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Thanks, Kurt for the clarity of your answer. The OEX P/C stats were
further down the CBOE page posted and I missed them. If I read them right
tonight the ratio is 1.23 for tomorrow, neither triggering a buy or sell on
the open.
S&P 100 Index - (included OEX ,OEB,OEW, OEY & OEZ) for 7/31
close.
OEX CALL VOLUME: 38670 OEX CALL OPEN INTEREST: 143644
OEX PUT VOLUME: 47387 OEX PUT OPEN INTEREST: 214605
OEX TOTAL VOLUME: 86057 OEX TOTAL OPEN INTEREST: 358249
OEX LEVELS HIGH: 934.65 LOW: 924.79 CLOSE: 929.89 +1.64
The attachments are not an answer to your challenge to share systems, but
are simply the results of what an off the shelf system can do. It is Essex
Option Pro 2.5 using their default parameters for five different trading
models using end of day data since the beginning of June 97. The models
are rather simple in construct. Most traders would not take the sell
premium signals unless they used spreads because of the margin
requiremenst. No trades have been signaled for tomorrow 8/1 by any of
these five systems. (PS, no sales pitch intended, no connection to the
company)
BobR
At 09:55 PM 7/31/97 UT, kurt kallaus wrote:
>
>
>----------
>Sent: Thursday, July 31, 1997 4:20 PM
>To:
>
> First of all I know most people only want to look at this as a vehicle
and
>determine if it can make them money. It was not my intent to just create
>something for the group to specifically make money, but to prove that
options
>are imperfect but often valuable tools in determining overbought/oversold
>conditions in the market.
> I think I have shown objectively and subjectively that the OEX put divided
>by call ratio (as well as other options) is a good tool to use to assist buy
>and sells. Even without optimizing the net gains by my simple initial
rules
>are great:
>1) When OEX (S&P 100 Index) Put Volume / Call Vol' is 1.54 or greater it
is a
>Buy on open the next day. And when this P/C ratio is .99 or less then a
Sell
>on open the next day. These are end of day readings and using just one day
>(no moving avg.).
>
>2) The signals last for 2 days with an exit on the open exactly 2 days after
>entry.
> Stopping right here one could have still made a very good return.
> #'s 1 & 2 are the core rules from which money management can now come in.
> I suggested some obvious but more general rules.
>
> Don't take a Sell after a large down day (around ? 1% or so), and don't
take
>a Buy when prior day was already up big (1 % or so ?...) . Also for the RT
>group I didn't take multiple signals on consecutive days (that has added a
net
>36+ points over the last 1.5 years to total). This would also greatly reduce
>the # of trades yet increase the profit.
>
> Not mentioned are also some obvious rules that each can refine for
himself;
>perhaps a 10 point stop could add about 73 points to 1.5 year record and
using
>a two-thirds retracement profit stop after a 1% + profit could add another
37
>points. The recent 85 to 90 % accuracy over the past few months was
without
>these later rules; though 85 to 90 % is hard to maintain with any system.
The
>good news is that the 6 wins and 1 loss record of the past 2 months has not
>been in hindsight, but with clear notification of rules with supporting
>signals to review.
> Anyway there is a net gain potential of 300 to 400 points basis the S&P
>futures based upon these and related rules over the past 1.5 years since
>12-95 ; and actually this is with 2 months of missing data that I'm
confident
>would boost the record.
> Again this is not my main trading mechanism and it is the most simple of
all
>the tools I use, and it's not the rocket science of other claimed/famed
>systems, but it does work and appears to work better than many. Although I
>guess hardly anyone has offered much in the way of a system to this group
>ever. Sometimes there will be a date mentioned for a turn but almost always
>it is a couple days after the turn that the prognosticator tells us which
way
>you should have played the turn. I'm just trying to encourage people to
>give some systems (even someone elses sys' like Connors book of systems) or
>signals or specific predictions and then follow thru with the results. Give
>out some rules and or the actual signal and then sometime after each signal
>expires review what others could have or should have done with your
knowledge
>that was given with 'foresight'. If one does't have a sys' but just a turn
>then post the night before or even the morning of the turn which way you
>interpret the future direction.
> And since I started this diatribe I will just add that it does
absolutely no
>good to the group to tell RT'ers how great youare and how you have 80 to
100%
>accuracy and are better than others with acrimonious epithets (this should
>bring to mind 2 people from this past week to most of us), with no helpful
>rules or signals or ideas given out.
>
>Sorry for the tangent ! Back to the OEX P/C to wrap up.
> Data is easy to come by. Wall St. Journal, New York Times.. and many
>electronic vendors carry the OEX and other option numbers.
> My personal system I use mostly is far more selective and incorporates 10
>other indicators than what I have shown above.
>
> Sometimes simple is best !
>
>Godd Luck to all,
>Kurt
>Sunnen@xxxxxxx
> PS: By the way while the OEX sys' is flat did anyone notice that the CBOE
>and all listed option P/C ratios were at record lows on the close 7-30.
Thus
>it may have signaled the weakness today. Friday ??? Who knows.
>
>
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