here has dropped considerably and with just 3 points in it on a twelve thousand point index we have nevertheless placed it below the zone for one reason.
That is the auction added 15.26 points so in real time the market actually closed at 12431.
One of the problems of a NZ having to adjust, unlike London, is that it distracts from allowing the ratios to build and so you can get a situation like this where there is still 900 points between the R1’s.
Don’t forget last expiry this index went from Y2 at 12950 all the way down to R1 at 12300 which is 650 points so it’s not impossible.
Range: 12300 to 12450 or 12450 to 12550
Activity: Very strong
Type: Neutral
Posted in Uncategorized
July 20th, 2017 by Richard
SPX Rollover 20th July 2017
The SPX is chasing the retreating R ratio which is acting as if it is mid expiry rather than facing the actual expiry.
We have seen this index miss on the rollover and on the settlement price before but always for a reason outside derivatives control so this would be an absolute first that it has ignored it entirely.
On the subject of the NZ it is effectively 2445-2455 (having lost 83% today) but this still means this index is 18 points above this, not a lot but still one not to miss under such benign circumstances we suspect.
Range: 2430 to 2480
Activity: Moderate
Type: Bearish
Activity is certainly acting as if a normal rollover had just occurred so it is all a bit odd that the market is holding up and not reacting.
It is also a bit odd that the VIX has traded below 10 for 5 days in a row, a record, as when we say activity is normal here we mean a lot of it and predominantly puts, so perhaps there may be no fear in the market but there certainly is insurance being paid for.
The other main aspect to note is above the zone the ratios still only go as high as R2 which in the scheme of things for this index is next to nothing.
Range: 2430 to 2495
Activity: Off the scale
Type: On balance bearish
Posted in Uncategorized
July 20th, 2017 by Richard
FTSE Rollover 20th July 2017
The FTSE managed it so recognition where it is due as it could not have been that easy, although as we mentioned the absence of the amber gambler certainly smoothed the path this time.
There was a slight moment of trepidation when the market got as high as 7442.84 but as we are now in the grey area it is not so relevant as whether or not that was a test of the upper boundary, but at any other time we would have said it was for the record.
Perhaps worth noting that the auction added 11.32 points but from our stance there is now no need for the market to remain within its zone even though it may well choose to do so.
Range: 7350 to 7450
Activity: Poor
Type: On balance decently not bullish
From here on in this expiry should exert an influence, the trouble is determining how much and that is why we always say today and tomorrow both but neither are in charge.
However for the first time we are seeing a strong signal that 7350-7450 may be the next NZ here, joining July, and as this is the grey area then the ratios can shift quite dramatically.
In July this index traveled 250 points between R1 and R2 so it is worth noting that as things stand here between the two R1 ratio levels it is an impressive 350 points and it is a 4 week expiry.
Range: 7250 to 7450
Activity: Very poor
Type: Neutral
Posted in Uncategorized
July 19th, 2017 by Richard
HRA Rollover NDX 19th July 2017
Surprisingly no further change in the NZ today although the ratios continue to tumble above the current zone.
At the end of the day on the rollover the market is 100 points above its zone, but also very much like the SPX recently it hasn’t been that worried as long as it is in Y1.
For us we would expect the NZ to move to 5775-5825 by Friday but even then it is still 55 points above it.
However we did mention the step-up yesterday was still at 5875 so it was interesting to see the high and close so near, and today even this level has moved to 5900 the ratios are falling so fast.
Range: 5775 to 5925
Activity: Poor
Type: Bullish
The August NZ has not so much moved today but rather expanded and now covers 75 points.
This is an ever present situation when the development of the ratio are so retarded and with just a few days left to go now until this becomes the alpha expiry the R ratios are so far away at either end they might as well not be there at all.
Perhaps it is worth noting that the close of the NDX at the end of the June expiry was 5681.48 therefore so far in the July expiry this index has added 198.62 points or 3.5%, which on an annual basis is 42%.
At the end of the December 2016 expiry the NDX closed at 4808.04 so it is already up 22.30% and the point is a lack of ratio works both ways, although at present it seems to imply a limitless upside.
Range: 5800 to 6100
Activity: Moderate
Type: On balance only just bullish
Posted in Uncategorized
