Dollar Weighted Put/Call Ratios

Discussion in 'Options' started by Fari Hamzei, Jun 14, 2002.

  1. SPX Dollar Weighted Put/Call Ratio hit 12 today on or about 1000 ET today.

    This is very bullish signal.
  2. Trajan


    According to Yahoo(which I don't trust), the VIX spike to 36
    on Friday. These indicators are short term. Indication of a long term bullish trend would be a VIX of 10. At least, IMHO. Get long below the long term trend. It was well down in the teens for a long time befor 1997.
  3. rbane


    Actually, when the VIX is low, below 25, it shows investor complacency and is a bearish indicator for the market. It is telling you that very few people are worried, and, that is when the market is most susceptable to dropping.
    However, when the volatility index is high, above 35 or so, that tells you people are worried and have done most of their selling, and that is when only buyers are left and the market is most likely to rise.

    If anyone disagrees, let us know.
  4. chisox

    chisox Guest

    by chance do you have the delta weighted? thx.
  5. chisox

    chisox Guest

    how about any major strike concentration imbalances closeby
    thx in advance..
  6. edesks


    The stock market last Friday put in some kind of bottom. The market is now hated by the general public and that is a great sign. The announcers on CNBC are now calling for a bad summer and act like they understand market direction and where it is going. Arch Crawford is calling for a crash between the 20-25 of June; Art Cashin is calling for a low on the 25th rumor has it. Of course this is the best type of sentiment reading we could have pundits at the bottom calling for more lows and crashes. This weekend INTC and MOT have received positive comments in Barron’s which may help that sector.
    Open interest in the S&P futures has now expanded to 606,572 contracts which I believe is smart money getting long over the last 2 weeks. Open interest exploded in the NASDQ futures to 86,801 contracts. As of this moment the Futures have there largest amount of open interest in the past year. The sentiment is at the extreme of oversold and people are afraid of the market and are looking for capitulation which will not come. The market gets rid of the most people by bleeding to death not letting them out with a quick crash. As you look through this weekend edition you will see the various indicators that are telling us of a bottom which I believe was put in Friday morning. So I feel we have found the bottom of a trading range and will work our way higher now. There are gaps at 1105.20 on the S&P futures and that should be a good target for now. The beige book came out last week and shows slow growth which is fine.
    sorry cant post the chart here.
    As you can see the CBOE put/call ratio is at .93 which is the highest reading since the September bottom.
    The BTK (Biotech Index) closed above the high of the low day and broke the downside momentum in this group.
    The TRIN indicator in all three markets below is showing Bullish divergences and is extremely oversold. McClellan Oscillator has given a bullish divergence and has broken the downside momentum.As you can see the same bullish divergence exists in the SPX and the summation index is deeply oversold. The SPX advance decline line is deeply oversold and being short now makes no sense the danger is now on the upside not the downside.

    Value where is it in the Stock Market?
    DYN, MIR, CPN, AES, DUK these four power producers are now trading between 4.6 -10 times next years earnings estimates and AES, MIR, CPN, and DYN are trading below book value. Wall Street has downgraded all these issues, what better time to buy them. Wall Street also upgraded all these issues at the highs and now they downgrade at the lows? There are preferred issued on a few of these that look like great bargains.

    “Merrill Lynch upgrades to Near-Term BUY from Neutral, saying the co is trading at firm's "floor" valuation of $10 and that the CIT offering should substantially help to allay the mkt's liquidity concerns; believes stock could achieve a price in the low to mid-20s, yet firm remains cautious regarding TYC's strategic direction and potential future operating. Separately, JP Morgan upgrades TYC to Long-Term BUY from Mkt Perform as one of the key unknowns - the timing of a CIT offering - may have been removed.”
    I like this stock at this price it has room to bounce stop is last weeks low at 36.81.There is massive support at the 250 area in the Utility Average. The downside is very limited from here and I would be a buyer on a continuous basis from here going forward. This would be a great place to start dollar cost averaging. As you can the Dow Jones Utility average has been beaten up very badly and now looks as it has found support. This is one of the true value areas with a great future outlook that is cheap.

    How long does it to wipe out excess?
    Take a look at the Nikkei stock market it was a bubble that burst and as you can see it has taken 12 years to wipe out the over bought and wring out the excess. The reason I mention this I want people to understand what we are in for over the next 10 years. The U.S. stock bubble was the greatest bubble in history and it will take years to be back to historical valuations that make sense on the stock market. This doesn’t mean that there will not be cheap areas because there will be and new technologies will appear. But the grinding out process doesn’t come in just two or three years in can take a decade or more. will be up in the next two weeks God willing and maybe at the end of next week.
  7. VIX can shift ranges and certainly downshifted in the spring. In fact, the VIX was dropping for a while as the market dropped also, rather serenely, if painfully for some.

    On the VIX, relative extremes, spikes and reversals are good short-term indicators, but absolute numbers are not so useful.
  8. Trajan


    Sorry, I was a little inebriated last nite when posting. Not only did I commit numerous grammatical errors, but, my thoughts were pretty incoherent. What I should have posted:

    Th VIX spiked to 36 on friday then finished below 30( rbane, you have a reading below 25?). Leading one to think we put in a short term bottom. We have obviously been here before in the last two years only see the indexes hit new lows nine months later. The idea I wanted to explore was wether we could find a longer term reversal in the VIX, in other words, a new bull market. Looking at the long term chart of the VIX, it has been in a range between 20 and 35 since 97/98. When it hit either of these two points, the trend reversed. Since '88, the range, with exception of 1990, appears to top out at 20 rather than be a bottom. I am wondering if we will go back into that range when we enter a new bull market. The second idea I have along the same lines is to how a drop in the VIX would indicate true hatred of the market. Volume would dry up even more than it has. Stocks would move around less as more people get bored when they don't move up. While people hate the market right now, at least, they have an opinion. When they don't care anymore up or down do I think a new bull market will emerge. Because I am a shut in and don't get around much, my thought was that maybe a move down to its historical lows could indicate when this happens.

    Looking at the long term chart of the VIX, I can't say this with a high degree of certainty. It seems ambigious because the VIX bottomed out in 93/94, after the market had been rising for a couple of years. Looking at 88/89, it appears to be in a lower and very tight range. However, it wasn't at its historical lows. It then had a year of higher volatility which indicated a beginning of a new trend.

    Of course this has implications for today as well, volatility would essentially be cut in half. You would pay a heavy price to hold premium. Microsoft IV still trades above what it did in 95. Back then, 37 was considered a high IV for MSQ options. Last I looked, it was in the 40's. Is it not probable that the stock would enter trading range where a base is built with the IV and HV getting crushed brefore it moves out to the upside? Wouldn't this happen in the indexes as well?

    These are just random thoughts. I am more conflicted after writing this than before.

    I get scared looking at this chart:^SPX&d=c&t=my&l=on&z=b&q=l

    This is not to say you couldn't find stocks that will go up if we do approach 500 in the S&P 500. Valuations can get absurd to the downside just as they did to the upside. In Dec of 2000, small caps, with a current PE of 10 or 15, were trading at a 1, 2 or 3 PE. Look at it like it is a an opportunity. Wish my friend would have called me when his company was trading at a 1 PE. LOL

    What is