Zeev's Turnips Patch-No Politics (ZEEV)

[lemming]

Zeev,

I hope that your trip is going well.

Six years ago, the week before 9/11, I was monitoring CBOE index options and noticed that every half hour, the volume looked pretty normal. Then in one half-hour period, there was a huge volume spike. I can't remember the exact numbers, but I'm thinking it was something like 360K contracts in one half-hour period (average was running about 30K contracts). After that, it went back to the normal half-hour volume.

Someone in the office mentioned the anniversary this morning and I checked the CBOE data. Unfortunately, I haven't been following the site lately, but the volume yesterday is a lot higher than back in 2001, with several half-hour periods of over 100K index option contracts and an index put-to-call ratio of over 3.0 during some half-hour intervals.

I was wondering if you (or anyone on this board) has been following index option volume and/or put-to-call ratios for the past few weeks and can confirm/deny whether or not this volume is out of the ordinary. Also, has anyone else noticed a spike in the index PTC ratios?

I also noticed that although IBD has us in a confirmed rally, the NASDAQ was still under distribution, rated a D+ as of the end of the week. Their scale ranges from E- (heavy distribution) to A+ (heavy accumulation).

-David