Langlui's Big Board and Options Plays

[ChartReader]

zigman: Here's CBOE (p/c) and ISEE (c/p) Information

Pasted farther below is my 11/19/07 exchange with Zeev Hed.


CBOE Intra-Day (Half Hourly Put/Call) Volume
http://www.cboe.com/data/IntraDayVol.aspx


I'll preceed that by saying that CBOE and ISEE are simply opposites in how that express their ratios (put/call and call/put respectively)--so you can likely simply check CBOE daily for a "read" on option player's emotions.

Important to remember is that put/call ratios are a CONTRARY indicator.....as option buyers are usually WRONG at market turns (being typically too bullish at tops....and too bearish at bottoms).

And--CBOE #s are a lot better at grabbing "sharp market bottoms"....when fear is this highest (and wrong). Market tops are a bit trickier....as optimism tends to be a less-sharply-exhibited emotion.

Finally--slow "grind-it-out moves" (like our current day-after-day decline) are also LESS likely to generate the ultra-high CBOE numbers that one would usually be looking to find.

(On "boring market days" there's not much reason to check CBOE numbers.....as not much will be seen there. Sometimes I'll not even look at CBOE for days at a time.)

However--on big-move days.... up or down..... it pays sometimes to look at CBOE for clues as to either excessive optimism (at tops = LOW p/c ratios) or excessive pessimism (at bottoms = HIGH p/c ratios).

Hope this helps--here's more.....



RE-posted from my 11/19/07 exchange with Zeev:

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Posted by: ChartReader Date: Monday, November 19, 2007 11:57:26 AM
In reply to: Zeev Hed who wrote msg# 572572 Post # of 616024

CBOE (p/c) and ISEE (c/p) Information

Here's some more.....this should likely help.

Farther below are some notes and postings to myself--that I've coddled together to keep my mind straight. (You'll have to wade thru all of this.....but likely you can understand my previously saved "notes to self.")

Keep in mind that CBOE's and ISEE's numbers are sort of "opposite" of each other: CBOE is expressed as p/c ratio.....while ISEE is expressed opposite as a c/p ratio.

Log into CBOE and ISEE and watch how these 30-min and 20-min postings change everyday as the market swings up and down--especially at extremes of moves and mini-moves. Pretty soon you'll have a feeling of how they (sometimes!!) collectively express market participant's emotions (and collectively, usually they are wrong).

Final CLUE: Think "opposite"--as CBOE and ISEE are both CONTRARY indicators. Excessive CALL-buying is actually bearish...and excessive PUT-buying is actually bullish.


OK--Here's my mumble-jumble of "notes to self" on this witch's brew:

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CBOE Intra-Day Put/Call Volume -- Half Hourly Exchange Volume Report
http://www.cboe.com/data/IntraDayVol.aspx

.50 = extreme complacency (excessive call buying = ie, bearish)
.75 to 1.0 == neutral
1.0 to 1.25 = MORE put buying (ie, signals nearer END of move, ie bullish)
1.4 to 1.7 likely END of down-move (March 2007 bottom = 1.7)

ISEE Index (unique--only uses OPENING/LONG public transactions to calculate put/call value)
Intraday Summary Updated Every 20 Minutes - Sentiment Data - Call/Put Volume
Note: correctly should be called a call/put ratio!! (numbers are opposite of CBOE put/call ratio)
http://www.ise.com/WebForm/viewPage.aspx?categoryId=126&header3=true&menu0=true

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.

ISEE > 100 More customers have opened long call options than put options.
ISEE < 100 More customers have opened long put options than call options

Historical ISEE Date (Previous Trading Day 118 11/09/2007)
Note: 10/29/07 (market TOP) = 191 (ie, More customers have opened long call options = BEARISH)
observation: DAILY and 20-minute (extreme readings) seem useful
(observation: 10-Day, 20-Day, and 50-Day (139, 135, and 135) seem USELESS)
52-Week High 212 05/07/2007 (really means: 2.12 = excessive call buying = bearish)
52-Week Low 51 08/07/2007 (really means: 0.51 = excessive put buying = bullish)


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Sometimes it helps to "stand-on-your-head" when looking at the market's p/c and c/p numbers.

Good luck trading!!

--ChartReader