21 day wtd equity only P/C ratio
Started by
GOOSE2
, Mar 31 2007 11:57 PM
4 replies to this topic
#1
GOOSE2
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Posted 31 March 2007 - 11:57 PM
Hit an all time high on friday's close.........buy them with both hands.
#2
mortiz
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Posted 01 April 2007 - 09:01 AM
Goose,
The OCC (all exchanges) weekly retail customer Buy-To-Open (BTO) $weighted call-put ratio reached its lowest level since February 2003 on the week ending March 9, 2007... both on a weekly basis and four-week MA basis. Although the retail customer $weighted BTO ratio did not achieve a record extreme for this series, it certainly pegged the lower range and has since turned up, a characteristic one usually wants to see before thinking about price bottoms.
Can this indicator go lower before this correction is finished? Of course.....
Randy N.
The OCC (all exchanges) weekly retail customer Buy-To-Open (BTO) $weighted call-put ratio reached its lowest level since February 2003 on the week ending March 9, 2007... both on a weekly basis and four-week MA basis. Although the retail customer $weighted BTO ratio did not achieve a record extreme for this series, it certainly pegged the lower range and has since turned up, a characteristic one usually wants to see before thinking about price bottoms.
Can this indicator go lower before this correction is finished? Of course.....
Randy N.
#3
GOOSE2
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Posted 01 April 2007 - 01:41 PM
Thats a good looking chart Randy. Is that your work?
Combine the P/C or C/P with Airdales cycle work and your golden.
My stuff says we have to get above and stay above ES 1432-1434 and she's bullish.
#4
mortiz
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Posted 01 April 2007 - 03:27 PM
Goose,
I will have to take the blame for the OCC weekly chart.
Sentiment is a tricky business and should be just be one of several tools... cycles as you mentioned, internals, price, etc... present in the technician's tool box, but one can't deny some of the current extremes present in the options indicators. The all-exchange daily equity options put-call ratios are at levels higher than they were through the summer and fall of 2002.
The data comprising the below chart is from the OCC daily, all-exchange equity options series. Unlike the CBOE equity options data, the OCC includes ETF volume within their equity options volume, so the largest ETF options volume generators, the Q4, SPY, and IWM put and call volume, have been backed out of the data representing the blue curve. This data includes all players, retail customers, market maker, and firms, as well as all transaction types: buy-to-open, sell-to-open, and the volume from closing those positions.
Normally, the pinnacle of the put-call ratios do not coincide with the final price lows. The final price lows of a correction typically coincide with a lower high in the PC ratio which has yet to be seen in this data, although this PC ratio has just turned back up following a low of 0.85 last week.
So there is the possibilty of more work needed in completing this price bottoming process.... in the fullness of time.
Randy N.
I will have to take the blame for the OCC weekly chart.
Sentiment is a tricky business and should be just be one of several tools... cycles as you mentioned, internals, price, etc... present in the technician's tool box, but one can't deny some of the current extremes present in the options indicators. The all-exchange daily equity options put-call ratios are at levels higher than they were through the summer and fall of 2002.
The data comprising the below chart is from the OCC daily, all-exchange equity options series. Unlike the CBOE equity options data, the OCC includes ETF volume within their equity options volume, so the largest ETF options volume generators, the Q4, SPY, and IWM put and call volume, have been backed out of the data representing the blue curve. This data includes all players, retail customers, market maker, and firms, as well as all transaction types: buy-to-open, sell-to-open, and the volume from closing those positions.
Normally, the pinnacle of the put-call ratios do not coincide with the final price lows. The final price lows of a correction typically coincide with a lower high in the PC ratio which has yet to be seen in this data, although this PC ratio has just turned back up following a low of 0.85 last week.
So there is the possibilty of more work needed in completing this price bottoming process.... in the fullness of time.
Randy N.
#5
GOOSE2
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Posted 01 April 2007 - 03:43 PM
True sometimes it does take a day or three for things to shake out, but in general when you see the P/C this high the risk is being short and not long the market. JMHO
But, as always I have my "line in the sand" for bulls/bears which at the open will be 1434.25 ES.
Thanks for sharing your charts.
