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It wasn't at all material.
-----Original Message-----
From: Don Thompson [mailto:detomps@xxxxxxxxxxx]
Sent: Thursday, January 24, 2002 10:58 AM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] Option Sentiment Indicator
Alex,
The key issue is ... "it really very Rarely Changes"
you might know that, and other academics might know that, but
when it does change then that is saying something...
Don Thompson
----- Original Message -----
From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, January 24, 2002 10:52 AM
Subject: RE: [RT] Option Sentiment Indicator
> In our studies if we volume weight it .. it really very rarely changes.
> Having said that it still hasn't been decided.
>
> -----Original Message-----
> From: Don Thompson [mailto:detomps@xxxxxxxxxxx]
> Sent: Thursday, January 24, 2002 10:47 AM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: [RT] Option Sentiment Indicator
>
>
> 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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http://docs.yahoo.com/info/terms/
> >
> >
>
>
>
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