Showing posts with label put/call. Show all posts
Showing posts with label put/call. Show all posts

Thursday, October 1, 2009

CBOE Put/Call spike signals ST Buy

Posted by The Small Fish at 1:26 AM
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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Friday, August 7, 2009

Equity Put/Call: Everyone's a winner!

Posted by The Small Fish at 5:18 PM
Well at least in the short term.
Conventional Put/Call ratio wisdom dictates that low readings are bearish and could help identify tops, and high readings bullish and may help identify bottoms. The data below shows that this may not necessarily be true in all cases, specifically, that relatively low readings could be bullish.

Recently the 10 and 21 day Moving Average of the Equity Put/Call have been approaching multi-year lows. I decided to see what odds this may provide us with regards to both the Short and Long term. I focus on the 21 day MA below. Yesterday the 21 day MA of the Equity P/C closed at .63, it's lowest reading since 2007

Short Term:
Unless my data is incorrect, it appears that when the equity P/C crosses below .64 for the first time, the odds favor .... both LONGS AND SHORTS! That's right, just flip a coin and go long or short. As you can see, historically, the S&P has closed down 25 out of 31 (83.9%) times within 4 days. Interestingly, it has closed up 23 out 31 times (74.2%) within those 4 same days. I suppose the take away from this is that we should expect volatility in the coming days and we should not overstay our welcome on either side.

Long Term:
The long term however is surprisingly and decidedly BULLISH. Approximately two months later (40 trading days), the S&P was trading higher 23 out of the 31 (74.2%) instances.

Some notes about the table below:
The table shows the performance of the S&P 1, 2, 3,4 and 40 trading days after the Equity PC crossed below 0.64
Column '4day-' shows the number of days it took for the market to trade DOWN from the signal day. A value of '0' means it did not trade down within those 4 days.
Column '4day+' shows the number of days it took for the market to trade UP from the signal day. A value of '0' means it did not trade up within those 4 days.
TickerDate/Time

Close


e p/c

4Day-

4Day+

PChg N1


PChg N2


PChg N3


PChg N4


PChg N40
^GSPC3/19/2002

1,170.29


0.62

1.00

0.00

-1.58


-1.43


-1.84


-3.28


-6.77
^GSPC5/15/2003

946.67


0.64

1.00

0.00

-0.25


-2.74


-2.85


-2.46


6.04
^GSPC6/2/2003

967.00


0.64

0.00

1.00

0.47


1.99


2.39


2.15


2.30
^GSPC6/6/2003

987.76


0.64

1.00

3.00

-1.20


-0.30


0.98


1.09


-0.50
^GSPC7/8/2003

1,007.84


0.63

1.00

0.00

-0.56


-1.90


-0.96


-0.39


1.83
^GSPC7/14/2003

1,003.86


0.63

1.00

0.00

-0.34


-0.97


-2.20


-1.05


1.92
^GSPC8/20/2003

1,000.30


0.63

2.00

1.00

0.30


-0.72


-0.66


-0.36


4.98
^GSPC8/28/2003

1,002.84


0.64

0.00

1.00

0.52


1.91


2.34


2.51


2.60
^GSPC9/4/2003

1,027.97


0.63

1.00

2.00

-0.64


0.36


-0.47


-1.66


1.85
^GSPC9/17/2003

1,025.97


0.64

3.00

1.00

1.33


1.01


-0.31


0.30


3.17
^GSPC9/24/2003

1,009.38


0.63

1.00

0.00

-0.61


-1.24


-0.28


-1.33


3.28
^GSPC9/30/2003

995.97


0.63

0.00

1.00

2.23


2.44


3.40


3.85


5.82
^GSPC10/9/2003

1,038.73


0.64

1.00

2.00

-0.06


0.64


1.03


0.77


2.19
^GSPC11/24/2003

1,052.08


0.64

0.00

1.00

0.17


0.61


0.58


1.71


8.50
^GSPC4/15/2004

1,128.84


0.64

3.00

1.00

0.51


0.62


-0.95


-0.42


-0.31
^GSPC11/15/2004

1,183.81


0.63

1.00

0.00

-0.71


-0.16


-0.02


-1.14


0.33
^GSPC1/26/2005

1,174.07


0.64

2.00

1.00

0.04


-0.23


0.61


1.31


-0.23
^GSPC1/31/2005

1,181.27


0.64

0.00

1.00

0.69


1.01


0.73


1.84


0.01
^GSPC2/2/2005

1,193.19


0.64

1.00

2.00

-0.28


0.82


0.71


0.76


-1.70
^GSPC3/28/2005

1,174.28


0.64

1.00

2.00

-0.76


0.61


0.54


-0.12


1.67
^GSPC3/31/2005

1,180.59


0.64

1.00

3.00

-0.65


-0.38


0.07


0.29


1.44
^GSPC5/27/2005

1,198.78


0.63

1.00

2.00

-0.61


0.29


0.46


-0.23


2.70
^GSPC11/10/2005

1,230.96


0.64

3.00

1.00

0.31


0.23


-0.16


0.02


4.77
^GSPC5/25/2006

1,272.88


0.63

2.00

1.00

0.57


-1.02


-0.22


1.01


-0.94
^GSPC7/3/2006

1,280.19


0.64

1.00

0.00

-0.72


-0.48


-1.15


-1.00


1.88
^GSPC7/6/2006

1,274.08


0.64

1.00

0.00

-0.67


-0.53


-0.13


-1.21


2.33
^GSPC10/25/2006

1,382.22


0.64

2.00

1.00

0.50


-0.35


-0.31


-0.31


2.61
^GSPC5/4/2007

1,505.62


0.62

4.00

1.00

0.26


0.14


0.46


-0.94


0.92
^GSPC6/14/2007

1,522.97


0.64

4.00

1.00

0.65


0.53


0.70


-0.67


-4.55
^GSPC10/5/2007

1,557.59


0.64

1.00

2.00

-0.32


0.49


0.31


-0.20


-5.47
^GSPC6/11/2009

944.89


0.64

2.00

1.00

0.14


-2.24


-3.48


-3.62


5.52
^GSPC8/6/2009

997.08


0.63

0.00

0.00

0.00


0.00


0.00


0.00


0.00


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