Jul
23
2023
July 23rd, 2023 by Richard

The FTSE rebounded from R3 at 7250 to get back to its zone for the July expiry...but what now for Aug

Nb. Our comment on 07/24/23

Well, that battle with R3 at 7250 seems like it was ages ago, but it was in fact, just over a week ago, on the 10th and 11th of July.

So, since then we have seen the FTSE rally from R3 all the way up to the top boundary of its zone at 7650. A very impressive 400-points, or 5.52%. Brilliant.

And to top it all off, the timing couldn’t have been better, as on rollover Wednesday the market manged to get its fingertips above the bottom boundary at 7550. And if that wasn’t enough (which it would have been for us considering the journey it had to make) this also resulted in the final two days of the July expiry being spent inside its zone. A win: win, literally.

If you hadn’t guessed by now, obviously the zone didn’t move.

Also, we make no apology for our lack of bravery in not calling this last week as, exactly as stated, we need to be calculating the ratios daily to be able to do that with any degree of accuracy during generally tumultuous expiry weeks.

However, it does, very succinctly and graphically, reveal the importance of the zone.

This is now the problem however, as we now enter the August expiry.

As the zone here is still at 7350-7450, which is a long way from where the market had to get to for the expiry of July.

On top of which, having closed at 7663.73, means the FTSE will wake up today in the R2 ratio bandwidth. Which is not good news for the bulls.

We must also point out that in the ratio table it shows R3 starting at 7750 but, at 7700, it is only just below the threshold. So, please bear this in mind should the market get there, especially as that may be its first rude awakening as to how much dynamic delta it will now be facing in the August expiry.

Hope you managed to ride the rally up from R3 but, unless the ratios change, August looks like one for the bears.

 

Range:            7650  to  (7700) 7750      

Activity:          Very good

Type:              On balance only just bullish

www.hedgeratioanalysis.com

 

Nb. Our comment from 07/17/23 (Nb. The July expiry)

 

Yet another great week for the ratio watchers.

Monday was as expected and, although the official open was 7256.94, in everyone else’s world it was in fact around 7238.

This is important, as this means the market actually opened below R3 at 7250. Although, this does not alter the fact that the dynamic delta would still kick-in immediately. So, just like the previous Friday, which we spoke about last week (please see below), the FTSE wanted to go easier, the trouble was this persistent and significant futures buying going on.

It did stay below 7250 for the first half hour or so but, after that, it never really looked back. Significantly, the intraday low was 7238.72.

On the Tuesday, we did get another test of R3, but since then it has managed to put on 200-points, or 2.76%, which is not a bad rebound from R3.

Now, it has been a very good four weeks for those that knew where the pertinent ratio levels were for the FTSE, so we can’t rally moan. Sadly however, this final week is very unclear. In fact, we would really need to be calculating these ratios daily to stand any chance of working out what might happen next.

In a nutshell, there has been some very decent activity, especially in the calls so, although the zone hasn’t changed, it could very easily do so.

As things stand, 7250-7350 is the front-runner but, as this final week gets going, a lot could happen, making this very difficult to call. On top of which, in August, the zone is at 7350-7450, just to muddy the waters even further.

However, the real problem is that the Y2 bandwidth now stretches from 7250 all the way up to 7550 so, in reality, the zone could end up anywhere in here, assuming of course that it will move. After having had 20 trading days being spot-on, we are therefore ducking this last week, sorry.

 

Range:            7250  to  7550      

Activity:          Average

Type:              Bullish

www.hedgeratioanalysis.com

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Jul
09
2023
July 9th, 2023 by Richard

The FTSE having failed to reclaim its zone now needs R3 at 7250 to save it.

Nb. Our comment on 07/10/23

Gosh, we really hope you had taken note of the levels we mentioned last week.

In fact, even the part about ratios affecting the SPX that did indeed translate across.

Monday and Tuesday were indeed crucial last week, as on Monday the intraday high was 7561.26 and, not just once but on three very identifiable spikes up during the day, and yet the market finished at 7527.26.

On the Tuesday the intraday high was 7547.38, at the end of a steady climb throughout the day but, again, it closed at 7519.72.

That made two very distinct tests of the bottom boundary of the zone at 7550, and the failure to breach it should have set the warning bells off.

Of course, when the Street reopened on the Wednesday it was not good news from over there, which only conspired to compound this failure over here.

Worth mentioning, that on the Thursday, our old friend R2, managed to support the FTSE right up until 13:00 when, yup, you guessed it, the weak US market finally broke its back.

Interestingly, that day, the intraday low was 7267.62. Although that is 17.62-points above R3 at 7250, it was at that moment down 174.48-points (2.34%), which is chunky for the FTSE, so all the greeks were spiking, especially the Vega, so we are more than happy to call that strike one.

Friday was far more interesting as, if you knew about R3 at 7250 that is, you could clearly see the confusion in the market, which basically wanted to fall but couldn’t understand the steady but significant futures buying.

No coincidence, to us at least, that it closed at 7256.94.

Looking ahead, the changes in the ratio table are clear to see.

However, the main point is that 7250 is still R3. The trouble is, that it is now on strike three.

Even so, R3 ratio is a lot, especially for an intermediary expiry. So, even if it wants to fall, it is not going to find it easy. Essentially, just like on Friday.

Worth remembering that no amount of ratio is insurmountable, it just shows you were there will be futures buying (or selling) and a scale of how much to expect.

 How the market reacts to this, or the strength of its current fear/greed is the unknown factor.

That said, it would be highly unusual for the FTSE to significantly breach R3 during one of the smaller expiries. Furthermore, the SPX, on Friday, closed in its zone, so not so much pressure to come from them, hopefully. Although, they still have a vast amount of Y ratio either side of their zone.

Also, we are now entering the last two weeks of this expiry so, especially towards the end of this week, the zone should start bringing its influence to bear.

The only other aspect to mention, is that although activity has been classed as “very poor” this is mainly due to the fact that a lot of it has essentially netted off against each other. Even so, taking this into account, it hasn’t been exactly inspiring by any calculation.

 

Range:            7250  to  7550      

Activity:          Very poor

Type:              Bullish

www.hedgeratioanalysis.com

 

 

Nb. Our comment from 07/03/23

 

As we said last week, 7400 did indeed prove to be a real test for the bears.

On the day we published and, quite some considerable time after we may add, the intraday low on that Monday 26th was 7401.18.

Evidently, the dynamic delta inspired bout of futures buying generated by the market hitting R2 at 7400 was more than enough to see this index pivot and reverse direction. Furthermore, it was bit of spike down, so it wasn’t there for very long.

Then it took the rest of last week to travel across the entire R1 ratio bandwidth, as on Friday the intraday high was 7551.59. Or in our world, the bottom boundary of the zone, or our trading range in fact.

From R2 to the zone, or the R1 bandwidth, is 150-points.

More importantly, looking ahead, don’t forget we still have three weeks of this expiry to go.

So, the important level this week will be 7550, or the bottom boundary of the zone.

If the market can get back above this and, let’s face it, the one thing the FTSE has been keen on recently, has been staying in its zone, then it has 100-points of zone above it.

If it fails, the one change in the ratio table for this week, has actually been R2 at 7400, as it has slipped to 7350.

However, 7400 still represents a considerable step-up, as it is only just below the threshold.

Perhaps another aspect to bear in mind, is that the SPX got back to its zone last Thursday and, on Friday, hit Y2 with the intraday high of 4458.48. The point being, is that it may seem set fair over here, but the SPX may run into ratio troubles which can translate across. Otherwise, our best guess is that the FTSE will want to get back inside its zone, which would then make the trading range 7550 to 7650.

 

Range:            7400  to  7550      

Activity:          Poor

Type:              On balance only just bullish

www.hedgeratioanalysis.com

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Jul
03
2023
July 3rd, 2023 by Richard

The FTSE traverses the entire R1 ratio bandwidth in a week.

Nb. Our comment on 07/03/23

As we said last week, 7400 did indeed prove to be a real test for the bears.

On the day we published and, quite some considerable time after we may add, the intraday low on that Monday 26th was 7401.18.

Evidently, the dynamic delta inspired bout of futures buying generated by the market hitting R2 at 7400 was more than enough to see this index pivot and reverse direction. Furthermore, it was bit of spike down, so it wasn’t there for very long.

Then it took the rest of last week to travel across the entire R1 ratio bandwidth, as on Friday the intraday high was 7551.59. Or in our world, the bottom boundary of the zone, or our trading range in fact.

From R2 to the zone, or the R1 bandwidth, is 150-points.

More importantly, looking ahead, don’t forget we still have three weeks of this expiry to go.

So, the important level this week will be 7550, or the bottom boundary of the zone.

If the market can get back above this and, lets face it, the one thing the FTSE has been keen on recently, has been staying in its zone, then it has 100-points of zone above it.

If it fails, the one change in the ratio table for this week, has actually been R2 at 7400, as it has slipped to 7350.

However, 7400 still represents a considerable step-up, as it is only just below the threshold.

Perhaps another aspect to bear in mind, is that the SPX got back to its zone last Thursday and, on Friday, hit Y2 with the intraday high of 4458.48. The point being, is that it may seem set fair over here, but the SPX may run into ratio troubles which can translate across. Otherwise, our best guess is that the FTSE will want to get back inside its zone, which would then make the trading range 7550 to 7650.

 

Range:            7400  to  7550      

Activity:          Poor

Type:              On balance only just bullish

www.hedgeratioanalysis.com

 

Nb. Our comment from 06/26/23

Back to the usual format for the foreseeable, which also holds true for the actual expiry, now we are down to four weeks.

And last week was indeed all about the zone, just not the boundary we expected.

Although, there was plenty of warning what with the intraday low on Tuesday of 7566.33. Followed closely by 7520.92 on the Wednesday, which saw the market close at 7559.18, just above the bottom boundary at 7550.

It was certainly trying to stay in its zone but, most certainly, it wasn’t helped by what was happening in Europe and across the pond.

Anyway, once the boundary gave way on Thursday, it has managed to almost catch up on the drop seen in Europe.

Looking ahead and, at this point it may be worth considering the type of activity we mention below. As “on balance bullish” is quite bland, although it can all that is necessary normally.

However, this early on in an expiry, it can sometimes be worth pointing out that this description has been derived from the fact that there has definitely been a lot of bullish call activity but, the put activity was far more diverse, with ITM increasing but OTM decreasing. So, very much a mixed picture but, netted-off, definitely flattering the “bullish” activity calculation.

The overall result can be seen in the ratio table.

The obvious aspect is that R2 kicks-in at 7400, and how the FTSE deals with this number of futures buying generated by the dynamic delta will be a real test for the bears. Perhaps what isn’t so obvious is, that there is a small step-up in the level of R1 ratio at 7450, which may also generate an insight as to how committed the bears really are.

 

Range:            7400  to  7550      

Activity:          Moderate

Type:              On balance bullish

www.hedgeratioanalysis.com

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Jun
27
2023
June 27th, 2023 by Richard

Will R2 Ratio at 7400 come to the FTSE's rescue?

Nb. Our comment on 06/26/23

Back to the usual format for the foreseeable, which also holds true for the actual expiry, now we are down to four weeks.

And last week was indeed all about the zone, just not the boundary we expected.

Although, there was plenty of warning what with the intraday low on Tuesday of 7566.33. Followed closely by 7520.92 on the Wednesday, which saw the market close at 7559.18, just above the bottom boundary at 7550.

It was certainly trying to stay in its zone but, most certainly, it wasn’t helped by what was happening in Europe and across the pond.

Anyway, once the boundary gave way on Thursday, it has managed to almost catch up on the drop seen in Europe.

Looking ahead and, at this point it may be worth considering the type of activity we mention below. As “on balance bullish” is quite bland, although it can all that is necessary normally.

However, this early on in an expiry, it can sometimes be worth pointing out that this description has been derived from the fact that there has definitely been a lot of bullish call activity but, the put activity was far more diverse, with ITM increasing but OTM decreasing. So, very much a mixed picture but, netted-off, definitely flattering the “bullish” activity calculation.

The overall result can be seen in the ratio table.

The obvious aspect is that R2 kicks-in at 7400, and how the FTSE deals with this number of futures buying generated by the dynamic delta will be a real test for the bears. Perhaps what isn’t so obvious is, that there is a small step-up in the level of R1 ratio at 7450, which may also generate an insight as to how committed the bears really are.

 

Range:            7400  to  7550      

Activity:          Moderate

Type:              On balance bullish

www.hedgeratioanalysis.com

 

 

 

Nb. Our comment from 06/19/23

 

The zone in the FTSE June expiry did move down to 7450-7550, but it was very obvious this was on paper only.

The really important date here was the rollover Wednesday, the 14th, and anybody looking at the price action that day was left in no doubt that this index was in its zone.

The fact that it had many opportunities, like other European exchanges, to react to the rampant US markets, but didn’t, tells its own story.

Therefore, there is very little we can add to the June expiry except say we wish they were all this simple, or compliant.

Which brings us into the July expiry, and naturally the zone is still at 7550-7650.

Good news for the bulls though, is that the lower boundary is underpinned with R1, whereas the upper boundary has 200-points of Y ratio above it.

All things considered, it could be a good expiry for the bulls and give it a chance to catch up with the DAX. First though, it will have to break free from its zone, where it has resided for the best part of two weeks.

 

 

Range:            7550  to  7650           

Activity:          Average

Type:              Neutral

 

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Jun
12
2023
June 12th, 2023 by Richard

Yet another good week for the FTSE Ratio watchers...but what will the rollover and expiry bring?

Nb. Our comment on 06/12/23

Yet another really good week for the ratio watchers.

The “critical levels” we mentioned last week were the ones that dictated what happened last week, and straight from the off as well.

Monday 5th saw the intraday high of 7654.84, and it took quite a few hits but held firm.

Tuesday saw the intraday low of 7556.16, which also held firm.

Then Wednesday saw the intraday high of 7642.40, close enough but also, far enough away for one to see it knew what was waiting for it at 7650 and didn’t want to go there again.

Thursday was bit of a non-entity sort of day, especially for ratio watchers but, Friday more than made up for it, with three very distinct spikes down, one of which resulted in the intraday low of 7546.50.

Which brings us neatly round to the final week of this expiry this week.

First point, is that both boundaries are now on strike two.

Second point, the zone dropping to 7450-7550, that we mentioned last week, is still on the cards.

Both points make having any concrete views particularly difficult, as if the actual rollover and expiry of a triple witching expiry needed any further assistance in this department.

Best guess, is that as long as the zone stays where it is the market will have a huge job just to keep it in this for rollover Wednesday. After that, all gloves are off. The level to keep a very close eye on is 7550. As where things are now, it is the bottom boundary but, should the zone shift, it will become the top boundary. Suppose, the least likely scenario is that it will be quiet.

 

Range:            7550  to  7650      

Activity:          Very poor

Type:              Not bearish

www.hedgeratioanalysis.com

 

Nb. Our comment from 06/05/23

 

Again, another good week for those if they had taken note of the ratio levels.

In the first instance, the fragility of 7550 that we suspected proved to be well founded.

On the first trading day back, post the Bank Holiday, Tuesday 30th May, the FTSE did bounce off 7550, and managed a small rally that lasted for about 20 minutes. However, that was all it could muster and it soon caved in once it got tested again, which really wasn’t a great surprise.

Then the Wednesday and Thursday saw the market attack R3 at 7450, in what we referred to last week as “a far more solid ratio level”. It certainly had its work cut out, as on the 31st the market tested it first thing in the morning and it then promptly rallied 65-points where it remained for most of the rest of the day before coming back for another bite right at the close.

Thursday 1st saw the market open up about at about 7478 (usual moan about the idiotic official open being the previous day’s close) and it wasn’t until the late afternoon that saw three spikes down to test it, with one resulting in the intraday low of 7445.30.

So, Friday’s rally was exactly what should have happened.

The other aspect to note is that the zone has moved, so this rally also took the market back into this.

We are now at the half way point of this expiry, so after this week we then get the rollover and expiry, so volatility could actually increase.

Also, there are signs that the zone could also move down again, to 7450-7550, so there is plenty of life left in these final two weeks and something we will have to keep a close eye on. Otherwise, if the zone remains static the market could just stay inside it if it wants a peaceful week, meaning that 7550 and 7650 are the critical levels to watch in the next few days.

 

Range:            7550  to  7650      

Activity:          Moderate

Type:              Bullish

www.hedgeratioanalysis.com

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Jun
05
2023
June 5th, 2023 by Richard

Big bounce for the FTSE off R3 at 7450

Nb. Our comment on 06/05/23

Again, another good week for those if they had taken note of the ratio levels.

In the first instance, the fragility of 7550 that we suspected proved to be well founded.

On the first trading day back, post the Bank Holiday, Tuesday 30th May, the FTSE did bounce off 7550, and managed a small rally that lasted for about 20 minutes. However, that was all it could muster and it soon caved in once it got tested again, which really wasn’t a great surprise.

Then the Wednesday and Thursday saw the market attack R3 at 7450, in what we referred to last week as “a far more solid ratio level”. It certainly had its work cut out, as on the 31st the market tested it first thing in the morning and it then promptly rallied 65-points where it remained for most of the rest of the day before coming back for another bite right at the close.

Thursday 1st saw the market open up about at about 7478 (usual moan about the idiotic official open being the previous day’s close) and it wasn’t until the late afternoon that saw three spikes down to test it, with one resulting in the intraday low of 7445.30.

So, Friday’s rally was exactly what should have happened.

The other aspect to note is that the zone has moved, so this rally also took the market back into this.

We are now at the half way point of this expiry, so after this week we then get the rollover and expiry, so volatility could actually increase.

Also, there are signs that the zone could also move down again, to 7450-7550, so there is plenty of life left in these final two weeks and something we will have to keep a close eye on. Otherwise, if the zone remains static the market could just stay inside it if it wants a peaceful week, meaning that 7550 and 7650 are the critical levels to watch in the next few days.

 

Range:            7550  to  7650      

Activity:          Moderate

Type:              Bullish

www.hedgeratioanalysis.com

 

Nb. Our comment from 05/30/23

All we can say is that we hope you did take notice of the ratio levels before the start of last week.

Monday and Tuesday last week were all about the bottom boundary of the zone, 7750.

The intraday low on the 22nd was 7750.53 and on the 23rd 7747.09.

Quite often these tests can result in a reciprocal test of the other boundary but, if it is evident that this desire is lacking, it can also be an early warning sign.

Either way, the Wednesday saw strike three of 7150, so we would not have expected it to hold anyway, and sirens should have been going off now anyway.

After that it was simply a case of waiting for the market to traverse the Y ratio bandwidth below the zone.

We are not calling the intraday low of 7569.17 on Thursday a test of R1 at 7550, although it wasn’t very far away at all, the market having dropped 200-points at that stage, so the Greeks were spiking a bit.

However, the intraday low of 7556.92 on Friday definitely was. This also resulted in a rather nice, and confirming, bounce of 70-points.

Looking ahead, 7550-7650 is still a very likely candidate to be the next zone and, although it hasn’t actually changed, this means the “bearish implications” we mentioned last week are not so much in play anymore, as the market has made the move already.

Nevertheless, it would be best to follow very closely any activity around 7550 and 7650 this week.

Other than that, although 7550 is still R1, it has only just made the threshold, so do treat even a strike two with suspicion. A far more solid ratio level is R3. Otherwise, it has a huge Y ratio bandwidth to play around in now.

 

Range:            7550  to  7750      

Activity:          Poor

Type:              On balance just bullish

www.hedgeratioanalysis.com

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May
30
2023
May 30th, 2023 by Richard

Once the FTSE's bottom boundary 7750 broke we had to wait until Friday for the test of R1 at 7550

Nb. Our comment on 05/30/23

All we can say is that we hope you did take notice of the ratio levels before the start of last week.

Monday and Tuesday last week were all about the bottom boundary of the zone, 7750.

The intraday low on the 22nd was 7750.53 and on the 23rd 7747.09.

Quite often these tests can result in a reciprocal test of the other boundary but, if it is evident that this desire is lacking, it can also be an early warning sign.

Either way, the Wednesday saw strike three of 7150, so we would not have expected it to hold anyway, and sirens should have been going off now anyway.

After that it was simply a case of waiting for the market to traverse the Y ratio bandwidth below the zone.

We are not calling the intraday low of 7569.17 on Thursday a test of R1 at 7550, although it wasn’t very far away at all, the market having dropped 200-points at that stage, so the Greeks were spiking a bit.

However, the intraday low of 7556.92 on Friday definitely was. This also resulted in a rather nice, and confirming, bounce of 70-points.

Looking ahead, 7550-7650 is still a very likely candidate to be the next zone and, although it hasn’t actually changed, this means the “bearish implications” we mentioned last week are not so much in play anymore, as the market has made the move already.

Nevertheless, it would be best to follow very closely any activity around 7550 and 7650 this week.

Other than that, although 7550 is still R1, it has only just made the threshold, so do treat even a strike two with suspicion. A far more solid ratio level is R3. Otherwise, it has a huge Y ratio bandwidth to play around in now.

 

Range:            7550  to  7750      

Activity:          Poor

Type:              On balance just bullish

www.hedgeratioanalysis.com

 

 

Nb. Our comment from 05/22/23

Welcome to the June expiry, the second triple witcher of ‘23.

In the end it was a very interesting battle last week for the finish of the May expiry, especially on rollover day, Wednesday 17th, when the market spent almost the entire day flip flopping either side of 7750 before losing 27-points and closing down at 7723.

As one can see in the table, the market did indeed close in its zone on the Friday, albeit only just. However, the settlement price was 7779.57, so very much inside its zone for when it counted (literally).

All told, the FTSE lost 159.39 points over the course of the May expiry, which was essentially all at the very start, way back on the 24th April, when it had the temerity to get close to R1 at 7950.

So, apart from the obvious hard work it took to keep the market in its zone and looking just at the closing price, 7756.87, it would have appeared to be an “easy and peaceful” expiry as the index only moved a whopping 2.25-points in the entire week.

Looking ahead to June and the most obvious aspect is that the zone is the same as May’s was, 7750-7850. However, what the table here doesn’t show, is that 7550-7650 has made a very strong move towards being the next zone.

No need to tell you that this would have quite significant bearish implications.

It is also probably no coincidence that the R ratios start at 7550 below the zone.

Above the zone it is worth noting that 7950 has gone from R2 up to R3, and as these ratios are exponential, this is a huge jump from the minimal Y ratios should the bulls feel so inclined to chase it back up there. Interestingly, the DAX reached a new all-time intraday high on Friday, while London’s record stands at 8047.06 now.

Whichever way the market does go, there is Y ratio either side of the zone (400-points in total), so the FTSE could have a very decent trading range this expiry.

 

Range:            7750  to  7850      

Activity:          Poor

Type:              On balance only just bullish

www.hedgeratioanalysis.com

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May
14
2023
May 14th, 2023 by Richard

The FTSE100 regains its zone as we enter the run-in to the rollover and expiry.

Nb. Our comment on 05/15/23

This has definitely been one of those expiries when it has all been down to the market and how it has/will interact with the ratio levels as, on the whole, they have remained static throughout.

For example, below the zone, this time there is only a minor change to R2 and the only other change this expiry was to R1 back on the 10th. Above the zone there have been a few more changes, but all mainly confined to R3, which hasn’t had much impact in truth.

So, as we have been saying, it has all been about how the FTSE has been interacting with the ratio levels at each boundary of its zone.

Very neatly encapsulated by Friday’s action centred around 7750, with the close actually managing to get the index back inside its zone for the weekend.

All they have to do now is hold it in its zone for either the rollover, the preferred choice, or the actual expiry.

Which, when you consider the last two expiries where we were one of the few, if not the only ones, to warn of the dangers in the March expiry (fell 543.53) and then call the bounce in the April expiry (up 478.82), it’s not surprising it wanted a rest before the second triple witching expiry of the year, June, kicks in.

And we did say we would try to give you the “head’s-up” for June so just to let you know this is how things stand at the present.

Don’t forget it is still very early days for the June expiry but the zone here is at the same level as the May expiry, which could make for a very easy and peaceful transition. However, the real meaty ratios don’t kick-in until 7450 below the zone and 8050 above it, although they do get a bit chunky at 7950, so plenty of room for a lot of excitement as well.  

 

Range:            7750  to  7850      

Activity:          Poor

Type:              Bullish

www.hedgeratioanalysis.com

 

 

 

Nb. Our comment from 05/10/23

All these Bank Holidays are creating mayhem to our normal schedule of publication, so apologies for that.

Tuesday 2nd May may seem like an age ago that we last commented but it has only been five UK trading days.

As you can see in our previous comment, we didn’t really understand why they tried so hard in the last hour of trading to get the FTSE back above its zone but, in hindsight, it was almost definitely just for valuation purposes over the long weekend that was also a month end, especially when one considers what happened last week.

And rather than be all about the upper boundary of the zone, last week was all about the bottom boundary, 7750.

The market did close below the zone on Wednesday (rate decision day) but quickly regained it on Thursday.

Meaning four out of the five last trading days have been in its zone.

For those that have been following how the dynamic delta affects the benchmark indices, this pattern for the FTSE should not be new.

First week about the resistance above the zone. Second week all about the upper boundary, while the third all about the lower.

And before you know it, hey presto, we are into the rollover and expiry week.

So, things should at least get a bit more agitated as we approach this but, please bear in mind, that not only has time value has been disappearing rapidly but the second triple of the year has been sneaking up on us, the June expiry.

Hopefully, we will be able to give you the head’s-up next week as to how June is shaping up, but in the meantime just concentrate very closely whenever this index approaches one of its zone’s boundaries.

 

Range:            7750  to  7850      

Activity:          Moderate

Type:              On balance only just bullish

www.hedgeratioanalysis.com

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.

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Apr
02
2023
April 2nd, 2023 by Richard

Dramatic changes in the FTSE Ratios have altered the dynamic delta picture.

 

Nb. Our comment on 04/03/23

Considering this market has already been as low as 7206.82 this expiry, had you acted on it being deep in DR ratio (very high for an intermediary) then you should already be benefitting from a rally of just over 400-points.

Even if you hadn’t, then the levels we pointed out last week should also have given you a couple more possible entry points.

7450 was breached on last Monday, and 7550 on the Wednesday.

Unfortunately, the ratio picture has changed. Considerably so as well.

Firstly, the big drop in the zone, while not unexpected does change the dynamic to a very large extent. Normally, a falling zone is a very bearish sign however, under the current circumstances, it could just simply be in reaction to what the market has already done. Which is our view as things stand.

Also, it evidently hasn’t just changed. This probably happened towards the end of last week, bringing the market move on Friday into a new light, as the intraday high of 7654.41 was very probably the first test of the new zones’ upper boundary.

Hopefully, the market will calm down and stay zone-bound for the next two weeks but, don’t forget, there is still three weeks to go in this expiry.

As ever with such dramatic changes, it will take a while for the ratios to bed-in. In the meantime, you should know that below the zone R2 at 7450 could easily be R1, so please bear this in mind should the market ever go back and test it. Anyway, as it has already tussled with DR its tolerance level is automatically higher than normal.

Otherwise, it is still a very lopsided expiry, with a very plain to see lack of ratio above the zone with more below it.

 

Range:            7550  to  7650      

Activity:          Moderate

Type:              On balance bullish

www.hedgeratioanalysis.com

 

 

Nb. Our comment from 03/27/23

 

What a week that was.

And we just hope you had taken note of the ratio levels prior to Monday’s opening bell.

The real world open on Monday 20th was about 7257, not the official 7335.40 (ridiculous differential, and utterly misleading), which meant London was already deeply into the DR ratio bandwidth.

We, and hopefully you, could see the confusion generated by the considerable number of futures buying generated by the DR level of dynamic delta from the outset.

The confusion didn’t last that long as we witnessed a 219-point rally off the back of it.

The market did exceptionally well in those first few days, getting as high as 7585.57, so into the R1 ratio bandwidth.

This is where we hit our perennial problem, as the ratios have changed, and significantly so, but we just don’t know when exactly.

To explain, had the ratios been as they now are last Thursday, then the FTSE would have actually achieved the Y ratio bandwidth.

Anyway, there are still going to be a lot of nerves out there, and there is still a bit of bedding-in for the ratios as well we suspect.

But as it stands, the immediate levels to watch are 7350 (R3) and 7450 (R2), and how the market reacts to the dynamic delta at either, or both, levels will tell you a lot about the strength of the current emotions.

Looking at the bigger picture, getting back into the Y ratios, or above 7550, is the critical point. And as there is now 500-points of the Y Ratio bandwidth, the volatility from the first week could end up looking like just the appetiser. 

 

Range:            7350  to  7450      

Activity:          Average

Type:              On balance only just bullish

www.hedgeratioanalysis.com

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.

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Mar
27
2023
March 27th, 2023 by Richard

Crucial ratio levels coming up for the FTSE

Nb. Our comment on 03/27/23

What a week that was.

And we just hope you had taken note of the ratio levels prior to Monday’s opening bell.

The real world open on Monday 20th was about 7257, not the official 7335.40 (ridiculous differential, and utterly misleading), which meant London was already deeply into the DR ratio bandwidth.

We, and hopefully you, could see the confusion generated by the considerable number of futures buying generated by the DR level of dynamic delta from the outset.

The confusion didn’t last that long as we witnessed a 219-point rally off the back of it.

The market did exceptionally well in those first few days, getting as high as 7585.57, so into the R1 ratio bandwidth.

This is where we hit our perennial problem, as the ratios have changed, and significantly so, but we just don’t know when exactly.

To explain, had the ratios been as they now are last Thursday, then the FTSE would have actually achieved the Y ratio bandwidth.

Anyway, there are still going to be a lot of nerves out there, and there is still a bit of bedding-in for the ratios as well we suspect.

But as it stands, the immediate levels to watch are 7350 (R3) and 7450 (R2), and how the market reacts to the dynamic delta at either, or both, levels will tell you a lot about the strength of the current emotions.

Looking at the bigger picture, getting back into the Y ratios, or above 7550, is the critical point. And as there is now 500-points of the Y Ratio bandwidth, the volatility from the first week could end up looking like just the appetiser.  

 

Range:            7350  to  7450      

Activity:          Average

Type:              On balance only just bullish

www.hedgeratioanalysis.com

 

 

Nb. Our comment from 03/20/23

 

Obviously, the weight (in every sense of the word) of the banking sector was no match for the derivatives trying to keep the market in its zone.

Although we did not mention it, DR by Friday had slipped to 7300. Which made it nice and symmetrical at least, as it went from DR at 7950 all the way down to its corresponding level below the zone at 7300. Small consolation perhaps.

For the record, the EDSP was 7460.14, so they just managed to get it into the R2 ratio bandwidth. Which, under the circumstances, was a good effort, but still expensive for someone. Also, slightly ironic, as we suspect the last thing any bank needs right now is another department booking a loss.

Turning our attention towards April, and as you can see in the ratio table the zone has already moved.

However, the most important aspect about the zone is not that, but rather the fact that it is way up there at 7850.

The other big factor to take note of, is the fact that DR in April is now at 7300 as well.

Also, don’t forget we are now back to the intermediary expiries. On top of which, this is a five-week one as well.

Obviously, we have no way of knowing what is going to happen in the banking sector but, this aside, just like we were saying this was not a market to be long of when it was banging its head on DR ratio at 7950, now we would say this is not a market to be short of as it stamps its feet on DR ratio at 7300.

 

Range:            7300  to  7450      

Activity:          Outstanding

Type:              On balance only just bullish

www.hedgeratioanalysis.com

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.

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