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10-day OEX


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#11 OEXCHAOS

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    Mark S. Young

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Posted 08 February 2007 - 06:00 PM

I have been watching this indicator with interest. It is clearly giving a sell signal. This is the only one indicator, however, which is bearish in my book. Mark, what are your other indicators saying?
Thanks

Denleo



Hourly trend down.

Daily trend up

Weekly trend barely up.

Breadth positive.

ARMS, showing more selling than is healthy. Possible distribution.

Hedge fund sentiment is in Sell territory and Hulber's HSNSI and II are too and has been for some time. This is enough to support selling, should some show up. The rest of the sentiment is fairly neutral contextually and benign nominally.

We're in no-man's land, and we just have to let price tell us what to do. That or make your guess and let price tell you when to stop out or add.



Mark

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#12 bullshort

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Posted 08 February 2007 - 06:30 PM

FWIW, I don't think OEX put/call data is relevant as a confirming indicator prior to around 1990. I say this because back in the 80's, OEX index options were the retail vehicle for trading index options. I know because I used to trade them.



Notice that the volume today in OEX options is rarely over 50-60,000 contracts whereas the volume of S&P500 contracts is almost always over 300,000. This is just the opposite of the situation back in the 80's when OEX had all the volume and the SPX had very little. I don't know the whys and wherefores, but over the years, the retail speculator switched to trading S&P500 index options and away from OEX, perhaps because there was more volatility in the SPX options. Larger players continued to trade the OEX. Perhaps that's why OEX option data is not a good fade, whereas SPX index option data is, at best, simply inconclusive. I can't prove the above because I don't have the data (and I notice that CBOE only goes back to 1996 with their historicals), but if anyone has volume data going back that far I think they will find the above to be true.

#13 OEXCHAOS

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    Mark S. Young

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Posted 08 February 2007 - 07:02 PM

Thanks, BS. I could have written that myself. I trades a LOT of OEX options in the 80's. As much as 400 contracts at a time. I used the P/C ratio fairly profitably, though not nearly as well as I would today. I was a pup back then. The amateurs did leave the OEX in the late 90's, to be sure. I'd not compare anything before '97 with now. I theorize that smart money plays with the OEX and probably the underlying stocks, too. Mark

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#14 deacon

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Posted 08 February 2007 - 07:07 PM

2/6 tickersense:
In the charts below, we plot the S&P 500 (top chart) vs. the OEX put/call ratio. The red dots in the S&P 500 chart indicate days where the 10-day average put/call ratio exceeded 1.5 i.e., for every call traded, one and a half puts were also traded. As the chart details, this indicator did an excellent job of predicting the October '05 and May '06 corrections, but since then there have been several occurrences where this indicator exceeded 1.5 yet the market has kept on chugging.
http://tickersense.t...0_index_pu.html

SPX p/c was ridiculously high last tuesday also, and the bulls didn't wait long, printing new highs wednesday

last wednesday's volume was strong enough that a retest of the INDU RUT all time highs and the SPX 6 yr high should be expected, with the G7 this weekend and then options ex week both not usually bearish occurrences

#15 bullshort

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Posted 08 February 2007 - 07:18 PM

A quick glance at the CBOE historical data (I should have done that before I posted above) shows that the transition ocurred around late 1996 to late 1997. Volume was still heavily weighted on the OEX contracts in early 1996. By Feb., 1997 it was split about even between OEX and SPX. And, of course we can see what it is today. It would be interesting to know for sure what caused the migration from OEX to SPX options.