The FTSE starts Dec in its zone

First look at the FTSE Dec expiry Hedge Ratio table for the biggest of the big ones.


Nb. Our comment from 11/14/22 (Not published)

Nb. Our comment on 11/21/22

What we didn’t know when we last commentated on the final week of the November expiry, was the fact that the mighty Dec expiry’s zone was about to move up.

And as you can see in the above table, not insignificantly, as it jumped from 7200 all the way up to 7400.

Rather interestingly, in the Nov expiry, that zone actually ended up at 7250-7350, so both headed north during the week.

Anyway, we call it the “mighty” expiry as triple witching ones are by their very nature far far bigger than the intermediary ones. And, Dec, is the biggest of these big ones.

Already it is about four times the size of November’s, and that is also when one is at the start of being the near month whilst the others journey is over.

What this means in a practical sense, is all forms of activity get a sizeable boost.

Which also means, a lot of misinterpretation as to what is causing it. With a lot of the Fourth Estate very often ascribing it to various news items, rather than derivatives.

Of course, the fact the market is going to start in its zone is good but, once everybody gets acclimatised, R2 shouldn’t hold much fear.

In fact, triples routinely challenge the DR and B levels of ratio, especially the FTSE, by the end.

Enjoy the excitement, and make a note of where the ratio levels are.


Range:            7350  to  7340      

Activity:          Poor

Type:              Bearish

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November 21st, 2022 by