Wednesday, May 27, 2009

Re: [TheOptionClub.com] CBOE Put/Call Ratios in TOS



Thanks Murthy & Alex for mentioning ISE Put/Call and the ratio that no-one calculates.... I will surely do some homework with historical prices on these to see if I can add find anything of value. On a daily basis, these may be as useful or useless:-) as any other indicator, but there may be some value in these from a contrarion perspective... If I find anything, I will send you guys a private email which I hope you will not mind... 
 
Cheers Vikas
 
 

On Thu, May 28, 2009 at 10:46 AM, Jacobson, Alex <ajacobson@ise.com> wrote:


The best put call that ever existed is not one that anyone I know calculates. The calculation was simply opening buys call and opening sells put as the numerator and then opening buys put and opening sells calls as the numerator. All volume weighted. It actually had about 70% accuracy as an indicator. It wasn't contrarian it was straight up. A raw unfiltered put call actually has much too much noise in it to be of much value and dollar weighting actually makes it noisier. The P/C was invented by Marty Zweig and he actually wrote a paper in the late eighties where he claimed it really didn't work well anymore. His claim was it had worked really well as a contrarian indicator when the business was mostly made up of individual investors. The noise today arises from the fact that most of the volume in options today comes from spreads (about 20%) and trades tied to stock, converts or preferreds (about 40%) that it is simply too hard to read the meaning of the volume. So I believe P/C ratios are a tool to help the decision making process, but I would not use them as the core decision making tool





ISE educational presentations are now available via the iTunes Music Store. Visit Option Education @ Your Fingertips for free ISE podcasts. Sent from my Blackberry. Alex Jacobson ajacobson@ise.com. 1(917)2243711

From: OptionClub@yahoogroups.com
To: OptionClub@yahoogroups.com
Sent: Wed May 27 20:30:02 2009

Subject: Re: [TheOptionClub.com] CBOE Put/Call Ratios in TOS

Hey Alex,
 
I was going to write, "May be Alex knows how to take advantage of this data (or interpretation) and actually make $$$$."
 
Credit to you and your exchange as always ;-).
 
Murthy


 
On Wed, May 27, 2009 at 5:25 PM, Jacobson, Alex <ajacobson@ise.com> wrote:


I agree they are warm wonderful and caring people at the ISE. No question the finest exchange in the country

Sorry I couldn't help that



ISE educational presentations are now available via the iTunes Music Store. Visit Option Education @ Your Fingertips for free ISE podcasts. Sent from my Blackberry. Alex Jacobson ajacobson@ise.com. 1(917)2243711

From: OptionClub@yahoogroups.com
To: OptionClub@yahoogroups.com
Sent: Wed May 27 20:21:50 2009

Subject: Re: [TheOptionClub.com] CBOE Put/Call Ratios in TOS

Vikas,
 
Since you mentioned CBOE, please take a look at ISE website:
 
 
See the description on how they calculate the put-call ratio. They do not count the market makers and firm trades into account (trying to eliminate hedge trades in the calculation).
 
I had a spreadsheet with the historical P/C to the market (SPY) the following day and I didn't see any correlation that I could take advantage of.
 
Good luck.
Murthy
 
 
 

 
On Wed, May 27, 2009 at 3:45 AM, Vikas Basantani <vikas.basantani@gmail.com> wrote:


Thanks for your suggestion, Murthy. It does help but not much...

Getting historical data is not really a problem. I can get this information at http://www.cboe.com/data/PutCallRatio.aspx for both index and equity options.

I was just trying to ask if there is/are any symbols that I can directly look up in TOS for this information...

On Wed, May 27, 2009 at 3:20 PM, Murthy N <optionsmaya@gmail.com> wrote:


Vikas,
 
You probably already know this, but for whatever it is worth ... you can get PUT_CALL_RATIO using Excel DDE (=TOS|PUT_CALL_RATIO!AAPL).  Check the DDE help for other parameters that are supported in the print icon in the TOS screen.
 
However, this is real time and not historical.
 
Good luck.
Murthy
 
 


 
On Tue, May 26, 2009 at 10:04 PM, Vikas Basantani <vikas.basantani@gmail.com> wrote:


Does anyone know if it is possible to look-up CBOE Put/Call Ratios (Index & Equity) within TOS platform?

I do get a daily (free) email alert from CBOE but was wondering if it is possible to look at these ratios over longer durations in the Chart Tab or thinkback/Analyze Tab?

I am sure there is someone who has tried to find these in TOS before me:-)

Cheers Vikas

http://options101.wordpress.com






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