Monday, March 19, 2007

Dr. Brett on Put to Call Ratios

I was away for the weekend and am still catching up in my reading, but it looks like Brett Steenbarger saved me a post on the abnormally low put to call ratios.

According to Dr. Brett, Jason Goepfert’s SentimenTrader.com apparently has a more in-depth discussion of the put to call issue. I should add that I am not a subscriber to SentimenTrader, but have had it on my To Do list for a couple of months.

Finally, some of the more observant readers may have noticed that I added a link to the ISEE at the upper right hand corner of this blog last week. The ISEE is a sentiment index (in this case, a ratio of call to put options, multiplied by 100) compiled by the International Securities Exchange or ISE. In some respects, it is similar to the put to call ratios at the CBOE, but without the heavy institutional action in the indices that tends to dominate the activity on the CBOE.

I have been looking hard at the ISEE in the past week because of the unusually low readings, including consecutive all-time lows (data go back to 2002) in the 10 day SMA last Wednesday and Thursday.

Stay tuned for more on put to call data, what it means, and its predictive power.


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