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Hey list .. I'd like your input on a proposed new sentiment indicator.
Here at the ISE all of our orderflow is electronic .... retail,
institutional, professional ... it's all electronic. What we are thinking
about doing is taking periodic snapshots (maybe every 10 seconds) of our
completed orderflow. Orders to buy calls or sell puts would be considered
bullish and orders to buy puts and sell calls would be considered bearish.
The data may or may not be weighted by the size of the orders .. too early
to tell. Some folks have suggested weighting the data based on most active
issues as well.
In effect if in the 10 second window we completed 500 bullish orders and 400
bearish orders the indicator would be 1.25 .... again scale issues are yet
to be worked out. Zero numbers would a problem and we are working out some
thoughts on that. It has never occurred, but it is not impossible.
In effect this would create a pseudo tiki type indicator based on option
orders completed ....... tiki has some advantages because of market cap
issues.
I'd appreciate hearing your comments.
Alex Jacobson
Vice President Business Development
I S E
212 897 8125
212 425 4926 (FAX)
877 7209918 (SKYPAGE)
ajacobson@xxxxxxxxxxxxxx
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