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Alex,
If you don't consider volume in the index. Don't even bother publishing the
index. You will just be misleading
alot of individuals. That might be ISE's intent, I don't know. I would just
as soon see ISE not publish it if they can't
be honest enough to publish the index with volume.
Best Regards,
Don Thompson
----- Original Message -----
From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, January 24, 2002 10:32 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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