FTSE and DAX today’s rollover ratio levels and comment




So, it is goodbye to November today and right at the end the NZ has moved to 7350-7450 confirming our suspicions.

This also makes for a very neat and appropriate end to this expiry, namely finishing in its NZ.

At the very start of this expiry our forecast was “in its NZ at first and then decide” and indeed it stayed within 7450 to 7550 right up to the end of the second week.

We then saw 3 days above its zone, but not by more than 12-points, back inside and down to the other boundary before that gave way last Friday.

This rollover week was compounded by Dec and the change we eventually saw today, so all in all we are more than happy with our forecast and subsequent calls.


Range:            7350  to  7450

Activity:          Poor

Type:               Bullish



Just a trading day to go before this expiry becomes the alpha and it has already been apparent that it has been flexing its muscles.

Our forecast will follow on Monday but please remember this is the biggest of the big and as such it can get very excitable.

In fact, because there is so much more activity around, which includes equity, then people need to find a label for it and so be very wary of misdiagnosis and incorrect attribution.


Range:          7300  to  7400

Activity:        Poor

Type:            Bearish



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The NZ has changed in the DAX as well, back to where it was for the first three weeks of this expiry, but it does explain why the market stayed around 13050 all day yesterday, as this was the common denominator between the two.

Back on the 23rd October we forecast this index trading between the two R1 levels, 12650 to 13250.

In the end it never managed to break down below the bottom boundary of its NZ 12950, getting as low as 12931 but closing at 12953.

By that Friday it had hit R1, the high on the 27th being 13249, which put R2 firmly in its sights.

R2 was at 13400 at the start of this expiry and the market exceeded that the second week, the expiry high being 13525 on the 7th Nov and coincidentally with the collapsing ratio R1 was then at 13550.

So, the market was chasing a moving R ratio target but ultimately it finished back in the zone, so got the end right but the high was only in real time not as forecast.


Range:            12950  to  13050      or       13050  to  13450

Activity:          Outstanding

Type:               Bullish



Even for the mighty Dec expiry the activity here, although decent, was nowhere near what we saw in Nov where they certainly saved the best for last.

Which is good as hopefully this interest will translate across today or early next week because this expiry certainly needs it still.

The only change is R3 comes in a bit and still no indication that the NZ wants to move.


Range:           12850  to  13250

Activity:         Moderate

Type:              Neutral



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November 17th, 2017 by