Intraday Update (Clues from the Options Crowd)

Not to harp too much on one indicator, but the CBOE equity put/call ratio is currently trading at .69 – any close over .61 will keep the 10-day moving average of this indicator in an uptrend that’s been in effect over the past week. That’s noteworthy given that the S&P is trying to post its second higher close Friday. If it succeeds, a two-day sell setup will be triggered. The last thirty times the S&P closed higher two consecutive sessions with a rising equity put/call ratio 10-day average are listed in the table below. Note that in 23 out of 30 cases, or 77% of the time, the S&P closed lower two sessions later, significantly above the 50% at-any-time odds for a lower S&P two days later.

CBOE Equity Put/Call 10d Avg Rising, S&P Closes Up Two
04/24/09… Lower S&P500 close two sessions later
04/02/09… No lower close two sessions later
02/12/09… Lower S&P500 close two sessions later
01/16/09… Lower S&P500 close two sessions later
09/12/08… Lower S&P500 close two sessions later
09/11/08… Lower S&P500 close two sessions later
09/08/08… Lower S&P500 close two sessions later
06/16/08… Lower S&P500 close two sessions later
06/13/08… Lower S&P500 close two sessions later
05/29/08… Lower S&P500 close two sessions later
04/07/08… Lower S&P500 close two sessions later
02/13/08… Lower S&P500 close two sessions later
02/12/08… Lower S&P500 close two sessions later
01/10/08… Lower S&P500 close two sessions later
12/24/07… Lower S&P500 close two sessions later
12/13/07… Lower S&P500 close two sessions later
10/23/07… Lower S&P500 close two sessions later
08/02/07… Lower S&P500 close two sessions later
05/30/07… No lower close two sessions later
05/04/07… No lower close two sessions later
05/03/07… No lower close two sessions later
05/02/07… No lower close two sessions later
03/12/07… Lower S&P500 close two sessions later
03/09/07… Lower S&P500 close two sessions later
02/14/07… No lower close two sessions later
01/31/07… No lower close two sessions later
12/05/06… Lower S&P500 close two sessions later
10/31/06… Lower S&P500 close two sessions later
10/26/06… Lower S&P500 close two sessions later
10/25/06… Lower S&P500 close two sessions later

Categories : Archived Intraday Commentary, Intraday Commentary

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