Does freedom for the FTSE beckon in the Aug expiry?

First look at Aug as freedom beckons for the FTSE.


Nb. Our comment from the 07/12/21 (Not published)

Nb. Our comment on 07/12/21


We did get our perfect expiry in July, in ratio terms that is, so we are very pleased naturally. And, we were more than happy with the index staying inside its zone all day on the rollover (Wednesday), but just to add that bit of extra icing on the cake, the market spiked up on the actual expiry to make the EDSP 7058.71, which was just in the zone as well. Happy days.

However, derivatives are a forward-looking game, so getting straight into the August expiry and you can see the zone is the same.

And, if you cast your mind back to the start of the July expiry, the market went down to test R1 at 6950 with the intraday low of 6948.63 on the 21st June before recovering to end the day in its zone.

We are not saying that this is going to happen, but that is exactly where R1 is at the start of the August expiry, and in another twist of fate, the market opened that day at 7017.47, where the open today will be 7008.09. Hmmmmm.

The good news, for the bulls at least, is that above the zone R1 does not kick in until 7250, and then it’s not R1 but R2.

This is a huge jump up in the dynamic delta from the Y ratios, so that will be like running into a brick wall should the market get there.

Should be a lot more fun this expiry, as there was no doubt about it that the FTSE was getting extremely frustrated being corralled within its zone for pretty much the entire four weeks of the last expiry.

So, if it only continues on with the level of sensitivity it had in the July expiry, then we have a potential trading range over the 5-weeks in the August expiry of 6950 all the way up to 7250, a probably very welcome 300-points. Enjoy.


Range:            6950  to  7050       

Activity:          Very good

Type:              Neutral



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July 19th, 2021 by