Tuesday, September 29, 2009

OEX Put/Call Spike

Today the OEX put/call ratio (for those unfamiliar, this is a typically smart money gauge as traders buy index puts as hedges, etc) spiked to the highest level I can recall in quite some time. I didn't go back through all the data, but it has been over a year at least since the ratio was at that level. The ratio came in at 2.20. In the past the real big spikes have tended to occur right at significant short to intermediate term peaks in stocks.

This high reading has pushed the 5 day ratio of the OEX P/C average to a higher level than any since the bear market began in Oct 2007. Also, this has caused the spread between the equity (dumb money) put/call ratio and the OEX (smart money) to widen to corresponding levels. While the absolute values of the ratios are not very extreme compared to bull market history, I think they are notable.

Just maintain the open trades as is until further notice.


  1. Hi, where I can find the chart about OEX with a call/put Ratio indicator?
    Many thanks

  2. http://cboe.com/data/mktstat2.aspx#OEX

    The link above is to the data from CBOE.com

    After the close each day they report the total volume of calls and puts on many different indexes. The OEX is the S&P 100 index.

    Sentimentrader.com updates a chart of the data with standard deviation bands around it and also moving averages. So that is what I usually check, but you can get it free each day from using the CBOE website above.

    I will post an image of the chart from Sentimentrader.com in a new post as well. It is not one that I talk about a whole lot on the blog, so people may find it interesting.