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Strategies & Market Trends : Investor sentiment surveys - a technical indicator

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To: Mat Miller who wrote (33)4/5/1997 6:36:00 PM
From: Andy H   of 167
 
Over the last ten years, I have not seen the parameters for the CBOE ratio change much. I believe (but have not empirically tested) that the putcall ratios are slightly higher than say in 1987, due to additional index put buying. The buy parameters have always been to buy with two readings of 1.0 or higher within a short period of time. Only in a bear market, such as 1990, will these parameters likely be exceeded. In fall of 1990, we had multiple 1.0+ readings in August and September, that gave rise to only the briefest of rallys, until the bottom was hit in October to December of 1990.
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