Wednesday, May 9, 2007

CXO Advisory Group on CBOE Put to Call Ratio and ISEE

Yesterday, the CXO Advisory Group published an analysis of the CBOE total (index plus equity) put to call ratio, looking out at 5, 21 and 63 day time horizons. They concluded that relative to the S&P 500 index data, the CBOE total put to call ratio is "not a useful indicator for short-term or intermediate-term trading" and found that the put to call numbers are more likely to lag rather than lead the S&P 500 data.

In a follow-up piece this morning, the folks at CXO examined the ISEE data in a similar fashion. While they found a stronger relationship between the ISEE and the S&P 500 index, they expressed concern about the sample size in the course of concluding that the ISEE "may offer a slight edge for intermediate trading," particularly at the 63 day horizon.

My suggestion is that you read both of the CXO articles in full and take a look at my comments about the usefulness of the ISEE 50 day simple moving average and Bernie Schaeffer's recent comments and charts regarding the CBOE equity put to call ratio. Of the three CBOE put to call measures (index, equity, and total put to call ratios), I put considerably more stock in the equity variant, which tracks most closely to the ISEE.

I will have more to say about the ISEE and the CBOE put to call ratios in the future. While I believe that following these ratios is a worthwhile endeavor for gauging investor sentiment, I strongly suggest that they not be the only arrow in your quiver.

64 comments:

pleadership said...

Good sourcing. Another thing I do is I take the 10 day moving average of the equity put volume (CBOE) and divide it into the daily equity put volume. When you get a 2:1 ratio it is a very strong signal that the market is nearing an intermediate bottom.

F. said...

CBOE total put:call is actually pretty useful intraday as a contrarian indicator to get an edge on a swing and bet against those who have "already shown their cards". Personally, the best timeframes I have found are 15 and 30 minutes.

dk said...

Very nice spot, Bill. I agree that the raw CPC/CPCE data is definitely prone to headfakes. However, when smoothed with other indicators ($COMPQ:$CPC, etc.), it has a distinguished history of decent timing insights.

Bill Luby said...

Thanks to the three of you for your contributions. F, I hadn't even considered the intraday aspect until you mentioned it. dk, nice job on flagging the call gorge-fest this AM, which has now subsided a little:

ISEE® Intraday Data - 5/9/2007
Value Time
229 12:30
240 11:30
319 10:30

Bill said...

Two items on the CPCE (or EPCR for equity put/call ratio):

I suggest avoiding historical biases by looking at two measurements of the CPCE and their relationship. X might be historically high(low), but might be low(high) compared to the latest Y readings. Better yet, a smoothing of the recent data (average(Z days,X)) might be compared to the latest Y readings. To their credit, they did test X as a ratio to its 63-day average.

Since CPCE is, to a large degree, a lagging indicator (just like the VIX), a better predictor than CPCE (or the ratio of two moving averages of CPCE) might be a combination of CPCE and recent price action.

Anonymous said...

diazepam 5mg indian pharmacy valium - valium side effects pets

Anonymous said...

order ambien ambien cr side effects hair loss - ambien dosage while pregnant

Anonymous said...

buy xanax online generic xanax effectiveness - xanax small white pills

Anonymous said...

buy xanax online no rx xanax no prescription fedex - xanax and high

Anonymous said...

diazepam 5mg diazepam online kaufen ohne rezept - diazepam for muscle spasm

Anonymous said...

xanax without prescription xanax makes me sleepy - 10mg xanax generic

Anonymous said...

generic zolpidem zolpidem tartrate no prescription needed - zolpidem tartrate er 12.5mg

Anonymous said...

online xanax no prescription xanax 2mg g3722 - lexapro xanax and alcohol

Anonymous said...

generic diazepam online diazepam basic drug - diazepam dosage before surgery

Anonymous said...

ambien zolpidem venta zolpidem 10 mg - zolpidem safe dosage

Anonymous said...

buy diazepam diazepam 5mg dentist - buy diazepam 10mg india

Anonymous said...

buy diazepam diazepam buy online no prescription - diazepam 5 mg y embarazo

Anonymous said...

xanax online xanax and alcohol heath ledger - xanax and zanaflex drug interactions

Anonymous said...

buy diazepam online buy diazepam diazepam dosage - buy diazepam usa next day delivery

Anonymous said...

buy alprazolam online no prescription xanax 1mg dose - xanax dosage vs klonopin dosage

Anonymous said...

diazepam for dogs diazepam withdrawal 5mg - diazepam injectable back order

Anonymous said...

buy generic ativan ativan withdrawal mayo clinic - ativan 0.5mg side effects

Anonymous said...

lorazepam 1mg addiction xanax ativan - effects of ativan addiction

Anonymous said...

xanax 0.5mg buy alprazolam 0.5mg online - generic xanax .25

Anonymous said...

buy ativan buy lorazepam canada - generic for ativan pill identification

Anonymous said...

buy soma online carisoprodol 350 mg cost - order soma online to texas

Anonymous said...

soma sale soma online to texas - carisoprodol 350 mg

Anonymous said...

buy valium online buy valium online fast delivery - buy valium in the uk

Anonymous said...

buy ambien online dosage of ambien 20mg - ambien cr expiration date

Anonymous said...

where to buy valium how to buy valium in australia - valium 10mg compared to xanax

Anonymous said...

buy valium online side effects valium 5 mg - online pharmacy uk valium

Anonymous said...

cheap generic valium valium pictures of pills - online pharmacy for valium

Anonymous said...

buy valium in canada buy xanax valium online florida - valium half life duration

Anonymous said...

where to buy ambien online zolpidem tartrate same ambien cr - ambien sleep long flights

Anonymous said...

buy valium online buy valium no prescription online - valium blue pill

Anonymous said...

Blogger: VIX and More - Post a Comment cheap soma online no prescription - generic soma for sale http://www.emprendiendoideas.com/#generic-soma-for-sale

Anonymous said...

Blogger: VIX and More - Post a Comment cheap ventolin - generic ventolin http://www.ventolinforsaleonline.com/#generic-ventolin

Anonymous said...

Blogger: VIX and More - Post a Comment buy generic meridia - buy sibutramine meridia http://www.meridiaordernow.com/#buy-sibutramine-meridia

Anonymous said...

Blogger: VIX and More - Post a Comment generic prednisolone - order prednisone http://www.ourdailybreadmarket.net/#order-prednisone

Anonymous said...

Blogger: VIX and More - Post a Comment buy meridia online - buy sibutramine online http://www.meridiaordernow.com/#buy-sibutramine-online

Anonymous said...

Blogger: VIX and More - Post a Comment prednisolone no prescription - prednisolone online http://www.ourdailybreadmarket.net/#prednisolone-online

Anonymous said...

Hello, purchase lasix - lasix pills online http://www.jacksbackyarddallas.com/#lasix-pills-online

Anonymous said...

Hello, buy furosemide without prescription - cheap furosemide no prescription http://www.jacksbackyarddallas.com/#cheap-furosemide-no-prescription

Anonymous said...

Hello, purchase accutane online - isotretinoin online pharmacy http://www.wheretobuymedsonline.com/accutane/

Anonymous said...

Hello, cheap generic lipitor - order lipitor http://www.costoflipitoronline.net/#order-lipitor

Anonymous said...

Hello, buy lipitor - generic lipitor no prescription http://www.costoflipitoronline.net/#generic-lipitor-no-prescription

Anonymous said...

Hello, cost of lipitor - atorvastatin price http://www.costoflipitoronline.net/#atorvastatin-price

Anonymous said...

advitleva finasteride online pharmacy - cost of propecia http://www.bestpricefinasteride.com/

Anonymous said...

advitleva buy cheap seroquel - buy generic seroquel http://www.seroqueldiscounts.com/

Anonymous said...

Hello, discount cytotec - cytotec without rx http://www.cytotecforlessonline.net/#cytotec-without-rx

Anonymous said...

advitleva buy finasteride 5mg - buy generic finasteride http://www.bestpricefinasteride.com/

Anonymous said...

advitleva generic premarin - generic premarin online http://www.premarindiscount.com/

Anonymous said...

Nuclear Medicine Cameras Crystals topiramate 25mg - order topamax online http://www.topamaxforless.com/

Anonymous said...

Marijuana Use For Medicine valium cost - order diazepam http://www.samskitchenonline.com/, [url=http://www.samskitchenonline.com/]purchase valium [/url]

Anonymous said...

Stealth Drug Test generic sumatriptan - imitrex no prescription needed http://www.brawr.net/ - [url=http://www.brawr.net/]cost of imitrex [/url]

Anonymous said...

Abilene Physical Medicine And Rehabilitation sibutramine online - sibutramine for sale http://www.meridiaonlineorder.net/#sibutramine-for-sale , buy meridia

Anonymous said...

Statistics On Drug Addiction meridia weight loss - meridia sale http://www.meridiaonlineorder.net/#meridia-sale , order meridia

Anonymous said...

ooo!!! Buy Topiramate - topamax online no prescription http://www.cheaptopamaxorder.net/#topamax-no-prescription, [url=http://www.cheaptopamaxorder.net/#topamax-no-prescription]Topamax No Prescription[/url]

Anonymous said...

2013 Imitrex Price - generic imitrex cost http://www.cheapimitrexbuy.net/#imitrex-online, [url=http://www.cheapimitrexbuy.net/#cheap-imitrex]Imitrex No Prescription[/url]

Anonymous said...

2013 prednisolone online - prednisolone without prescription http://www.prednisoneonlinerx.net/index.html, [url=http://www.prednisoneonlinerx.net/index.html]buy prednisone [/url]

Anonymous said...

2, lamisil online - lamisil pills no prescription http://www.fastlamisilorder.net/index.html, cheap terbinafine

Anonymous said...

ny, Chemistry Online - http://www.onlinewritinghelp101.com/chemistry.html#chemistry-project, Chemistry Project

Anonymous said...

2, Zoloft Online - Buy Sertraline - zoloft without rx http://www.zolofthelpsleep.net/.

Anonymous said...

11, [url=http://www.adipex37-5rx.com/]adipex without rx [/url] - adipex 37.5 online - generic adipex without prescription http://www.adipex37-5rx.com/.

DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2013 Bill Luby. All rights reserved.
 
Web Analytics