Nb. Our comment from the 01/18/21
We don’t normally include our last comment (from the Jan expiry) but this time we are making an exception, basically because it’s worth noting what we said “Guessing on how things might turn out, based on a lot of expiry end-games, getting this market below 6750 will be an impressive achievement for derivatives” and the fact that the EDSP was 6767.92.
Also, in another break from the norm, in the table above we have included last year’s Feb expiry ratio table.
Not for nostalgia purposes, for those that remember the market north of 7000, but to highlight how unusual today’s table is.
Although they both do have one striking similarity, which is that they are both top-heavy, or as we have been saying recently, lop-sided.
For those that remember how aggressive the last expiry was, with the FTSE taking on DR, and how critical 6850 became, then the big question is whether or not this attitude will persist in the Feb expiry.
It is always very difficult to strip out how much of Friday’s price action was down to the Jan expiry, so it is therefore virtually impossible to tell whether or not the bounce up from the intraday low of 6676.55 to a close that is above R1 in this expiry, is a continuation of this aggression.
This makes 6700 a very critical level in this expiry, as if the market is happy to trade within this R1 ratio bandwidth, then it has a lot of room to manoeuvre in.
But, take good note, that again 6850 is a big level, and this time it also jumps an entire ratio, leapfrogging R2 and going straight to R3, which will come as a very nasty surprise should the market go there again.
However, below 6700, lurks a very scary 500-point Y ratio bandwidth.
One thing for certain, is it is highly unlikely that this new trip will be dull.
Range: 6700 to 6850
Nb. Our comment on 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
Type: On balance just fractionally bearish