High Equity Put/Call Ratio Accompanies FOMC
By
Rennie on Thursday, December 17th, 2009 at 1:56 am
A day with a higher high, low and close isn’t the type of session that usually sees a spike in the CBOE equity put/call ratio. While Wednesday’s .68 closing reading isn’t exactly a huge spike from a historical perspective, it is the highest close of the last two weeks. Looking back at previous instances in which S&P futures hit a seven-day high and closed higher and the equity put/call ratio also closed at a seven-day high, we find a notable tendency for short-term weakness…
S&P Futures 7-Day High, Close Higher, Equity Put/Call Ratio 7-day High
12/16/09… ???
10/19/09… Lower S&P close one session later
07/24/09… Lower S&P close two sessions later
01/06/09… Lower S&P close one session later
01/05/09… Lower S&P close two sessions later
11/22/06… Lower S&P close one session later
10/24/06… Lower S&P close three sessions later
06/02/06… Lower S&P close one session later
06/01/06… Lower S&P close two sessions later
12/06/05… Lower S&P close one session later
06/16/05… No lower close within next three sessions
05/04/05… Lower S&P close one session later
12/22/04… Lower S&P close two sessions later
11/01/04… Lower S&P close one session later
09/21/04… Lower S&P close one session later
03/05/04… Lower S&P close one session later
02/17/04… Lower S&P close one session later
12/31/03… Lower S&P close one session later
04/29/03… Lower S&P close one session later
04/22/03… Lower S&P close three sessions later
01/23/01… Lower S&P close two sessions later
07/03/00… Lower S&P close one session later
11/12/99… No lower close within next three sessions
10/11/99… Lower S&P close one session later
03/11/99… Lower S&P close one session later
10/29/98… No lower close within next three sessions
05/13/98… Lower S&P close one session later
Since the beginning of our equity put/call database, we find 26 instances similar to Wednesday’s session (high equity put/call ratio and elevated market). In 23 cases, or nearly 90% of the time, S&P futures posted a subsequently lower close (below the setup day) within the next few sessions.
High Equity Put/Call Ratio Accompanies FOMC
By Rennie on Thursday, December 17th, 2009 at 1:56 amA day with a higher high, low and close isn’t the type of session that usually sees a spike in the CBOE equity put/call ratio. While Wednesday’s .68 closing reading isn’t exactly a huge spike from a historical perspective, it is the highest close of the last two weeks. Looking back at previous instances in which S&P futures hit a seven-day high and closed higher and the equity put/call ratio also closed at a seven-day high, we find a notable tendency for short-term weakness…
S&P Futures 7-Day High, Close Higher, Equity Put/Call Ratio 7-day High
12/16/09… ???
10/19/09… Lower S&P close one session later
07/24/09… Lower S&P close two sessions later
01/06/09… Lower S&P close one session later
01/05/09… Lower S&P close two sessions later
11/22/06… Lower S&P close one session later
10/24/06… Lower S&P close three sessions later
06/02/06… Lower S&P close one session later
06/01/06… Lower S&P close two sessions later
12/06/05… Lower S&P close one session later
06/16/05… No lower close within next three sessions
05/04/05… Lower S&P close one session later
12/22/04… Lower S&P close two sessions later
11/01/04… Lower S&P close one session later
09/21/04… Lower S&P close one session later
03/05/04… Lower S&P close one session later
02/17/04… Lower S&P close one session later
12/31/03… Lower S&P close one session later
04/29/03… Lower S&P close one session later
04/22/03… Lower S&P close three sessions later
01/23/01… Lower S&P close two sessions later
07/03/00… Lower S&P close one session later
11/12/99… No lower close within next three sessions
10/11/99… Lower S&P close one session later
03/11/99… Lower S&P close one session later
10/29/98… No lower close within next three sessions
05/13/98… Lower S&P close one session later
Since the beginning of our equity put/call database, we find 26 instances similar to Wednesday’s session (high equity put/call ratio and elevated market). In 23 cases, or nearly 90% of the time, S&P futures posted a subsequently lower close (below the setup day) within the next few sessions.