CBOE Put/Call spike signals ST Buy

Today we saw a significant spike in the CBOE P/C ratio, closing at 1.12. I looked back over the past decade for similar occurrences, where the ratio closed above 1.1. There were 140 since 1/1/1999. In 112 cases, or 80% of the time, the S&P 500 closed higher within three days. The table below shows the last 43 instances, from 2008 to present.

(Note: column '3Day+' displays the number of days it took the S&P to close higher within the next 3 days. a value of 0 indicates the market did not close lower within 3 days)

Ticker	Date/Time	Close	p/c	3Day+	%Chg N1	%Chg N2	%Chg N3
SP500	1/2/2008	1,447.16	1.165	0.00	0.00	-2.46	-2.14
SP500	1/4/2008	1,411.63	1.123	1.00	0.32	-1.52	-0.18
SP500	1/8/2008	1,390.19	1.375	1.00	1.36	2.17	0.78
SP500	1/15/2008	1,380.95	1.250	0.00	-0.56	-3.45	-4.04
SP500	2/5/2008	1,336.64	1.141	2.00	-0.76	0.02	-0.40
SP500	2/7/2008	1,336.91	1.131	2.00	-0.42	0.17	0.89
SP500	2/12/2008	1,348.86	1.138	1.00	1.36	0.00	0.08
SP500	2/15/2008	1,349.99	1.157	2.00	-0.09	0.74	-0.55
SP500	2/22/2008	1,353.11	1.147	1.00	1.38	2.08	1.99
SP500	2/28/2008	1,367.68	1.237	0.00	-2.71	-2.66	-2.99
SP500	3/19/2008	1,298.42	1.207	1.00	2.39	3.96	4.20
SP500	3/27/2008	1,325.76	1.125	3.00	-0.80	-0.23	3.35
SP500	4/4/2008	1,370.40	1.203	1.00	0.16	-0.35	-1.16
SP500	4/8/2008	1,365.54	1.137	0.00	-0.81	-0.37	-2.40
SP500	4/11/2008	1,332.83	1.290	2.00	-0.34	0.12	2.39
SP500	5/21/2008	1,390.71	1.182	1.00	0.26	-1.06	-0.39
SP500	6/3/2008	1,377.65	1.139	2.00	-0.03	1.92	-1.23
SP500	6/6/2008	1,360.68	1.146	1.00	0.08	-0.16	-1.85
SP500	6/11/2008	1,335.49	1.140	1.00	0.33	1.84	1.85
SP500	6/18/2008	1,337.81	1.121	1.00	0.38	-1.49	-1.48
SP500	6/20/2008	1,317.93	1.329	1.00	0.01	-0.28	0.31
SP500	6/26/2008	1,283.15	1.142	3.00	-0.37	-0.25	0.14
SP500	7/3/2008	1,262.90	1.204	2.00	-0.84	0.86	-1.44
SP500	7/11/2008	1,239.49	1.149	3.00	-0.90	-1.98	0.47
SP500	8/19/2008	1,266.69	1.132	1.00	0.62	0.87	2.01
SP500	8/25/2008	1,266.84	1.120	1.00	0.37	1.17	2.67
SP500	9/9/2008	1,224.51	1.113	1.00	0.61	2.00	2.22
SP500	9/15/2008	1,192.70	1.469	1.00	1.75	-3.04	1.16
SP500	9/29/2008	1,106.42	1.377	1.00	5.42	4.94	0.71
SP500	10/2/2008	1,114.28	1.366	0.00	-1.35	-5.15	-10.59
SP500	10/8/2008	984.94	1.181	3.00	-7.62	-8.70	1.87
SP500	10/15/2008	907.84	1.124	1.00	4.25	3.60	8.54
SP500	10/22/2008	896.78	1.217	1.00	1.26	-2.23	-5.34
SP500	11/6/2008	904.88	1.333	1.00	2.89	1.58	-0.66
SP500	11/10/2008	919.21	1.106	0.00	-2.20	-7.28	-0.86
SP500	11/19/2008	806.58	1.411	3.00	-6.71	-0.81	5.61
SP500	1/7/2009	906.65	1.142	1.00	0.34	-1.80	-4.01
SP500	1/12/2009	870.26	1.155	1.00	0.18	-3.18	-3.05
SP500	1/14/2009	842.62	1.147	1.00	0.13	0.89	-4.44
SP500	2/18/2009	788.42	1.181	0.00	-1.20	-2.33	-5.72
SP500	3/30/2009	787.53	1.136	1.00	1.31	2.99	5.95
SP500	6/17/2009	910.71	1.135	1.00	0.84	1.16	-1.94
SP500	9/30/2009	1,057.08	1.118	0.00	0.00	0.00	0.00

This suggests that any dip below 1057 may be a short term buying opportunity.