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 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 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.
