FTSE volatility to ease as Y ratio disappears.

FTSE volatility to calm down.


Nb. Our comment from the 01/25/21


Well last week was most definitely all about R1 at 6700, and it took 3 strikes to break down below it, which was all very by-the-book (or should we say “numbers”).

The intraday lows of 6697.67 and 6697.46 on Tue and Wed respectively were only breached on Friday, when 6700 hardly proffered any resistance at all.

Although, those followed the FTSE closely, would have noticed the market bump its head at that level and retreat, late on in the afternoon.

However, before we get on to this week, we would like to point out that the intraday high on the FTSE on Friday was 6715.66, which is (we suppose) connected from, or to, the fact that the previous market close and next day open, are one and the same, in this case 6715.42.

The point being is that, in the real world, the market open was nearer 6700, so we are at a total loss to explain this statistic. And for all you algo traders out there today, back in 2001, when we were called “mechanical”, the first maxim was “crap-in = crap-out” when talking about data, which, after all, is what it is all about.

Anyway, there have been huge changes in the ratios, driven by the fact activity has registered as “good”, which is actually rather impressive for this expiry at this particular time.

The main point to note, is that 6700 doesn’t feature anymore, cue drumroll.

This means that this index is now in its Y ratio, which ironically was also the situation when it eventually ducked below 6700.

Worth noting that the intraday low on Friday was 6651.71.

So, in similarity with the SPX, it is in a huge Y ratio bandwidth now, overall standing at 450-points, but above the zone it is 250-points alone…enjoy.


Range:            6550  to  6800       

Activity:          Good

Type:              On balance just fractionally bearish



Nb. Our comment on 02/01/21


It seems an age ago we were saying how lop-sided this market was, and it was tangling with R1 all the way up there at 6700.

But it has only been a fortnight.

Probably worth your while going back and checking on our note of the 18th January.

Of course, the ratios are all about the dynamic delta, and as such they are dynamic in their own right, and so much so recently, all that “very scary” Y ratio we have been mentioning, has all but vanished.

All that now remains is just 100-points above the zone.

Hands up, we didn’t see that coming, or at least not so quickly.

But it does go a long way to explaining why this market was loitering around in the vicinity of its zone for so long.

And, moan, moan, moan, but this stupidity of the open being the previous days close, totally distorted Thursday 28th, as the open should have been circa 6515 and the intraday high 6549, not both being Wednesday’s 6567.37.

As the intraday low that day was 6439.55, then the high of 6549, made that a zone bandwidth test.

So, no great surprise to see a breakout on the Friday.

OK, so it’s no longer Y ratio below the zone, but the levels are the same, so 6350 is still the critical number.

In fact, it makes it very appropriate, as at the start of this expiry, the market started in R1, the only difference being that this was above the zone.

There are still three entire weeks to go, but with the disappearance of most of the Y ratio, hopefully everything will now calm down considerably.


Range:            6350  to  6450       

Activity:          Moderate

Type:              On balance just fractionally bearish


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February 1st, 2021 by