Nb. Our comment from the 12/07/21
And today supplies the first real surprise of this expiry, as the zone returns to 4495-4505.
When we last commented we did say that this level seemed very reluctant to relinquish its crown but, over the intervening period, 4700 had been consolidating its presence.
This is why, the sudden reversal today comes as such a surprise.
We do normally point out that the triples are a bit like turning a supertanker, in that it takes time and that sometimes all the effort required is not that obvious.
But, as it is the rollover next week, where the zone is, or where it will be, now takes on a huge importance.
In the meantime, and totally in character with the inherent weirdness ever present in this expiry, the market continues to behave as if the zone is still at 4695-4705.
As we quite often say, we just crunch the numbers and the only subjective view of that is our interpretation of the resultant answers.
Who is to say it won’t revert straight back?
But, for today at least, there has been a steep fall in the ratios below 4700.
And again, in keeping with the weirdest expiry ever, who’s to say that the zone could not in fact stretch from 4495 all the way up to 4705.
In a way we now look back with fondness when this market just kept on knocking on the retreating R1 ratio door, as at least then we knew where we were, as even now we still don’t really have an idea of this market’s sensitivity this trip.
On a more positive note, with essentially 200-points of absolutely minimal ratio there could be some decent moves. By which we don’t meant the one to one and a half percent point moves of late, but some more meaty three to four percent moves. Just don’t forget whipsaw is just as much as likely under these conditions. Good luck.
Range: 4505 to 4705
Activity: Poor
Type: On balance only just bullish
Nb. Our comment for 12/14/21
In the end the zone here did “revert straight back”, which we did tweet. So, from the 8th onwards the zone has been 4695-4705, making that one day it slipped the oddity.
But it is always good to keep everyone on their toes as, at the end of the day, the ratios are entirely derived from activity which as we all know that can be very fickle.
And, although we have learned to never say never, the ratios below the zone have now filled in sufficiently for us to feel confident that the zone is really where it wants to be.
The big trouble with this though, is that Y2 starts on the upper boundary.
The upper boundary in itself is a hurdle but, add in Y2, and that just reinforces it.
On Wednesday 8th the intraday high was 4705.06, then we had to wait again until Friday 10th before it ventured back there again, which resulted in the intraday high of 4705.38 for most of the day except the very last 10 minutes.
Which is a bit cheeky. But hey, you get away with what you can naturally. But we can’t help feel that this last-minute try-on on Friday really didn’t help this market come Monday morning.
Which really changed the complexion of this rollover and expiry we feel, as rather than just hold around the zone it now has to try and recover it from bear territory, which we feel is the harder to achieve especially if there is any nervousness about.
Please remember what we said in our comment about the FTSE100 on Monday, in that expiries produce heightened activity which can often be misdiagnosed.
Otherwise, it is really for the derivatives to lose this expiry now, as the market is in or around its zone, with a lot of very minimal ratio around it, and with just a day to go to the rollover. And if they can nail that, then the pressure is off for the actual expiry.
Also, and we appreciate that this expiry is so huge overall that it is hard to register anything but “poor” levels of activity but, even so, the levels we have been seeing over the last few days have been pretty dire.
Range: 4495 to 4695
Activity: Very poor
Type: On balance only just bearish
