-- BARRON'S: CBOE Market Report --
ADVANCES-DECLINES
-CALLS- -PUTS-
Last Week Last Week
Week Ago Week Ago
Advances 17,666 54,453 67,520 60,752
Declines 84,073 68,753 44,060 80,098
Unchanged 42,410 52,712 32,614 35,195
Market Volatility Index (VIX)
Last Prev. Month Year
Week Week Ago Ago
VIX Index 34.15 31.47 31.08 22.33
The market volatility index computes volatility of four OEX contracts in two
nearby months, one call and one put just out os the money, and one of each, just
in the money, for each of the two front months. Source: CBOE
PUT-CALL RATIO
Last Week Last Previous
Puts Calls Week Week
S&P 100 41,771 31,792 131/100 103/100
CBOE Equity 528,996 912,214 58/100 74/100
Investors rely on the equity put-call ratio, which tends to track individual
trades, and the index put-call ratio, which reflects professional and
institutional strategies, as contrary sentiment indicators. The higher the put
trading, the more bullish the indication and vice-versa. Readings in the CBOE
equity put-call ratio of 60:100 and in the S&P 100 of 125:100 are considered
bullish, for instance. Bearish signals flash when the equity put-call level
reaches the vicinity of 30:100 and the index ratio hits 75:100.
Rampart Time Premium Index
The Composite Call Index (of time premiums on near-the-money six-months calls
on 2121 optionable stocks) was 16.36 at Thursday's close, versus 17.63 a week
earlier. The Composite Put Index (of time premiums on near-the-money six-month
puts on 2119 optionable stocks) was 15.79 at Thursday's close, versus 17.05 a
week earlier.
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(END) Dow Jones Newswires
12-27-02 2259ET- - 10 59 PM EST 12-27-02
28-Dec-2002 03:59:00 GMT
Source BAR - Barron's |
