The total money spent by the bears are relatively the same, it is the bulls that you should be worried about...
- kisa
Put/Call Costs and Premiums
Started by
arbman
, Feb 05 2007 10:55 AM
3 replies to this topic
#1
arbman
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Posted 05 February 2007 - 10:55 AM
Per Marketneutral's posts a while ago, I extracted most of the relevant data here...
The total money spent by the bears are relatively the same, it is the bulls that you should be worried about...
- kisa
The total money spent by the bears are relatively the same, it is the bulls that you should be worried about...
- kisa
#2
mortiz
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Posted 05 February 2007 - 09:41 PM
kisa,
Is the OCC premium data the total premiums? Buy to Open? Position closings? Retail? Firms? Market Makers? The OCC data is good ********, but it would be nice if they broke the volume/premium data into out of the money and in the money transactions, something I have been urging them to do for 2 or 3 years... with no success. Glad to see you are monitoring this data, be sure to watch the various retail groups' buy-to-open volume, particularly the 1 to 10 contracts per transaction and the 11 to 49 contracts per transaction... provides interesting insights. Also keep in mind the OCC includes ETF volume in their equity data, another thorn under the saddle.
Randy
#3
arbman
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Posted 05 February 2007 - 10:44 PM
The costs I used are the total buys in the section II, so open + close buys for puts and calls. I will also run this with the deltas, (open + close buys) - (open + close sells) and post it eventually per trader type etc.
The volatility should die when the ratio of the delta to the total cost is very small and increase generally in the direction of the weaker hedging when reduced. So far this direction has been always up due to the nature of the bull market since 2003...
For the OTM or ITM option purchases, my interpretation is if you see the premiums declining significantly while the cost is rising or about the same, you can kind of say that most of the orders are OTM or vice versa.
For example, they bought some good amounts of puts on 20070112 (spike in the prices), but the (average) premiums were declining. It looks like hedging than directional plays. In fact, it seems like you can almost always fade the directional plays in the equity put and call purchases.
They also give away the total volumes per trader type (unfortunately puts + calls) at their ftp site nightly. Even if you extract the put and call volumes yourself from the other websites, you still have to do a lot of emprical thinking to make something useful with the data. It can be useful when the put or call volumes are heavily tilted in one side though...
Anyway, apparently if you pay $1250 per month, you can download daily OPRA (tick data) for all of the options and customer types from the www.marketdataexpress.com. I thought it was very cheap for the wealth of information it offers, you can basically stop wondering who is buying the calls or selling them without being an exchange member or huge fund, if it is what it is...
http://www.marketdat...ePriceList.aspx
- kisa
The volatility should die when the ratio of the delta to the total cost is very small and increase generally in the direction of the weaker hedging when reduced. So far this direction has been always up due to the nature of the bull market since 2003...
For the OTM or ITM option purchases, my interpretation is if you see the premiums declining significantly while the cost is rising or about the same, you can kind of say that most of the orders are OTM or vice versa.
For example, they bought some good amounts of puts on 20070112 (spike in the prices), but the (average) premiums were declining. It looks like hedging than directional plays. In fact, it seems like you can almost always fade the directional plays in the equity put and call purchases.
They also give away the total volumes per trader type (unfortunately puts + calls) at their ftp site nightly. Even if you extract the put and call volumes yourself from the other websites, you still have to do a lot of emprical thinking to make something useful with the data. It can be useful when the put or call volumes are heavily tilted in one side though...
Anyway, apparently if you pay $1250 per month, you can download daily OPRA (tick data) for all of the options and customer types from the www.marketdataexpress.com. I thought it was very cheap for the wealth of information it offers, you can basically stop wondering who is buying the calls or selling them without being an exchange member or huge fund, if it is what it is...
http://www.marketdat...ePriceList.aspx
- kisa
#4
mortiz
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Posted 06 February 2007 - 07:28 AM
Thank you for additional information/explanations Kisa. Hope you will post any new jewels you find from this data series going forward... a plethora of information in the OCC products... if one has the time to sift through it all.
Randy
