|
PureBytes Links
Trading Reference Links
|
Though I have not attempted to compute this, I have found it is often
helpful to weight these things based on option value too. When I compute
put/call ratios - and I use o.i., not volume in general since I feel
that will show where pressure can come from at least at expiry - I use
something like:
sum of all strikes[(cp(i)*coi(i))/(pp(i)*poi(i))]
where cp is call price, coi is call open interest at that strike, pp is
put price and poi is put open interest.
It would be interesting to see that chart weighted that way, and then
again for Monday with yesterday's expiring options removed.
I suspect it will show an overbought market, needing a correction, but
not necessarily a collapse. Might start Monday, might start Wednesday
(89 business days from the 20-July high), but it is going to start soon.
Steve Poser
BobRABCDEF@xxxxxxx wrote:
>
> Following up on John's earlier comments about the market looking tired, a
> trader might be deceived by Friday's performance. However, if the trader
> looks at a sentiment indicator based on option volume and open interest he
> sees a different picture. Attached is a chart of the OEX plotted above a
> modified Hines Ratio. The Hines Ratio is described in the TASC April 1989 on
> page 50. It measures Bull sentiment and bear sentiment by making a ratio of
> ratios. Hines Ratio = (CallVol/CallOI)/(PutVol/PutOI).
>
> Happy trading,
> BobR
> http://www.oextrader.com
>
> ---------------------------------------------------------------
> [Image]
|