DAX Rollover Ratio’s 17th Oct 2017
Really you have to give the FTSE ten out of ten for effort as yet again they laid siege to 7550.
It had slipped back yesterday but we always say the day after it can still carry a punch especially if it has just dipped below the threshold.
However, for the last 4 days of last week the high was right on it and in fact the last 2 real time closes were also right on it, so it has a reputation as well.
On the flipside if it ever decided to test 7500 we should point out that here it is only just above the R2 threshold, so probably by the end of today it will be R1.
Range: 7450 to 7600
As we mentioned yesterday we have seen the NZ move up to 7450-7550 today, which means it now envelopes the market, rather neatly.
Of course, it is far easier for the formative expiry to move, especially if it is to where the market is, but the big question is whether or not it will drag Oct with it.
This remains to be seen but here it is nice to see above the zone the ratios in ascending order and evenly spaced.
Below the only change is the introduction of Y2 which makes it look a lot busier than it really is.
Range: 7450 to 7550
Type: On balance bearish
Well for the DAX you just have to give them ten out of ten for self-control, remarkable really.
The ratios have resumed weakening above the zone and strengthening below it but the NZ has still not budged and the clock is ticking.
Although, just a daily range of 26-points on such a large index, or 0.20%, is abnormal, and at this particular point in an expiry you can stick weirdly in front of that.
Range: 12850 to 13150
Type: On balance only just bearish
We came across last expiries DAX rollover and on the last day, for reference 15th September 2017, we said “the NZ could be anywhere between 12150 and 12550, effectively 400-points of zero ratio, what fun”
However, and more importantly the trading range was 12250 to 12900 and on the first day of the Oct expiry the market closed at 12559 and for the last two weeks it has been 12900.
It may still be early days for November but it is worth while keeping an eye on the ratio levels and how they develop as they will very likely have a direct impact on the 4 weeks following this expiry.
Range: 12750 to 13250
Activity: Very good