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Solve the zero problem by normalizing the data, i.e. P/(P+C) or C/(C+P). I
prefer the latter since your head doesn't have to interpret bullish or
bearish. Also this ratio works with wide ranges of data and would compare
over years of historical data.
bobr
----- Original Message -----
From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, January 24, 2002 7:32 AM
Subject: [RT] Option Sentiment Indicator
> 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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>
>
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