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The Exchange Composite Index is a custom, simple ratio of the dollar value
of calls divided by the sum of dollar value of calls plus dollar value of
puts traded on the 4 major option exchanges available on the dtn satellite
feed. The end of day view reflects the sentiment as of the close each day.
The intraday view shows the individual exchange and composite for each 3
minutes of the day. In bearish modes the Composite tends to rise to 0.5X at
mkt peaks and drops below 0.3 at mkt lows. In bullish modes the ratio range
shifts upward like 0.75 to 0.3. The intraday noise is dependant a lot on
sector activity which appears on various exchanges, like the PSE for tech
stocks or Amex and PHLX for financial, energy, resources, or the CBOE for a
broad mkt advance or decline. Begining on 8/28 a destinct bearish position
was taken on all exchanges and was reflected by a drop in the ratio to 0.165
on 8/28 following an overbought level of ~0.58. That bearish reflection was
sustained all through September. History shows that September has the most
down days of any month of the year so the short positions reflected by the
low ratio appears to be a successful strategic strategy. October is second
to September in its market terror record as having the most points lost in
the fewest days. Yale Hirsh in his "Stock Trader's Almanac" is one place to
see the historical record.
bobr
----- Original Message -----
From: "M. Simms" <prosys@xxxxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Cc: <bobrabcd@xxxxxxxxxxxxx>
Sent: Sunday, October 07, 2001 11:44 AM
Subject: RE: [RT] MKT - option sentiment/sp/nasdaq
> I curious.....what is that Exchange Composite Index and how is that
> calculated ?
> Looks pretty "noisy" !
>
> > -----Original Message-----
> > From: BobR [mailto:bobrabcd@xxxxxxxxxxxxx]
> > Sent: Saturday, October 06, 2001 8:05 AM
> > To: realtraders@xxxxxxxxxxxxxxx
> > Subject: Re: [RT] MKT - option sentiment/sp/nasdaq
> >
> >
> > Like the Fed X commercial says, "right on, bullseye" save ten percent
with
> > ontime timing. The normalized option ratio peaked as the OEX peaked.
> > Speaking of timing, what happened to Arch Crawford's crash this week?
As
> > for Ben's 90%, that leaves 10% for it not to happen. Problem with
> > probability is it always has an escape clause.
> >
> > bobr
> >
> > ----- Original Message -----
> > From: "M. Simms" <prosys@xxxxxxxxxxxxxxxx>
> > To: <realtraders@xxxxxxxxxxxxxxx>
> > Sent: Friday, October 05, 2001 9:23 PM
> > Subject: RE: [RT] MKT - option sentiment/sp/nasdaq
> >
> >
> > > Hmmm.....the late afternoon rally crushed this ND prediction.....
> > > sure that was 90% ?
> > >
> > >
> > > > -----Original Message-----
> > > > From: profitok [mailto:profitok@xxxxxxxxxxxxx]
> > > > Sent: Friday, October 05, 2001 12:13 AM
> > > > To: realtraders@xxxxxxxxxxxxxxx
> > > > Subject: Re: [RT] MKT - option sentiment/sp/nasdaq
> > > >
> > > >
> > > > Hello
> > > > SP has hi odds of making a higher hi tomorrow and
> > > > NASDAQ,, has BETTER then 90% n chance of closing LOWER
> > > > nice long weekend
> > > > Ben
> > > > ----- Original Message -----
> > > > From: "BobR" <bobrabcd@xxxxxxxxxxxxx>
> > > > To: <realtraders@xxxxxxxxxxxxxxx>
> > > > Sent: Thursday, October 04, 2001 11:19 PM
> > > > Subject: [RT] MKT - option sentiment
> > > >
> > > >
> > > > > During the bear trend this Exchange Composite indicator has
> > > > made highs at
> > > > > 0.5+ as the OEX made coincident highs. Thursday's data resulted
in
> > > > another
> > > > > turning point indication. The indicator is simply the sum
> > of all the
> > > > $Calls
> > > > > divided by the sum of the $Calls and $Puts.
> > > > >
> > > > > bobr
> > > > > http://www.oextrader.com/sigma_trader
> > > > >
> > > > >
> > > > >
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> > > > >
> > > > >
> > > > >
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> > > >
> > >
> > >
> > >
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> > >
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> >
> >
> >
> >
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