NDX still so very thin in Nov, Dec expect dynamic delta to kick in, today’s ratio rollover table, levels and comment.

NDX Nov to Dec Ratio Rollover Table 16th Nov 2018



Just as suspected the big players haven’t surfaced here in the NDX, but also, they have stopped adding strikes, although having done so ad nauseam there was little space left to cram anymore in.

Our last comment had seen this index bounce off R1 at 6650 and back into its zone, which was then at 7175-7225, in what was a rather stellar recovery.

However, our very words were “so still a stupid amount of Y ratio bandwidth” referring to the 400-points of Y1 remaining below the zone, and although the zone itself has shifted southwards this bandwidth is still 350-points wide.

Furthermore, it is only just Y1, and as the step-up level doesn’t appear until 6775, we don’t think that should this index expire anywhere between this level and 7225 nobody is going to hurt that much.

Well, perhaps almost as much as noticing a fly landing on your arm.

Range:            6725 / (6775)  to  7075

Activity:          Moderate

Type:              Neutral



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Now the Dec expiry is a different matter, as the Y1 ratio in evidence here is at the other end of the scale, so rather than just registering it is actually just below the threshold of Y2.

This means that the zone, which is already a very long way above the market will find it a lot harder to move, and if it doesn’t is actually very bullish.

On top of which the market is already deeply in the Y2 ratio bandwidth (6670 to 7075), which is also bullish, so really when this becomes the alpha expiry on Monday it will just be a case of tolerance, as every point below here will result in futures buying courtesy of the dynamic delta.

Furthermore, the Y2 ratio from 6825 and below is just below the R1 threshold, so expect a lively start.

Range:            6670 / (6825)  to  7075                    

Activity:          Average

Type:              Neutral     



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November 16th, 2018 by