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Clyde,
That would be a pure put/call which I'm convinced has too much noise.
The OEX pit at the CBOE has a RAES indicator showing the floor the sentiment
of the RAES orders in the system based on buy call and sell put vs.. buy put
and sell call. The big difference here would be the inclusion of all
orders. In the world today on traditional trading FLOOR the amount of pure
electronically filled autopilot orders has actually declined.-
-----Original Message-----
From: Clyde Lee [mailto:clydelee@xxxxxxxxxx]
Sent: Thursday, January 24, 2002 10:46 AM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] Option Sentiment Indicator
Alex,
Why not just report the TOTAL volume of put orders and TOTAL volume of
call orders and the NUMBER of put orders and NUMBER of call orders and
let us figure out how we want to do our indicators.
The above is what I watch (don't have the facility to get the figures yet)
and find interesting.
Clyde
- - - - - - - - - - - - - - - - - - - - - - - - - - - -
Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: clydelee@xxxxxxxxxxxx
<mailto:clydelee@xxxxxxxxxxxx>
7910 Westglen, Suite 105 Office: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
Details at: www.theswingmachine.com
<http://www.theswingmachine.com>
- - - - - - - - - - - - - - - - - - - - - - - - - - - -
----- Original Message -----
From: Jacobson, Alex <mailto:AJacobson@xxxxxxxxxxxxxx>
To: 'realtraders@xxxxxxxxxxxxxxx' <mailto:'realtraders@xxxxxxxxxxxxxxx'>
Sent: Thursday, January 24, 2002 9:32 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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