Thursday, October 1, 2009

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)

TickerDate/TimeClosep/c3Day+%Chg N1%Chg N2%Chg N3
SP5001/2/20081,447.161.1650.000.00-2.46-2.14
SP5001/4/20081,411.631.1231.000.32-1.52-0.18
SP5001/8/20081,390.191.3751.001.362.170.78
SP5001/15/20081,380.951.2500.00-0.56-3.45-4.04
SP5002/5/20081,336.641.1412.00-0.760.02-0.40
SP5002/7/20081,336.911.1312.00-0.420.170.89
SP5002/12/20081,348.861.1381.001.360.000.08
SP5002/15/20081,349.991.1572.00-0.090.74-0.55
SP5002/22/20081,353.111.1471.001.382.081.99
SP5002/28/20081,367.681.2370.00-2.71-2.66-2.99
SP5003/19/20081,298.421.2071.002.393.964.20
SP5003/27/20081,325.761.1253.00-0.80-0.233.35
SP5004/4/20081,370.401.2031.000.16-0.35-1.16
SP5004/8/20081,365.541.1370.00-0.81-0.37-2.40
SP5004/11/20081,332.831.2902.00-0.340.122.39
SP5005/21/20081,390.711.1821.000.26-1.06-0.39
SP5006/3/20081,377.651.1392.00-0.031.92-1.23
SP5006/6/20081,360.681.1461.000.08-0.16-1.85
SP5006/11/20081,335.491.1401.000.331.841.85
SP5006/18/20081,337.811.1211.000.38-1.49-1.48
SP5006/20/20081,317.931.3291.000.01-0.280.31
SP5006/26/20081,283.151.1423.00-0.37-0.250.14
SP5007/3/20081,262.901.2042.00-0.840.86-1.44
SP5007/11/20081,239.491.1493.00-0.90-1.980.47
SP5008/19/20081,266.691.1321.000.620.872.01
SP5008/25/20081,266.841.1201.000.371.172.67
SP5009/9/20081,224.511.1131.000.612.002.22
SP5009/15/20081,192.701.4691.001.75-3.041.16
SP5009/29/20081,106.421.3771.005.424.940.71
SP50010/2/20081,114.281.3660.00-1.35-5.15-10.59
SP50010/8/2008984.941.1813.00-7.62-8.701.87
SP50010/15/2008907.841.1241.004.253.608.54
SP50010/22/2008896.781.2171.001.26-2.23-5.34
SP50011/6/2008904.881.3331.002.891.58-0.66
SP50011/10/2008919.211.1060.00-2.20-7.28-0.86
SP50011/19/2008806.581.4113.00-6.71-0.815.61
SP5001/7/2009906.651.1421.000.34-1.80-4.01
SP5001/12/2009870.261.1551.000.18-3.18-3.05
SP5001/14/2009842.621.1471.000.130.89-4.44
SP5002/18/2009788.421.1810.00-1.20-2.33-5.72
SP5003/30/2009787.531.1361.001.312.995.95
SP5006/17/2009910.711.1351.000.841.16-1.94
SP5009/30/20091,057.081.1180.000.000.000.00

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

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