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The exchanges' normalized $C/$P values did have uncharacteristic patterns
today. They started out with ye olde "S" curve maneuver you see in futures
and then ramped right up with the equities and futures. PSE peaked midday
and turned down. PHLX peaked late and then the $C/($C+$P) dropped like a
rock. AMEX stayed strong all day. CBOE composes the largest component of
the Total or combined ratios so it tends to have the same shape. What
conclusions if any can be made from such intraday maneuvers? Well, you
can't trade exchanges and PC ratios, but when the combined ratio gets up to
0.7 to 0.75 the futures and equity indexes tend to stall out. Also as the
end of day nears the levels seem to switch towards the put side, especially
the PHLX and PSE with the CBOE right behind. The AMEX appears to be the
more stable. The second .gif $C$Pnorm shows an OEX ratio of
2.77un-normalized and 0.734normalized. Now this could portend some
consolidation/profittaking on Thursday.
jingle jingle
bobr
----- Original Message -----
From: "Ira Tunik" <irat@xxxxxxxxx>
To: "realtraders" <realtraders@xxxxxxxxxxxxxxx>
Sent: Wednesday, May 16, 2001 4:43 PM
Subject: [RT] the Dow Rampage.
> The INDU broke out of the channel today and hit a price target of mine.
> I wonder how much of this run up was options related. After the past
> warnings about the Friday volatility, many of the option related
> adjustments occur on the Wednesday prior to expiration. Ira
>
>
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Attachment:
Description: "$C$P.gif"
Attachment:
Description: "$C$Pnorm.gif"
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