PUT/CALL ratios for april 22
CBOE tot.: 0,50
individual equities: 0,34
OEX : 2,07
VIX : 23,98
PVI (CBOE tot.): 0,82
PVI (OEX): 0,55
ind.equ. call vol.: 587,961(+19,443) put vol.: 200,522(+9,719)
OEX call vol.: 22,398(+1,109) put vol.: 46,426(+18,030)
as posted yesterday, i expected a strong upward move to help the p/c ratios to deteriorate further from wednesday's levels. to my surprise, it didn't happen. instead, the conflicting signals prevalent of late continue to persist. the ind.equ. ratio remains bearish, while the OEX ratio once again sits at a bullish extreme. the 10-day moving avg. of the OEX-ratio is in fact at a historic extreme of 1,73. the PVI (calculated by dividing put volume of the day by the 10-day moving average of put vol.) on the OEX has receded somewhat from yesterday's levels, but is still in bearish territory. keep in mind though that the PVI is still distorted by last weeks expiration. i am working at a modified version of the PVI to screen out expiration distortions and will start to post it as soon as it is properly back-tested. it is difficult to draw definitive conclusions from the conflicting ratios, but they probably suggest that both upside and downside potential of the market are currently limited, which would favor option writers over option buyers in the near term. if indeed a period of churning lies ahead, it will be important to watch how option traders react. the recent breakout of the market to the upside was preceded by an increase in pessimism in the later stages of the congestion period (the main piece of evidence being the ind. equ. ratio). view decisionpoint.com to see what i mean.
hb |
