Category: Uncategorized
July 5th, 2017 by Richard
Tuesday was a rather uneventful day for the FTSE most certainly not helped by the US being closed.
In fact the most exciting moment was the closing auction when it suddenly burst into life and lost 13.45 points, the biggest move of the day easily (5 min bar).
7350-7450 is still making inroads into being the next NZ, and the ratios continue to fall below the zone, highlighted by DR slipping from 7050 all the way to 6950.
As one can see from the table there is plenty of Y ratio above and yet it has not let go of R1 at 7350, so the jury is still deliberating we feel. Also please remember what we said about how weak R2 is at 7300 now.
Range: 7300 to 7350 or 7350 to 7450
Activity: Moderate
Type: Bullish
The most exciting moment for the DAX yesterday was also their auction where they managed to give up the rather impressive 23.3 points.
Of course here the NZ slipped a surprise 100 points on Tuesday and but for the smallest possible margin it would have dropped the same again today, so very likely it will be 12550-12650 tomorrow.
The other big difference here is R2 appears again below the zone, highlighting how weak the ratios are here if the collapsing zone had not already alerted you.
Not so much the jury being out here it’s more what they can or perhaps have got away with.
Range: 12350 to 12650
Activity: Good
Type: Bullish
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July 4th, 2017 by Richard
Not exactly what we would call an emphatic break from the FTSE yesterday as it hit the top of our trading range at 7350 first thing, tried very hard but failed and then traded mid range until the afternoon.
Then it took a resurgent Street to force them over 7350 and back into the Y ratios.
Just in time as the ratios below the zone have tumbled, R3 being the noticeable move to 7200, but R2 at 7300 that provided that much needed support on Friday (low 7302.71) is now just hanging on by its fingertips.
The real issue for today is whether the NZ will change to 7350-7450, which is likely, then this will just reinforce today’s trading range.
Range: 7350 to 7450
Activity: Average
Type: Bullish
The DAX being in a very similar situation to the FTSE was more emphatic about their move, and the open here at 12396 also took them right up to their R1 ratio level, but here they managed to push on up and through it.
In fact the low here was 12390 so they were in no mood to retreat either.
The big news here is the drop in the NZ, which wasn’t flagged, but with so much minimal Y1 around still was easily possible but also goes to highlight how weak the ratios are below the zone, so again like London this recovery is “just in time” and puts it back into this vast expanse of Y ratio so hang on tight.
Range: 12350 to 12650
Activity: Average
Type: Bullish
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July 3rd, 2017 by Richard
Friday for the SPX was all about seeking refuge, a chance for a re-evaluation as it were.
It gaped up a rather impressive 9.5 points right to 2429.20 which is also the top boundary of their NZ, the high of 2432.71 came later in the day and after the low of 2421.65, which is very close to a test of the bottom boundary.
Therefore for almost the entire day it spent inside its zone, so hopefully it will have come to a decision as it has now twice tested and twice closed in bear territory so it knows where that is now.
Range: 2420 to 2430
Activity Very poor
Type: On balance only just bullish
The NDX was basically a carbon copy of the SPX, the difference here is that activity was very high indeed at the end of last week and this historically suggests an agenda or view that is normally not static.
Anyway the open was up 23.38 points at 5676.40 also right on their NZ’s upper boundary, the high was 5681.90 and the low was 5637.74, which was similarly not quite a test of the bottom boundary, but again almost all day inside their zone.
The only other difference is here it has been below its zone into bear territory, once, but has yet to close below it.
Range: 5625 to 5675
Activity: Very poor
Type: Bearish
Rather surprisingly the DJX is the odd one out as it only managed a 61 point gap up at their open which only took them into the bottom quarter of their NZ.
In their defense they do have a 200 point wide zone so it is the widest and if the others are being restricted to a tight range it provides very little opportunity here.
However with a high of 21426 and a low of 21325 this index did spend all day inside its zone.
Y2 below the zone has moved up slightly and above the zone it has also improved marginally and we see R1 again.
Range: 21300 to 21500
Activity: Very poor
Type: Bullish
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July 3rd, 2017 by Richard
The FTSE just like Germany is in R1 ratio but here R2 at 7300 held with the market low being 7302.71 and more importantly it has remained the same today.
The change here today is the introduction of Y1 which brings about the likelihood of a change in the NZ to 7350-7450, and the first backward step (bearish) we have seen in a while.
These two markets are effectively fighting against the same ratio levels, differing degrees of fluidity admittedly but at least they are in sync, it’s just the distance between the respective ratios on each market is markedly different which is why one has been moving by a far greater percent than the other.
Range: 7300 to 7350
Activity: Poor
Type: Neutral
We said Friday was a big day for the DAX in particular the open which was a rather timid rise of 8 points to 12424, the significance of this was that it was still in the R1 ratio bandwidth.
So when it got to 12450 (high 12459) it didn’t have enough strength to break through and back into the Y ratios which left the other end of our trading range 12350 and R2 a distinct possibility.
The low was 12319 and even by it didn’t manage to get back to it but fortunately the ratios have all fallen considerably below the zone and R2 has gone altogether.
This makes R3 at 12250 not only a considerable step up in ratio but also a very stern test for the bears and with R1 at the other end then above 12400 it will now be back in the Y ratios.
Range: 12250 to 12400
Activity: Average
Type: Bearish
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June 30th, 2017 by Richard
Again just as we said this should be what happens in so much Y ratio for the SPX and at its worst it was down 35 points.
At least it has sparked a degree of activity but also don’t forget this is a long expiry so there are still 3 weeks to go.
It didn’t test R1 so that could still be on the cards and the close, having recovered an impressive 15 points, is so near to the bottom boundary of its NZ it is almost churlish to mark it below, but we have just for the sake of 0.30 of a point.
Range: 2370 to 2420 or 2420 to 2430
Activity Good
Type: On balance bearish
What a coincidence for the NDX, not that we believe in them where markets are concerned at all, but after such a tumultuous day this index ends dead centre of its NZ.
More importantly there have been another swathe of strikes added, although after two such additions it is still but a third of how many the mighty June had, and activity has gone stratospheric.
Impossible to tell if it’s insurance or directional, but if it’s the latter then there is still far too much Y ratio so the fun could just be getting going.
Range: 5625 to 5675
Activity: Off the scale
Type: Bearish
We have to be churlish again in the DJX and mark it just below its NZ, although 13 points is a very close call on a twenty one thousand point index.
Perhaps worth considering is that if it wasn’t for ourselves being particular all three indices would be in their respective zones.
More importantly the high here yesterday was 21487, coincidentally (hem hem) also 13 points, which is a test of the upper boundary of their NZ, so therefore yesterday was a NZ Bandwidth test so we would therefore expect a breakout today.
The big change in the ratios is Y2 below the zone drops back to 19100, which is a scarily long way away, just saying.
Range: 19100 to 21300 or 21300 to 21500
Activity: Moderate
Type: Bullish
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June 30th, 2017 by Richard
As we said yesterday in the FTSE “it still needs to test 7350” and as you can see by the close it has certainly done that.
However there was a lot more to Thursday as right at the start the market spiked to 7451.95 for yet another test of the bottom boundary of its NZ, but more importantly, apart from our trading range, was that this makes it a bandwidth test so expect a breakout today.
Rather unfortunately for the FTSE it is bumping up against R1 so it is experiencing support whereas every other market is yet to find theirs, so it is the odd one out for sure and possibly not in a good way.
Range: 7300 to 7350 or 7350 to 7450
Activity: Poor
Type: Bullish
It started brightly for the DAX gaping up 60 points at the open and almost made it all the way back to test the lower boundary of its NZ again.
The fact it only got to 12729 was not good and with a weak Street and so much Y ratio around still, and the fact the market knew it now, a test of R1 was on the cards as it was in London.
The difference was the DAX had a lot further to go to get to their R ratio so hence it fell 1.83% whereas the FTSE only dropped 0.51%.
Big day, and open, today as it has overshot slightly but nevertheless this is the first test for the bears as they will now see some futures support.
Range: 12350 to 12450 or 12450 to 12750
Activity: Average
Type: Bearish
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June 29th, 2017 by Richard
Ratios for SPX NDX DJX
Just as we said yesterday in the SPX “as it discovers that it continues to not encounter anything higher (than Y1 ratio) these swings should start to increase”.
This holds true for today as well and interestingly it seemed to totally ignore its NZ, although this move does fulfil our requirement of at least touching its zone at some stage during the expiry.
Overall the Y ratio bandwidth still stretches for 100 points so there is still a lot left in this expiry regardless of the fact that from the open on the first day at 2442.55 this index has moved less than 2 points, but it has been a very exciting fall of 1.86 points.
Range: 2430 to 2455
Activity Poor
Type: On balance bearish
And more of the same we certainly got here in the NDX and more importantly it seems the other two have now realised how little ratio there is in their respective markets and have joined in.
We have seen the NZ move up a notch, and any move up is good but this seems to us, like the recent DJX move, it is more by default than design and inspired mainly by the lack of ratio rather than anything else.
Still a huge swathe of minimal Y1 ratio so expect more of the same and just to remind the “step up’s” come at 5825 and 5900.
Range: 5650 to 5925
Activity: Good
Type: On balance just fractionally bearish
A strong open for the DJX being up 62 points at 21372 meant yesterday’s low and close at 21310 remains the first test of lower boundary of this NZ.
The high yesterday of 21478 is also very close to a test of the upper boundary, being just 22 points shy, as it is such a large index, and despite being just 0.10% we are not calling this a bandwidth test although we admit this is very much one of those 50:50 calls.
If we do get a breakout here and the DJX does eventually join the party as we said there is more Y1 ratio here than in the NDX so 2% + moves could easily become standard.
Range: 21300 to 21500
Activity: Moderate
Type: Bearish
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June 29th, 2017 by Richard
FTSE and DAX Hedge Ratios
Perhaps all it needed in the FTSE was a gentle reminder that 7400 was not nearly as scary as it once was, not that R1 should be that scary.
Nevertheless it didn’t stop London from testing the bottom boundary of its NZ again, and failing just short is natural for strike 2, with the high of 7445.31 before finally capitulating.
However it still needs to test 7350 and hopefully the dynamic delta support from here will invigorate the bulls enough to enable the market recapture the NZ which would of course be strike 3 as well.
Range: 7350 to 7450
Activity: Poor
Type: Bearish
London could learn a lot from the DAX as right from the start it opened down 85 points at 12586 and then went on to test their Y2 at 12550.
The low here was 12536 so it was a good solid test but the rebound all the way back up to almost breakeven was the result, but clear and decisive unlike the FTSE.
Furthermore it shows good consistency as the high so far this expiry was back on the 20th June when it hit 12951, which is of course the corresponding Y2 above the zone, and when we throw in a NZ bandwidth test just before the break down below the zone it is a perfect example.
Range: 12450 to 12850
Activity: Poor
Type: Bullish
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June 28th, 2017 by Richard
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