TRADE update: OEX P/C

["kurt kallaus" <Sunnen@xxxxxxx>]

  There has been an abundance of what I would call Signals basis OEX Put to 
Call ratio of late  so I thought I would update at least one more time.

  With foresight all should have seen real time (not hindsight) that there was 
a Sell on open 7-17, 7-23, and 7-25.  The last signal exited on open today 
basis the rules I have given out several times on RT at 941 for a nice 7.70 
pt' gain basis SPU or $3,850/contract.

  To review: this is my simple creation but not a system that I trade as is.  
I do use the OEX and other put and call and open interest and momentum numbers 
along with many rules in a more selective and complex system for myself.
  But in response to a debate over the value of the OEX P/C ratio I put 
together this simple technique in one day with some backtesting to show that 
there IS a positive correlation with OEX options and future price action.  
This was not put together to just show that it makes money but to show clear 
empirical evidence of a strong correlation.
  For instance basis my very simple rules the signal on 7-23 was a loss, yet 
clearly it showed the correlation to be correct.  There was a 12 point gain 
75% of the way through the 2 day signal so a trailing profit stop would 
clearly have turned this trade positive.
  Empirically the Sell on 7-9 showed a 23 pt' S&P gain the same day as entry, 
the 7-17 Sell had a 25.45 gain less than 3 days after entry, the 7-23 Sell had 
a 12 pt' gain the day after entry and almost 20 pt' gain from the intraday 
high shortly after the entry.  
  So not only did these signals make money, but even if they didn't one can 
clearly see basis empirical viewing that the OEX P/C does have predictive 
value.  
  The way I read it 14 of the last 16 siganls were correct for 87.5 % wins and 
153 pt' net gain - all in the last 4 months (about 1350% return annualized 
over margin).   In the future the correlation may break down for a time and I 
don't want to get bogged down in the accuracy of these numbers as this is not 
meant to be a specific system for all to follow, but simply a proof of 
positive option ratios with stk' mkt' price direction, and hopefully a help to 
some RT'ers looking for ways to improve their trading.

Kurt
Sunnen@xxxxxxx