Thursday, June 13, 2013

ISEE Equities Only Index Prints Something Not Seen Since March 6, 2009

Put to call ratios are a permanent fixture in my indicator stable and something I have been writing about for a number of years, including an early 2007 effort, A Sentiment Primer (Long).

My perennial favorite of all the off-the-shelf put to call ratios actually inverts the traditional ratio: the ISEE equities only call to put ratio. This ratio only counts opening options purchases and excludes index and ETF products so as to provide a more targeted approach to divining what sort of speculative trades retail investors are favoring.

What got my attention yesterday was that in reviewing the components of my proprietary Aggregate Market Sentiment Indicator (AMSI) for the newsletter, I saw that the ISEE equities only call to put ratio closed under 120 (meaning less than 120 opening call purchases per 100 opening put purchases) for three consecutive days for the first time since March 6, 2009 – the date when the SPX put in its post-crisis bottom at 666 and began what has now been a bull leg that has lasted more than four years.  Not surprisingly, this kind of hat trick is typically associated with conditions in which stocks are extremely oversold and ripe for a bounce, as appears to be the case today and was certainly the case in March 2009.

For the record, the ISEE equities only call to put ratio is back in the middle of its traditional range today, most recently at 178, as the financial markets are discovering some sort of normalcy – at least outside of the context of the Japanese yen.

The chart below shows the ISEE equities only call to put ratio, using closing values for the past month, as of yesterday’s close.

Note that the ISEE ratios come in two other flavors: an index that is limited to index and ETF transactions; and an all securities index which combines the equities only data and the index + ETF data. Current and historical data for all three versions of the ISEE call to put ratios, as well as an interactive chart, are available at the ISEE Index page.

For those who may be interested in learning more about put to call ratios, I have a larger than usual list of links below to jump start your research.

[source(s): International Securities Exchange]

Related posts:

Disclosure(s): none

blog comments powered by Disqus
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 © 2007-2023 Bill Luby. All rights reserved.
Web Analytics