Monday, September 21, 2009

Last Week's Equity Put/Call Ratios Suggest A Pullback

The CBOE Equity put/call ratio was consistently low last week. The 5-day average is 0.53, which is nearly 22% below the 200-day average of 0.68. When the 5-day average gets extremely low as it is now that can lead to a short-term market pullback. Below is a study that exemplifies this.

Most notable and also most compelling about this study is the fact that all instances have occurred after the March bottom. Prior to that the 5-day ratio had never stretched 20% below the 200-day. This is another example of just how extreme the current bull move has become. It also makes the results that much more impressive from a negative standpoint since they were achieved during a 60% run-up in the market.


Quant said...

Thanks for this and other studies. What is the source for historical P/C ratios?

Rob Hanna said...

You can download all the data for free from the CBOE website.

adan said...

great info, found your site via a link from trader's narrative -

thanks again