Dynamic Delta proves effective in SPX , NDX and DJX . Today’s Ratio Table, levels and comment.

SPX , NDX & DJX Ratio Table 11th December 2018

Jack-hammer markets is the phrase you have been looking for.

A sharp plunge down to support, for the SPX this has been R3, followed by the longclimb back up before plunging again trying to drive that R3 further down.

Wednesday 6th December was fantastic as it plunged 78.53-points to the intraday low of 2621.53 hitting R3 at 2620 before recovering all the way back up to 2695.95.

Don’t forget back on the 20th November the SPX hit the intraday low of 2631.52 and a couple of days later 2631.09 when R3 was at 2620, before recovering all the way back up to 2800.

So, yesterday’s intraday low of 2583.23 was a bit passed R3 at 2595, but it was strike 3 if not 4, and it also had to wait for the DJX to join the party, please see below.

Nevertheless, we still saw a 55-point bounce.

The fact this index closed just above R2 gives it a glimmer of hope, as does the fact that the zone has eventually made its move, which will hopefully bring an end to the constant undermining of the ratios here.

At the end of the day the ratios have been doing their job, which is revealing where the dynamic delta hedging will be, which recently was R3 worth of futures buying, and although we can’t predict how the market will react the evidence recently is overwhelming, highlighted by there being so much Y ratios still around.

Range:            2595  to  2635        or        2635  to  2695

Activity           Poor

Type:              On balance only just bearish

Click here to buy
Click here to buy now

Boy, we bet they are glad they chose the biggest of the big expiries to implement this “overhaul”, not.

Nevertheless, it still hasn’t stopped them adding countless more unnecessary strikes.

It wouldn’t be so bad if it actually achieved some activity, but, again, it very obviously hasn’t.

The zone is back to where it should never have changed from, which only goes to prove how desperately low the already classed as minimal, Y1 ratio actually is.

The big drop on Thursday 6th December of 164.39-points here in the NDX (if you hadn’t already guessed) took this index to an intraday low of 6630.82, pretty much bang on Y2 at 6625.

Today, Y2 is at 6550 and yesterday’s intraday low was 6534.33 out of interest.

Huge moves in the markets and huge swathes of Y ratio, again, exactly what we said there was a risk of back during the rollover, literally a month ago, and perfectly exemplified by this index, where the Y1 ratio bandwidth alone still stretches for an unbelievable 650-points.

Don’t forget the rollover and expiry begin next week, and we normally warn of a build up in volatility in light of that, so if you think the last couple of weeks have been good/bad then the potential for it to ratchet up even more is certainly there. What fun.

Range:            6550  to  6775

Activity:          Poor

Type:              Neutral

Click here to buy
Click here to buy now.

Don’t forget jack-hammer markets.

For the DJX this meant a plunge of 785-points to the intraday low of 24242, which was definitely a test of R1 24200, before recovering all the way back up to 24947.

No coincidence that 24900 is the bottom boundary of its zone we reckon.

Makes that a Y ratio bandwidth test into the bargain.

Next day, again no coincidence we feel, that the intraday high of 25095 was a hit oftheir zone’s upper boundary, before it gave up 707-points.

Incidentally that day the intraday low was 24284.

Then, yesterday, the intraday low was 23881 which was a test of the next ratio level, which happens to be R3 at 23900.

Again, we witnessed a 619-point bounce.

Jolly good stuff really.

Yet again, no change in the ratios.

Range:            24200  to  24900

Activity:          Average

Type:              Bullish

December 11th, 2018 by