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Below I was asked how I came up with 154 for my Put/call ratio on 7-29.
Let me clarify the misreading of my post.
I said the OEX(S&P 100) Put/Call ratio(not the CBOE or equity p/c) gave a
154+ reading. This means it gave a reading greater than my designated BUY
threshold of 1.54. The actual reading was 1.79. And since I said that the
signal was for the 29th of July that means I was using end of day numbers from
the previous close (7-28).
I hope that this makes it clear. I can see how one might be confused if you
haven't kept up with all my recent posts.
Kurt
Sunnen@xxxxxxx
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From: owner-realtraders@xxxxxxxxxxxxxx on behalf of bobrabcd@xxxxxxxxxxx
Sent: Wednesday, July 30, 1997 9:33 AM
To: RealTraders Discussion Group
Subject: Re: TRADE: OEXP/C buy 7-29
Kurt, how do you get an OEX P/C of 154+ from the CBOE stats for 7/29?
Your insights are appreciated at this end. BobR
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CBOE summarized market stats for 07/29/97
Put/Call Ratio: .59
CBOE CALL PREMIUM: 13.27 COMPOSITE CALL PREMIUM: 11.88
CBOE PUT PREMIUM : 11.15 COMPOSITE PUT PREMIUM: 9.89
VIX OPENING VALUE: 24.78
VIX HIGH VALUE : 24.90
VIX LOW VALUE : 23.53
VIX CLOSING VALUE: 24.04
Equity Option
TOTAL EQUITY CALL VOLUME: 299,898
TOTAL EQUITY PUT VOLUME: 136,270
TOTAL VOLUME: 436,168
Index Option
TOTAL INDEX CALL VOLUME: 54,797
TOTAL INDEX PUT VOLUME: 72,031
TOTAL VOLUME: 126,828
Sum of All Products
TOTAL CALL VOLUME: 354773 TOTAL CALL OPEN INTEREST: 8895187
TOTAL PUT VOLUME: 208357 TOTAL PUT OPEN INTEREST: 6088742
TOTAL VOLUME: 563130 TOTAL OPEN INTEREST:14983929
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At 02:19 PM 7/30/97 UT, kurt kallaus wrote:
> So many signals ! The simple option system I gave out several times
these
>past 2 months has given yet another signal. A BUY 7-29 at 943.75 basis
SPU.
>As I post this it is ahead by about 7 S&P points or over $3K/contract.
> Exit is on open Thurs' 7-31. This was another trade that was easy for all
>RT's to follow since all we needed was an OEX P/C of 154+. Amazingly stops
>have not been used or needed this year, but obviously would in a full
fledged
>optimized sys'. Anyway the predictive value of this ratio is my point
and it
>has already been satisfied again with this trade with less than a day to run
>yet.
> Just keeping people informed.
>Kurt
>Sunnen@xxxxxxx
>
>
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