Zeev's Turnips Patch-No Politics (ZEEV)

[lemming]

Zeev,

Welcome back. I hope your trip went well.

This is a lot of data, so please do not look at it right now. If you look at it at all, please put it on your back burner until you get settled.

Perhaps I am looking at the put & call volume data wrong (or maybe just looking at the wrong data). This came from CBOE's site (http://www.cboe.com/data/IntraDayVol.aspx). I paste their data into a spreadsheet that calculates the PTC ratios for the index options on a half-hourly basis, as well as the cumulative.

This is the data from 9/4:

Index Index put-call Ratio
Calls Puts 30 min Cumulative

9:00 AM 55257 89761 1.62 1.62
9:30 AM 69947 99244 1.42 1.51
10:00 AM 40559 74064 1.83 1.59
10:30 AM 28032 80806 2.88 1.77
11:00 AM 27998 150869 5.39 2.23
11:30 AM 37138 115507 3.11 2.36
12:00 PM 21035 33292 1.58 2.30
12:30 PM 23969 34145 1.42 2.23
1:00 PM 29014 36405 1.25 2.14
1:30 PM 35726 67003 1.88 2.12
2:00 PM 18377 79496 4.33 2.22
2:30 PM 14855 30199 2.03 2.22
3:00 PM 31345 60141 1.92 2.19

Lately, PTC ratios were not so horrid, but still somewhat high. Data from 9/13 is skewed, due to an erroneous negative number, but here is the data from 9/12:

Index Index put-call Ratio
Calls Puts 30 min Cumulative

9:00 AM 43189 69166 1.60 1.60
9:30 AM 58594 106574 1.82 1.73
10:00 AM 69036 49159 0.71 1.32
10:30 AM 71386 63394 0.89 1.19
11:00 AM 35044 37732 1.08 1.18
11:30 AM 30175 48219 1.60 1.22
12:00 PM 35109 55117 1.57 1.25
12:30 PM 32310 55379 1.71 1.29
1:00 PM 32739 32027 0.98 1.27
1:30 PM 32258 62533 1.94 1.32
2:00 PM 20138 26865 1.33 1.32
2:30 PM 18134 35003 1.93 1.34
3:00 PM 35448 73054 2.06 1.39

I am also perplexed at the below average index volume, as well as their accumulation/distribution levels (on a scale of E- to A+):

IBD New America / IBD 100: D-
NASDAQ: D
S&P500: C+
NYSE: D
Emerging Entrepreneurial Companies: D+ (up recently from D-)

When you get a chance (not right now), let me know your thoughts on this, any flaws in my logic, or if you know of issues with CBOE's data.

Thanks, and again, welcome back.

-David