Sunday, June 06, 2004 10:13:10 PM
Zeev et al,
There is another view of sentiment on the equity option front that might be worth keeping an eye on and that is the International Securities Exchange (ISE) Sentiment Index (ISEE).
http://www.iseoptions.com/marketplace/statistics/sentiment_index.asp
The ISE, as it states, is the largest equity options exchange in the world. Their sentiment index, the ISEE, is based on the following:
1) An equity option based index
2) It is a call/put ratio (c/p * 100)
• < 100 = higher puts
• 100 equilibrium
• > 100 = higher calls
3) It is based on calls and puts purchased opening long positions (no position closing transactions)
4) It claims to use only option investor purchases with NO market marker, broker or other specialist transactions
I don’t know if this will make it a cleaner number, but if as advertised it filters out the funny stuff it may be worth following.
In comparison to the traditional p/c number, the ISEE did not hit any earth shattering extremes this week. It actually hit a noticeable local low on 5/11 (82), which was the lowest reading since the March low last year (76). So far, both those index lows look like darn good market turning points. It also called the Jan 04 top as well, 304 on 1/20 (3 times as many calls).
Unfortunately, it has a very short history to work with (only goes back to August 02), so it’s hard to start shaking in your boots when it nears some historical low. Its lowest reading ever was 60 back in Oct 02. Yes, according to the ISEE, put buying really can exceed call buying (ISEE<100) on a basis that does not suggest the end is nigh.
Also, for comparison’s sake, the traditional p/c number showed increasing put buying throughout the day on Fri whereas the ISEE showed marginally higher call buying.
I follow it in Excel and keep a few ma’s along with one derivative, the ISEE divided by the NAS. This number actually was an all-time low on the 11th. In other words, the ISEE reading relative to the NAS reading on the 11th was as low as that ratio has ever been in its brief history. That was interesting. See the third chart below.
All the best,
Stiv
There is another view of sentiment on the equity option front that might be worth keeping an eye on and that is the International Securities Exchange (ISE) Sentiment Index (ISEE).
http://www.iseoptions.com/marketplace/statistics/sentiment_index.asp
The ISE, as it states, is the largest equity options exchange in the world. Their sentiment index, the ISEE, is based on the following:
1) An equity option based index
2) It is a call/put ratio (c/p * 100)
• < 100 = higher puts
• 100 equilibrium
• > 100 = higher calls
3) It is based on calls and puts purchased opening long positions (no position closing transactions)
4) It claims to use only option investor purchases with NO market marker, broker or other specialist transactions
I don’t know if this will make it a cleaner number, but if as advertised it filters out the funny stuff it may be worth following.
In comparison to the traditional p/c number, the ISEE did not hit any earth shattering extremes this week. It actually hit a noticeable local low on 5/11 (82), which was the lowest reading since the March low last year (76). So far, both those index lows look like darn good market turning points. It also called the Jan 04 top as well, 304 on 1/20 (3 times as many calls).
Unfortunately, it has a very short history to work with (only goes back to August 02), so it’s hard to start shaking in your boots when it nears some historical low. Its lowest reading ever was 60 back in Oct 02. Yes, according to the ISEE, put buying really can exceed call buying (ISEE<100) on a basis that does not suggest the end is nigh.
Also, for comparison’s sake, the traditional p/c number showed increasing put buying throughout the day on Fri whereas the ISEE showed marginally higher call buying.
I follow it in Excel and keep a few ma’s along with one derivative, the ISEE divided by the NAS. This number actually was an all-time low on the 11th. In other words, the ISEE reading relative to the NAS reading on the 11th was as low as that ratio has ever been in its brief history. That was interesting. See the third chart below.
All the best,
Stiv
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