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Dan,
In the 8/98 - 10/98 period, on the dates of the 5 extreme
Put/Call numbers, we saw a close of 1081 on the SPX (8/21/98)
and the eventual bottom came on 10/8/98 at 923, a 14.6%
decline.
In the 9/17/01 - 9/21/01 period, we had SPX close at 1038
on 9/17, with the bottom at 944 on 9/21, a decline of 9.1%
I still want to look at this in term of market valuations.
Jeff
Dan Harels wrote:
>Jeff,
>
>In percentage terms, what kind of adverse excursions occurred between
>put/call readings of 1.15 and the low of a "major bottom". In other words,
>how much further did prices decline on average and in the worst case after
>put/call readings exceeded 1.15.
>
>I ask because I presume you have the data handy and my curiousity is
>subordinate to my laziness.
>
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