Jerome, this may be the wrong way...
I'd take the ratio of the sum of the open interests for
September. I get p/c = 0.640931478441199 [note the accuracy :)]
Data comes from here:
finance.yahoo.com
Repeating this calculation [easy with a spread sheet] for
the following months would be an indicator on whether investors get more bullish going forward.
Here's Sept data...
CALL Strike PUT
Last Vol OpenInt Last Vol OpenInt
12.3 0 269 5 0 0 170
9.8 0 20 7.5 0.05 0 2
7.3 0 37 10 0 0 0
4.9 0 194 12.5 0.15 10 1,632
2.15 568 2,589 15 0.6 2,016 10,816
0.85 1,912 16,436 17.5 1.5 2,542 26,104
0.25 815 51,830 20 3.5 629 18,530
0.1 130 14,204 22.5 5.6 44 1,113
0.05 1 5,489 25 8.4 12 965
0.1 0 1,514 27.5 10.3 0 6
0.05 0 2 30 13.3 5 2
92584 59340 |
