Nb. Our comment on 10/23/23
So, the “big question” was answered and, yes, it did stay there for the next three days.
It did stray above and therefore outside of its zone early on in the morning but, for the vast majority of the day, it stayed between 7550 and 7650 on rollover Wednesday 18th.
So, yay, the perfect expiry, as we mentioned last week “Anyway, for the perfect expiry, we just need the market to be in its zone on preferably rollover Wednesday” (please see below).
For the record a perfect expiry is when the market hits a ratio level above or below its zone, then goes on to test the corresponding level at the other end, before finishing in its zone.
For the October expiry this meant hitting R3 at 7750 (intraday high 7746.53 on 21/9/23), before reversing all the way down to DR at 7400, don’t forget it went from R2 at 7450 then straight to DR, so no R3 (intraday low 7384.20 on 4/10/23) before closing on rollover Wednesday at 7588.00.
Anyway, moving on, and the ratio table for the November expiry makes for interesting reading.
Especially as the market is already in the R2 ratio bandwidth, courtesy of the fallout from the last two trading days of the Oct expiry.
This makes 7350 the critical level, and it is R3, but only just, as if you look at Friday’s table (on the right as you look at it) R3 didn’t start until 7250. It should still carry a hefty clout, as it is R3 after all but, just bear in mind, it could very easily become R2 again.
Either way, going any further down, this market will henceforth just keep encountering a lot of dynamic delta inspired futures buying.
All the while, R2 at the other end doesn’t kick-in until you hit 7850, meaning there is far more upside as we see it than downside in this expiry.
Range: 7350 to 7450
Activity: Good
Type: Neutral
www.hedgeratioanalysis.com
Nb. Our comment from 10/16/23 (Nb the October expiry)
Well, it wasn’t so much as “wading through ankle-deep water”, as we described what it would be like for the FTSE finding itself in the new Y ratio bandwidth at the start of last week, but rather a skim board across it.
On Monday, the intraday high was 7540.57, just below the bottom boundary of the zone.
However, on Tuesday, it just blasted straight through it and into its zone. Which is literally 100-points of no ratio at all.
So, absolutely no surprise when on Wednesday the intraday high was 7651.98, the upper boundary of its zone.
From DR at 7400 all the way up to its zones upper boundary at 7650 is quite a ride, a 3.38% one to be precise.
But don’t forget, the first leg was from 7750 down to 7400, a 350-point trip. Making the round trip a whopping 600-points, virtually 8%, which is outstanding.
Made even more so when you consider that at the very start of this expiry the market started at 7711.38, and is now currently at 7599.60, which is only a move of just over 100-points.
Anyway, for the perfect expiry, we just need the market to be in its zone on preferably rollover Wednesday, but the actual expiry on Friday would do at a pinch.
As you can see in this week’s ratio table, the market finished dead centre of its zone. That was after it tested 7650 at the start and at the end of the day as well.
So, the big question is whether it can stay here for the next three days?
7650 is still a solid R1, but has been tested over the last three trading days, so is already on strike 4. However, it is backed up by R2 at 7700. The trouble is, in this last week, activity spikes and positions change even more frequently, so it can be a constantly moving target. Nevertheless, as things stand, if it can hold out in its zone for the first three days, then it can cut-loose on the last two.
Range: 7550 to 7650
Activity: Poor
Type: On balance not bullish
www.hedgeratioanalysis.com
