Zeev's Turnips Patch-No Politics (ZEEV)

[shack]

Zeev, we've been having some recent discussion on SI about how the CBOE P/C (including the equity P/C) is becoming more irrelevant due to the amount of market share which the CBOE are apparantly losing to the other exchanges especially the Pacific, Philadelphia and ISE excahnges. When you said the EPC was above 1, I finally had to take a closer look.

I have always usesd an equity P/C ratio encompassing all exchanges which is available from certain data services. That EPC today was only 0.65! In light of this huge difference, I thought I would cruise through the time and sales data of an actively traded option and see what the numbers really are in terms of how much is actually traded on the CBOE. I took a look at the QQQ June 36 put which traded a healthy 26K today. You want to take a guess at how many of those contracts traded on the CBOE? Exactly 3920. That's about 15%.

Granted I need to investigate it further but if this is indicative of all options trading then there is little doubt that the CBOE P/C ratios are suspect at best in terms of gauging sentiment.