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Here is a reposting of mine from 6 weeks ago that several had requested. The
very simple OEX based S&P signal below was not meant to be a big deal, though
it has performed well. I don't care to create a mail list of RT'ers... as
some suggested (i don't think I deserve such a following anyway) . It would
take on a life in an of itself but more importantly it would be detrimental to
the purpose of the Real Traders forum of sharing with all. So I will try to
share more signals and concept positions with the group for awhile.
But I encourage veterans and successful traders to contribute more action
oriented advice to refocus RT instead of so many posts on opinions of
brokers, servers...software, codes...
Regards Kurt
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Sent: Wednesday, June 11, 1997 2:01 PM
To: 'NP Chat'
Subject: OEX Put/Call
Glen Jones I think commented on Bullishness of OEX Put/Call ratio and Larry
Mac' countered that it was useless due to hedging activity.
I had posted a couple times this spring in support of Larry's thesis about
the sullied image of the OEX and how it seemed to behave almost exactly
opposite expectations & historical norms of it and all P/C ratios. That is it
seemed to show call volume going up relative to puts (a low P/C) on down days
and Puts rising relative to calls (a rising or high P/C) on up days.
Late Feb' into mid March was particularly exemplary of this.(also bad on
12-30-96)
But hold off on driving a stake through this P/C ratio.
Ironically I was just about to post to RT the same time Larry did
parroting his sentiments, but then erased my post while I reviewed OEX P/C's.
Larry mentioned the Sell that the OEX gave on 6-2-97 (at .62 or .68). True,
that was not great although it did occur on the very day we were testing all
time highs in the 850's SPM. Since the market was down sharply that day it
was too late to enter, but even if one sold near close or on intraday rally
the next day they would have done OK as the OEX went to a very clear Buy 3
days later on the open of 6-6 for a breakeven to be followed by a 25 point+
S&P gain in the 3 days since.
The only other signals based upon this simple tool would be (using 154+ for
Buys and 99- for Sells) would be on the opens for a Buy 5-20, Sell 5-6, Buy
5-2, Sell 4-24, Buy 4-22, Sell 4-18, Sell 3-26....... I consider all those
mentioned as winners.
If you had a simple rule of entering on those opens and exiting exactly 2
days later or when the next signal countered then you would have captured
about 70 S&P points per contract and almost 100 if you count the Buy on 5-2.
Thats $35,000 to $50,000 per contract in about 2 months with 1 loss & 9 wins.
Also I don't count multiple signals. So if you get 90 or less 10 days in a
row you only count the first day, and if you get a few days over mid 150's
(like this week) then count only the first day. This seems obvious, but I
wanted to clarify. And of course one doesn't take sells after downmove is
already well underway & visa-versa (thus the potential Buy on 3-11 or 12, and
6-3 would have easily been ignored).
Who says you can't find profitable ideas in this group ?
No I don't even trade based upon this tool, but I do find it useful.
Perhaps the equity P/C that Larry quotes is more useful - I will have to check
sometime.
Kurt
Sunnen@xxxxxxx
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