i wonder what data he is using? i'm looking at a 10-day moving average for the CBOE total p/c ratio for instance, and it was at record lows throughout December and January, and dipped only slightly higher in February, to a region that USED to be record low territory last year, and it actually has never before been that low. from 1988 - 1997 the record low for the 10dma of the CBOE total ratio was at 0,60...it was first breached in '97, reaching 0,52 shortly before the first Asian crisis mini crash.
it now stands at 0,47, only 0,03 points higher than at the record low dating from mid-January.
in the meantime the 10-dma of the OEX p/c ratio has dipped to 0,95...this is not unprecedented, but is the lowest point in three years. the last occurrence also dates from just before the Asian crisis mini crash.
the Rydex ratios are about as close to zero pessimism as they will ever get....
btw, Shaeffer, whose analysis i'm looking at regularly, interprets these data ALWAYS in accordance with his bullish bias. he'll tell you a VIX drop below 20 is bullish because 'it signifies the unwinding of fear' and when the VIX gets to 30, he'll tell you it's bullish because 'it signifies too much pessimism' (not exactly true btw, as the VIX uses both puts and calls in its calculation and merely reflects expectations as to future market volatility...it's just that downside volatility is USUALLY greater than upside volatility, which is why it tends to move inversely to the market).
the absolutely most bullish thing that ever happened was when he changed his outlook from 'bullish' to 'neutral' (i thought i'd never see that happen) about 10 days before the October low last year.
so i'm taking this analysis with a grain of salt...btw, his sector sentiment analysis is excellent.
regards,
hb |
