Monday, December 29, 2008

ISEE Equity Call to Put Ratio and the End of the Year

Further to this morning's ISEE Put to Call Ratio at Highest Level in 16 Weeks, the ISEE equities only call to put ratio finishes at 198 -- the highest close since May 16, 2008.

The last time this index had back to back closes this high was 12/28 and 12/31/07.

It is worth noting that the only other year for which the ISEE equity only data is broken out is 2006; that year also had some higher than normal readings on the last four trading days of the year.

Given the brief holiday track record of the ISEE, my suggestion is not to dismiss the ISEE equity only data out of hand, but to take it with a grain of salt.


Anonymous said...

The CBOE total put/call ratio from STOCKCHARTS is 0.95 - that doesn't correlate with your data. Could you explain this? Thanks. Stone

Adam said...

Yup, large grain of salt. Kind of telling it read like that this time last year too.

Bill Luby said...


Two major differences:
1) the ISE is a different source from the CBOE
2) I reference the "equity only" data while you are talking about the "total" ratio


Maybe not so large of a grain. It turns out that Helene Meisler has expressed the same concern that I have about the P/C ratios -- and she also does not appear to be particularly concerned about a seasonality factor.

I'll keep a close eye on this one.



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