I quickly read into it and looked into it on the ISEE site. Clearly over 100 is bullish and under 100 is bearish, intraday (Today people are actually bearish) but... on individual securities people are very bullish. obviosuly theres some divergence but thanks a lot for sharing that!
Here are the cliff notes: ise sentiment index The ISE Sentiment Index is a unique put/call value that only uses opening long customer transactions to calculate bullish/bearish market direction. Opening long transactions are thought to best represent market sentiment because investors often buy call and put options to express their actual market view of a particular stock. Market maker and firm trades, which are excluded, are not considered representative of true market sentiment due to their specialized nature. As such, the ISEE calculation method allows for a more accurate measure of true investor sentiment than traditional put/call ratios. Because of this distinctive calculation methodology, ISEE has been referenced by The Wall Street Journal, Barronâs and other leading publications as a useful investment tool. Investors and investment professionals can use this unique put/call value to determine how other investors view stock prices, as well as to supplement and validate their own market views. What is the ISE Sentiment Index (ISEE)? ISEE is an indicator of bullish/bearish investor sentiment that is computed using a unique calculation methodology and proprietary ISE option trade data. Unlike traditional put/call ratios, ISEE is based on opening long customer transactions only. Trades by market makers and firms are excluded as these tend to skew sentiment value. As a result, ISEE provides a more accurate reflection of true investor sentiment. For more details on our calculation methodology, please click on the âDetailsâ tab. What is the formula used to calculate sentiment? ISEE is computed by dividing opening long call options by opening long put options and multiplying by 100. For example, if 5,000 call options to open traded and 2,000 put options to open traded, the sentiment value would be 250. What do you mean by you only use "Customer Opening Long Positions" in your calculation? ISEE values use a unique calculation that requires proprietary trade data. Where the traditional P/C ratio makes no distinction as to the type of the trade, we only use "Customer" opening long positions in our ISEE calculation. In case you are not familiar, the option exchanges recognize three types of trades: market maker (MM), firm and customer trades. The MMâs job is to provide liquidity, so they tend to be indifferent as to the direction of the underlying security and their trades are not likely to represent bullish or bearish sentiment. Firm trades, which include proprietary desks, tend to execute strategies that make it difficult to detect whether they are long/short or bullish/bearish on a particular security. Customer opening long purchases of calls and puts tend to indicate whether they may be bullish or bearish. A Customer purchasing an opening long call is generally bullish and a customer purchasing an opening long put is generally bearish. We believe that customer trades provide a more accurate representation of true investor sentiment. How do I interpret this data? Based on our unique formula for calculating sentiment, a very low sentiment value indicates that more opening long put positions are being established and a very high sentiment value indicates that more opening long call positions are being established. Long positions of call options to open are generally viewed as a bullish transaction and long positions of put options are generally viewed as a bearish transaction. Therefore, a higher ISEE value represents more bullish sentiment for the underlying security and a lower ISEE value represents a more bearish sentiment for the underlying security.
No, you need to be careful when analyzing data. One, you have to know the distribution of the data and where the tails "usually" are. Two, you need to know how rare the tails are. Three, everything is relative. So you need to know where your mean is. And four, not all high and low readings are the same. You need to be able to distinguish between them. What I'm trying to summarize here is, the "high" readings you see right now are not high and they are quite meaningless. Again, I watch this very carefully so I have a good feel for the data. At this point what I'm personally looking for is a spike on the "equity only" reading of 250 to 300. We just have not been able to sustain anything over 200 and quite frankly, following all the 200 readings we quickly see the put buyers come in the next few days and print some 100 readings.
I need to look further at all of that data, I wonder if you can export it and analyze it because thats amazing. I'm positioned short in this market currently but if i don't see a minor pullback in the next few days i will be re-evaulating especially with this new info, Thanks a lot!!
Where have I heard this before? Mav is one of the few experienced quality posters still left around here. You can usually take his stuff to the bank.
What do you mean by "minor pullback"? Would that be a pullback of 5%? 10%? There was a 60 point drop in April, but that was only a 3.8% pullback. I take it you're looking for something more?
if data defies basic logic it should be ignored we are up 15% in 4 months. overall that's one of longest and powerful rallies ever - even if data shows some bear bias does that mean market should grow even faster to short? it's like a suicide attempt to get rich. so there will be more hedges not less as rally progresses although I believe there is one extremely important indicator that should be watched Nikkei bubble must collapse first. S&P will not go down before NIkkei