July 4th, 2022 by Richard

The FTSE returns to 7150, now R2 but still as critical.

 

Nb. Our comment from the 06/22/2022

Obviously, there were some huge changes in the ratios in the last few days of the June expiry but, sadly we were not around to record them, so who knows.

The one thing for certain though, is that it must have gotten seriously out of control, as even if June’s zone ended up where July’s has started, it was still a huge miss on Friday as the EDSP was 7108.24.

Not only that, when we shut up shop, B1 was at 7150. Of course, it would have fallen, and considerably so, but there is no escaping that at the end the market would have been amid a considerable amount of ratio. So, very very expensive for someone.

Which brings us round to this new expiry, the July trip.

And, straight from the very start, the FTSE was imbedded deep into some high ratios.

In a triple we always say it gets very heated, and naturally seeks out the higher ratios to compensate for the huge increase in overall activity. However, this is an intermediary, so it should revert back to being sensitive to the low to mid-range R ratios.

And yet, here it was, starting life just a smidgen north of DR. Quite the rude awakening.

Also, we are not overly surprised with the battle that took place all day yesterday at 7150, as this is a very significant level.

One look at the above table tells you that.

In fact, the ratios are so lopsided this expiry, it is now dangerous being short. Foolish not to have at least extremely tight stops.

7150 will decide whether or not this market digs itself out of a ratio mess, and can head back up to its zone, or not. Big call.

 

Range:            6850  to  7150        or        7150  to  7350      

Activity:          Outstanding

Type:              On balance only just bearish

 

 

Nb. Our comment on 07/04/22

 

“Big call” indeed, as the FTSE had to dig itself out of the R3 ratio hole it had dug itself into first.

By which we mean the open on the very day we last published, the 22nd June, when the market opened below 7150 and really looked in a very sorry state.

Sadly, we just don’t know when 7150 changed from R3 to R2, but whenever it was, this was always the crucial level.

Still is, as having gone all the way back up to its zone’s bottom boundary, at 7350, here we are back at R2 again.

That failure, on the 28th and 29th, when the intraday highs were 7362.37 and 7345.45 respectively, was very damaging for the bulls. Therefore, the fact that the market closes on Thursday and Friday last week were all about 7150 again, should have come as no surprise.

The fact that the Y1 ratio bandwidth below the zone is 200-points wide, also accounts for the big moves, essentially from 7350 to 7150.

So, although it may have appeared exciting at the time, in essence this market has gone absolutely nowhere in two weeks.

Definitely more troubling for the bulls, as not breaking back up into its zone at 7350 shows a worrying lack of commitment from them. Whereas the bears, have been happy to make deep intraday inroads into the R2 ratio bandwidth. However, both are now on strike three from last week alone.

As we are now just at the half way stage of this expiry, there is ample time left. So, although the market hasn’t really moved in the last two weeks, it does now know where the pertinent levels are. Therefore, game on, we think.

 

Range:            7050  to  7150        or        7150  to  7350      

Activity:          Moderate

Type:              On balance only just bullish

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , , ,

June 22nd, 2022 by Richard

Thank goodness for the dynamic delta, otherwise the SPX would really be in a mess.

 

Nb. Our comment from the 06/14/22 (Not published)

 

Nb. Our comment for 06/22/22

 

We can’t not start without mentioning the end of the June expiry, which most certainly proved very expensive for someone.

But despite it getting out of control from a derivative perspective, it did adhere to some ratio levels, so at least the dynamic delta was having an effect right until the end.

Our final trading range was either 3645 to 3745 or 3745 to 3895. The fact that the market failed to close above 3745 when we last published on the 14th was a warning. It still could have made the zone by the Friday, but getting back to 4000 by the next day, rollover Wednesday, was obviously not going to happen. The bottom of that trading range was 3645, and the intraday lows on the Thursday and Friday were 3639.77 and 3636.87 respectively.

Evidently, “derivatives didn’t reassert their authority”.

Anyway, and more importantly, this, the July expiry, and what is the ratio picture telling us for this trip.

And if anything, the enormous Y ratio bandwidths have actually got worse.

Now the Y1 one stands at 260-points, but the overall one is the widest ever, coming in at the humongous 815-points wide.

Perhaps a saving grace, for the bulls at least, is at least this time the market is actually at the bottom of this huge bandwidth.

As we have seen, the dynamic delta denoted by the ratio levels has continued to work, it is really now just a question of who is in charge?

The highly strung emotions of the equity mob, or the money on the table of the derivative players?

Sadly, we can’t answer this question, all we can do is say that historically, once the over-excitement of a triple is over, money normally rises to the top.

 

Range:            3745  to  3995           

Activity:          Poor

Type:              Bullish

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , , ,

June 22nd, 2022 by Richard

After the July expiry proved very expensive for someone, the FTSE tries to rebound from the ratios in July.

 

Nb. Our comment from the 06/20/2022 (Not published)

Nb. Our comment on 06/22/22

Obviously, there were some huge changes in the ratios in the last few days of the June expiry but, sadly we were not around to record them, so who knows.

The one thing for certain though, is that it must have gotten seriously out of control, as even if June’s zone ended up where July’s has started, it was still a huge miss on Friday as the EDSP was 7108.24.

Not only that, when we shut up shop, B1 was at 7150. Of course, it would have fallen, and considerably so, but there is no escaping that at the end the market would have been amid a considerable amount of ratio. So, very very expensive for someone.

Which brings us round to this new expiry, the July trip.

And, straight from the very start, the FTSE was imbedded deep into some high ratios.

In a triple we always say it gets very heated, and naturally seeks out the higher ratios to compensate for the huge increase in overall activity. However, this is an intermediary, so it should revert back to being sensitive to the low to mid-range R ratios.

And yet, here it was, starting life just a smidgen north of DR. Quite the rude awakening.

Also, we are not overly surprised with the battle that took place all day yesterday at 7150, as this is a very significant level.

One look at the above table tells you that.

In fact, the ratios are so lopsided this expiry, it is now dangerous being short. Foolish not to have at least extremely tight stops.

7150 will decide whether or not this market digs itself out of a ratio mess, and can head back up to its zone, or not. Big call.

 

Range:            6850  to  7150        or        7150  to  7350      

Activity:          Outstanding

Type:              On balance only just bearish

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , ,

June 14th, 2022 by Richard

Well we certainly got our 2 to 3% moves, and right on cue as well, marvellous.

 

Nb. Our comment from the 06/07/22

 

Well, it promised so much but, after that seismic move down in the zone, the SPX has just stalled.

Although, we did suspect that it was pure and simple a reset, and so we also think that the true nature of this market is yet to emerge.

It was more to do with the sudden shock of hitting R2 on the very first day, the resultant subsequent rebound forcing the radical zone move, rather than a more deliberate market motivation that caused the reset we think.

Once the zone had moved, and the market was above it, had there been any further aspirational bulls out there, they really could have had the mother of all parties.

Still could of course, as R1 is still a massive distance away at 4505, but there just doesn’t seem to be the belief.

Oddly however, we are also not seeing the zone want to move away from where it is. Which is a bit bizarre, because this index has stalled around the low 4100’s, which is in the virtually non-existent Y1 ratio gigantic bandwidth, and yet it hasn’t forced the zone to settle around it.

There may well be technical, or even economic reasons for this torpor but, from a derivative perspective, there is no reason at all as the market should be fizzing about with 2 or 3% moves.

On a positive note, the level of activity has been ok throughout, so we feel certain this particular doldrum won’t last much longer.

At the very least, next week is the rollover and expiry, so this alone should start to agitate this market and get some volatility out there.

So, same as last week, the R ratios below the zone should provide some support, but it has been there already this trip so will be no stranger to what’s there.

On the other side of the coin, there is still an absolute vast swathe of Y ratio above it, so all it would need it a gentle shove in that direction, but what in the current climate could provide said shove we have no idea.

 

Range:            4005  to  4505           

Activity:          Moderate

Type:              Neutral

 

 

Nb. Our comment for 06/14/22

 

Well, we certainly got our 2 to 3% moves, and right on cue into the bargain.

The only question that now remains, is will derivatives reassert their authority for the rollover and expiry?

Interestingly, the zone has still not moved. Nor are we seeing any likely successor making a move.

However, in glorious hindsight, it really was a very big warning when the zone didn’t move up despite the market trading for so long in the low 4100’s.

In fact, reading what we said above, back on the 7th (before the market opened), and again in hindsight, all the signs were there and mentioned, we just didn’t state the probability, sadly.

Anyway, the rollover is this Wednesday but, in all likelihood and considering the magnitude of the move, it will more than likely be down to the actual expiry on the Friday.

It is still a tall order, as emotions are running high naturally, but at least it’s not new news that is spooking the market. Actually, one has to wonder why the same old chestnuts are being regurgitated yet again to explain this recent market move, as this is not something that the market hasn’t been aware of, and for some considerable time. Curve-fitting really, as nobody really wants to explain how it is that this is actually very predictable and yet they still don’t expect it.

On to more important issues, and the move down in R3 and DR below the zone actually happened yesterday, the 13th.

So, just like the FTSE and 7650, the deep incursion below 3745 tells its own story, as does the close, which was just back above it.

Out of interest, the level of ratio at the intraday low yesterday of 3734.30 is not now found today until 3715/3720.

Going to be another epic triple witching expiry, and we would expect no less of course.

 

Range:            3645  to  3745        or        3745  to  3895           

Activity:          Moderate

Type:              On balance just bearish

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , ,

June 14th, 2022 by Richard

It is all gearing up for a typical end to a triple witching expiry, so we hope you were/are ready for it.

 

Nb. Our comment from the 06/06/2022

Very short week last week courtesy of the Jubilee, but none the duller for it.

Monday was all about finding its feet in the R1 ratio bandwidth it was in. Testing the water as it were.

Tuesday, having got used to it, saw it push ahead to the next point of resistance. Namely R2, and exactly where we had put the top of our trading range, for this very reason. So, when we saw the intraday high of 7648.26, we hoped you too had noticed and were aware of its significance.

Interestingly, on the Wednesday (the last trading day of last week), we saw the intraday high of 7639.21. This was not another test of R2, but something more valuable, as it is a good sign of everyone opening the door for someone else to go through first.

By this we mean, when you know there is a large futures seller at 7650, having just been there and seen the tip of the iceberg, if you are not a futures buyer, then it is only natural to let, or want to let, someone else go first. And if everyone is of a like mind, then you get a stalled market just below said ratio level.

Finally, the close was back inside its zone.

Nice, safe and cosy for the very long weekend.

Nevertheless, it was over 100-points drop from Tuesday’s high.

For this week, you now know that the market knows that above 7550 it is R1, and at 7650 there is a large futures seller. Otherwise, it is back inside its zone, where there is no ratio at all for the 100-points that this comprises. And something to watch out for, especially as we are only half way through this expiry, is that at the other end of the zone it is only Y ratio.

 

Range:            7450  to  7550       

Activity:          Very poor

Type:              Not bullish

 

 

Nb. Our comment on 06/13/22

It is good to have a bit of continuity, hence we always include (for better, and sometimes even for worse) what we said the previous week, just so you can reacquaint yourself with the thread of the expiry.

However, this time, we sincerely hope you also read last weeks comment about the SPX, especially the bit about volatility returning just in time for the rollover and expiry this week.

Anyway, about midday last Monday (6/6/22) we saw another test of R2 at 7650 with the intraday high of 7646.66.

Our analogy above, about holding the door open for others to go through fist, is just as good even if it is by just a few points. The other scenario is that one, or more, players are aggressive, and that way you get a deep incursion into the next bandwidth. In either case, it should give you invaluable insight into the market forces at play in that instant.

Obviously, Monday was not a good sign for the bulls.

From then on, it was just a steady progression all the way back into its zone.

Friday was a bit of a surprise, well to the greater London market participants anyway, as hopefully you would have anticipated the SPX going a little wild.

Then, just as it didn’t bother much with R1 when it was heading north of its zone, then neither would we expect it to have much influence below.

Dropping through R2 at 7350 was an interesting battle though, which under more normal circumstances we would have expected it to hold.

The big question therefore, is will R3 at 7250?

Well, as it is rollover and expiry, with that extra gravitational influence, then yes, hopefully it will. Worth noting, R2 in the SPX on Friday stood at 3895.

But all the levels are there for all to see in the table above, as is where the zone is but, at the end of the day, the only certainty is that this is what we expect a typical end to a triple witching expiry would be.

 

Range:            7250  to  7350       

Activity:          Very poor

Type:              Bearish

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , , ,

June 7th, 2022 by Richard

The SPX has had ample opportunity to cut loose, so why hasn't it?

 

Nb. Our comment from the 06/01/22

 

Well, it certainly was dramatic and it certainly was a seismic move in the zone.

Had one realised what was going on, then last week was like reading a book.

The same day as our last note the market hit the intraday low of 3875.13, a deep incursion into R2.

This was evidently enough of a stimulus to the bulls, happy to piggyback on the futures buying dynamic delta unleashed, to force the zone into the seismic move we had mentioned, as when we crunched the numbers on Wednesday it had indeed moved to 3995-4005.

Therefore, Wednesday was all about the new zone but, the Thursday and Friday, were definitely all about the sudden freedom the market found itself courtesy of that now vast expanse of Y1 above said new zone.

Of course, we have seen the zone in the SPX make big moves before, but we can’t actually recall one of this magnitude before. Nor can we ever think of such a move being so necessary, as it really has “reset” this market for this expiry.

So, from starting off in bear territory below the zone, and testing R2 ratio, we now have the situation where it is happily back in bullish territory in acres of Y ratio.

Therefore, you would be forgiven for thinking that the hard work had now been done but, to us at least, now everything has been reset, the true nature of the market can begin to emerge.

It may well be, that the bulls have now gained sufficient superiority that, in hindsight, the hard work has indeed been done. However, now the market is above its zone the gravitational pull from it is now downwards, not upwards. Plus, there is a chance, that the zone could move back from whence it came.

So, still plenty of risks out there but, the next few days and how they evolve, should go a long way towards either cementing this sea change, or revealing it to be just what we said, a reset.

Nevertheless, playing the cards we now have in front of us, support is the zone and the R ratios immediately below that. Whereas resistance, in the form of R ratios, doesn’t appear until 4605. And, if it remains as aggressive on the upside, then R2 doesn’t appear until 4705. Which is a ridiculous amount of upside for a bull market, let alone the bear one we are meant to be in on a conventional definition, not ours (unless the zone does move back up of course), but even so, it is a lot.

 

Range:            4005  to  4605           

Activity:          Poor

Type:              Neutral

 

Nb. Our comment for 06/07/22

 

Well, it promised so much but, after that seismic move down in the zone, the SPX has just stalled.

Although, we did suspect that it was pure and simple a reset, and so we also think that the true nature of this market is yet to emerge.

It was more to do with the sudden shock of hitting R2 on the very first day, the resultant subsequent rebound forcing the radical zone move, rather than a more deliberate market motivation that caused the reset we think.

Once the zone had moved, and the market was above it, had there been any further aspirational bulls out there, they really could have had the mother of all parties.

Still could of course, as R1 is still a massive distance away at 4505, but there just doesn’t seem to be the belief.

Oddly however, we are also not seeing the zone want to move away from where it is. Which is a bit bizarre, because this index has stalled around the low 4100’s, which is in the virtually non-existent Y1 ratio gigantic bandwidth, and yet it hasn’t forced the zone to settle around it.

There may well be technical, or even economical reasons for this torpor but, from a derivative perspective, there is no reason at all as the market should be fizzing about with 2 or 3% moves.

On a positive note, the level of activity has been ok throughout, so we feel certain this particular doldrum won’t last much longer.

At the very least, next week is the rollover and expiry, so this alone should start to agitate this market and get some volatility out there.

So, same as last week, the R ratios below the zone should provide some support, but it has been there already this trip so will be no stranger to what’s there.

On the other side of the coin, there is still an absolute vast swathe of Y ratio above it, so all it would need it a gentle shove in that direction, but what in the current climate could provide said shove we have no idea.

 

Range:            4005  to  4505           

Activity:          Moderate

Type:              Neutral

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , , ,

June 6th, 2022 by Richard

After testing R2 the FTSE decided it was best to spend the long Jubilee weekend in its zone, smart.

 

Nb. Our comment from the 05/30/2022

Having fun yet?

Well, we certainly hope so but, and apologies for being the bringer of bad tidings, the FTSE is caught up in bit of a ratio nightmare for the next few weeks.

Last week was all about the zone, which it jumped straight back into on the Monday. Tuesday was all about staying in it. Whereas the Wednesday and Thursday were all about breaking out above it.

With the intraday low on Friday being 7542.78, or the zones upper boundary (7550), we saw resistance turn into support.

But and this is where it gets a bit problematic, as travelling up through the 100-points of the zone, where there is no ratio at all, is the easy bit.

Now the FTSE is in a 100-point bandwidth of R1 ratio. Not impossible to negotiate, especially for a triple. But, nevertheless, a level of ratio that will still produce a degree of futures selling onto the market that will have to be absorbed for it to progress.

The problematic part, is that from 7650 upwards there are some considerably weightier levels of ratio, where even a triple may have difficulty in coping with those quantities of dynamic delta.

In contrast, we saw the SPX’s zone dive down to 4000 but, the side effect of this, was to leave only the minimal Y ratio above it…all the way up to 4605.

And that is the issue in a nutshell. The S&P 500 has 15% of blue skies above it, whereas the FTSE hits the dynamic delta storm after about just 1%.

Of course, the ratios change daily, and significantly so, especially in regard to the lower levels but, even so, where we are concerned, if you are a bull, Stateside is where you need to be and not in London.

 

Range:            7550  to  7650       

Activity:          Average

Type:              On balance only just bearish

 

 

Nb. Our comment on 06/06/22

 

Very short week last week courtesy of the Jubilee, but none the duller for it.

Monday was all about finding its feet in the R1 ratio bandwidth it was in. Testing the water as it were.

Tuesday, having got used to it, saw it push ahead to the next point of resistance. Namely R2, and exactly where we had put the top of our trading range, for this very reason. So, when we saw the intraday high of 7648.26, we hoped you too had noticed and were aware of its significance.

Interestingly, on the Wednesday (the last trading day of last week), we saw the intraday high of 7639.21. This was not another test of R2, but something more valuable, as it is a good sign of everyone opening the door for someone else to go through first.

By this we mean, when you know there is a large futures seller at 7650, having just been there and seen the tip of the iceberg, if you are not a futures buyer, then it is only natural to let, or want to let, someone else go first. And if everyone is of a like mind, then you get a stalled market just below said ratio level.

Finally, the close was back inside its zone.

Nice, safe and cosy for the very long weekend.

Nevertheless, it was over 100-points drop from Tuesday’s high.

For this week, you now know that the market knows that above 7550 it is R1, and at 7650 there is a large futures seller. Otherwise, it is back inside its zone, where there is no ratio at all for the 100-points that this comprises. And something to watch out for, especially as we are only half way through this expiry, is that at the other end of the zone it is only Y ratio.

 

Range:            7450  to  7550       

Activity:          Very poor

Type:              Not bullish

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , , ,

June 1st, 2022 by Richard

Can the SPX consolidate this seismic zone move, or is it just a reset?

 

Nb. Our comment from the 05/24/22

 

Well, we just have to start with how the May expiry ended, and if you remember the SPX had just bounced off R3 (3880) and had just got back into the Y ratio bandwidth. We then said 4200 looks like a “shoo-in” to be the next zone, but 4100 was also highly probable. So, to see this index close at 4088.85 on the Tuesday we thought it had done it.

Of course, it then went all wrong, and the peril of having so much Y ratio became apparent yet again.

In the end the zone didn’t move, but the R ratios continued to collapse, so much so, by Friday R1 was at 3870. Therefore, in the end, this index did expire in its Y ratios but, there is no denying it, that this was an expensive trip for derivatives.

Looking at June, on Monday, R1 was at 3995, so the fact that the SPX closed on the preceding Friday at 3901.36 meant this expiry opened in the R1 bandwidth.

And, with R2 at 3895 (down from 3945) meant this index was already knocking on this door from the very start.

Not a good baptism really, but one which meant we were not that unduly surprised by the market reaction yesterday.

The question is really what happens next?

The short answer is that this will depend on how, or if, the zone sorts itself out, as being at 4300 is too far above the horizon to have any purposeful influence.

It may sound bizarre, especially as Y2 is at 4095 and R1 3995, but we can see a seismic zone move to 4000, almost as if it is resetting itself.

A lot will depend on today, what and how much business is generated in particular, but this index needs something dramatic to happen. As, once done, then the ratios can start creating a more conventional distribution. Something desperately needed, as currently the overall Y ratio is a gargantuan 635-points (16%) so skittish doesn’t even begin to describe it.

 

Range:            3895  to  3995           

Activity:          Moderate

Type:              On balance only just bullish

 

 

Nb. Our comment for 06/01/22

 

Well, it certainly was dramatic and it certainly was a seismic move in the zone.

Had one realised what was going on, then last week was like reading a book.

The same day as our last note the market hit the intraday low of 3875.13, a deep incursion into R2.

This was evidently enough of a stimulus to the bulls, happy to piggyback on the futures buying dynamic delta unleashed, to force the zone into the seismic move we had mentioned, as when we crunched the numbers on Wednesday it had indeed moved to 3995-4005.

Therefore, Wednesday was all about the new zone but, the Thursday and Friday, were definitely all about the sudden freedom the market found itself courtesy of that now vast expanse of Y1 above said new zone.

Of course, we have seen the zone in the SPX make big moves before, but we can’t actually recall one of this magnitude before. Nor can we ever think of such a move being so necessary, as it really has “reset” this market for this expiry.

So, from starting off in bear territory below the zone, and testing R2 ratio, we now have the situation where it is happily back in bullish territory in acres of Y ratio.

Therefore, you would be forgiven for thinking that the hard work had now been done but, to us at least, now everything has been reset, the true nature of the market can begin to emerge.

It may well be, that the bulls have now gained sufficient superiority that, in hindsight, the hard work has indeed been done. However, now the market is above its zone the gravitational pull from it is now downwards, not upwards. Plus, there is a chance, that the zone could move back from whence it came.

So, still plenty of risks out there but, the next few days and how they evolve, should go a long way towards either cementing this sea change, or revealing it to be just what we said, a reset.

Nevertheless, playing the cards we now have in front of us, support is the zone and the R ratios immediately below that. Whereas resistance, in the form of R ratios, doesn’t appear until 4605. And, if it remains as aggressive on the upside, then R2 doesn’t appear until 4705. Which is a ridiculous amount of upside for a bull market, let alone the bear one we are meant to be in on a conventional definition, not ours (unless the zone does move back up of course), but even so, it is a lot.

 

Range:            4005  to  4605           

Activity:          Poor

Type:              Neutral

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , , ,

May 30th, 2022 by Richard

If last week was all about the zone for the FTSE, this week will be all about the higher R Ratios.

 

Nb. Our comment from the 05/23/2022

As we would normally have the ratios for June from a few days ago in the right-hand column for comparison purposes, it will have to suffice when we say that there really hasn’t been a great deal of change in them over the last week, so you aren’t missing anything.

The first thing we must point out is that we are now in the June expiry, the second triple witching one of the year.

These are always considerably larger than the intermediary ones, so everything gets ratcheted up several notches.

Furthermore, these “big” expiries, tend to increase in size as the calendar year progresses. Therefore, June is generally the third biggest, with December being the biggest of them all.

This is important, as equity volumes as well as volatility all naturally increase exponentially over the course of these big expiries. So, don’t get side-tracked by people trying to curve-fit stories to the market moves.

Normally, it takes a while for markets to build up a head of steam to reflect the far larger numbers involved. But, in this instance, we are not sure that is going to be the case, as the moves recently have been quite spectacular in their own right.

Obviously, we would like to see the market get back into its zone. But, if it doesn’t, then we will have to see how sensitive it will be to the dynamic delta. R2 worked in May, and it could do again in June, but a lot will depend on when it interacts with it.

The sooner, the more likely it will have an impact. As the expiry goes on, not only is it less likely, but we would always anticipate it taking the far higher ratios to have the same effect as those that we have seen to be effective in the intermediaries.

And, as ever, a lot will depend on how much, or how little ratio there is present in the SPX, and we have all just witnessed what can happen when there is precious little.

 

Range:            7350  to  7450       

Activity:          Poor

Type:              On balance only just bullish

 

Nb. Our comment on 05/30/22

 

Having fun yet?

Well, we certainly hope so but, and apologies for being the bringer of bad tidings, the FTSE is caught up in bit of a ratio nightmare for the next few weeks.

Last week was all about the zone, which it jumped straight back into on the Monday. Tuesday was all about staying in it. Whereas the Wednesday and Thursday were all about breaking out above it.

With the intraday low on Friday being 7542.78, or the zones upper boundary (7550), we saw resistance turn into support.

But and this is where it gets a bit problematic, as travelling up through the 100-points of the zone, where there is no ratio at all, is the easy bit.

Now the FTSE is in a 100-point bandwidth of R1 ratio. Not impossible to negotiate, especially for a triple. But, nevertheless, a level of ratio that will still produce a degree of futures selling onto the market that will have to be absorbed for it to progress.

The problematic part, is that from 7650 upwards there are some considerably weightier levels of ratio, where even a triple may have difficulty in coping with those quantities of dynamic delta.

In contrast, we saw the SPX’s zone dive down to 4000 but, the side effect of this, was to leave only the minimal Y ratio above it…all the way up to 4605.

And that is the issue in a nutshell. The S&P 500 has 15% of blue skies above it, whereas the FTSE hits the dynamic delta storm after about just 1%.

Of course, the ratios change daily, and significantly so, especially in regard to the lower levels but, even so, where we are concerned, if you are a bull, Stateside is where you need to be and not in London.

 

Range:            7550  to  7650       

Activity:          Average

Type:              On balance only just bearish

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , , ,

May 24th, 2022 by Richard

Thanks to May the SPX June expiry was born knocking on R2 Ratios door.

 

Nb. Our comment from the 05/18/22 (Not published)

 

Nb. Our comment for 05/24/22

 

Well, we just have to start with how the May expiry ended, and if you remember the SPX had just bounced off R3 (3880) and had just got back into the Y ratio bandwidth. We then said 4200 looks like a “shoo-in” to be the next zone, but 4100 was also highly probable. So, to see this index close at 4088.85 on the Tuesday we thought it had done it.

Of course, it then went all wrong, and the peril of having so much Y ratio became apparent yet again.

In the end the zone didn’t move, but the R ratios continued to collapse, so much so, by Friday R1 was at 3870. Therefore, in the end, this index did expire in its Y ratios but, there is no denying it, that this was an expensive trip for derivatives.

Looking at June, on Monday, R1 was at 3995, so the fact that the SPX closed on the preceding Friday at 3901.36 meant this expiry opened in the R1 bandwidth.

And, with R2 at 3895 (down from 3945) meant this index was already knocking on this door from the very start.

Not a good baptism really, but one which meant we were not that unduly surprised by the market reaction yesterday.

The question is really what happens next?

The short answer is that this will depend on how, or if, the zone sorts itself out, as being at 4300 is too far above the horizon to have any purposeful influence.

It may sound bizarre, especially as Y2 is at 4095 and R1 3995, but we can see a seismic zone move to 4000, almost as if it is resetting itself.

A lot will depend on today, what and how much business is generated in particular, but this index needs something dramatic to happen. As, once done, then the ratios can start creating a more conventional distribution. Something desperately needed, as currently the overall Y ratio is a gargantuan 635-points (16%) so skittish doesn’t even begin to describe it.

 

Range:            3895  to  3995           

Activity:          Moderate

Type:              On balance only just bullish

 

Available to buy now

The faction account of the Big Bang, The Great Storm and the market crash of 1987, available in eBook and paperback here, a must read if you don’t believe in history repeating itself.

Posted in Uncategorized Tagged with: , , , , , , , , , , ,