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Alex
I have lost $500000 between 1973 and 1987 in the option game,,
and FINALLY figured out how to decide at what spice an index or stock
will close on expiration day
it is very simple at that is what you want reported hourly
the open interest for example for the qqq Feb. 38 put compare to the
open interest of the 38 call
the same for 39 and 40
and same for 37 36 and 35
(a total of 5 above current price and 5 under current price)
what you will see is that when put open interest is 5 times and above of
the call open interest that price CAN be broken intra day but not on a
closing bases,,
a 7 put to 1 call ratio would be VERY unlikely to have penetrated
intra day
and 10 and above I would bet my home on it to not be traded under,,
this would be very useful as one would know the MAJOR support and
resistance and sell calls when we get close to resistance or buy puts
any questions?
nice day
Ben
----- 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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>
>
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