Feb
11

Drop in Equity Put/Call Ratio Points to Higher Prices Post-Holiday

By on Thursday, February 11th, 2010 at 1:12 am

As noted in today’s twitter updates (follow @MarketTells) the CBOE equity put/call ratio closed well below Tuesday’s level, triggering a short-term buy setup. The last thirty separate instances in which the equity put/call ratio initially declined from the previous session three consecutive days are listed below. Note that in 25 cases, or 83% of the time the S&P was higher three sessions later, significantly above the 54% random chance of a higher S&P three sessions later in the same time frame…

CBOE Equity Put/Call Ratio Declines Three Days
02/10/10… S&P500 ??? three sessions later
01/08/10… S&P500 +0.1% three sessions later
11/04/09… S&P500 +4.5% three sessions later
08/20/09… S&P500 +2.1% three sessions later
08/05/09… S&P500 +0.4% three sessions later
07/13/09… S&P500 +4.4% three sessions later
04/13/09… S&P500 +0.8% three sessions later
03/10/09… S&P500 +5.1% three sessions later
01/23/09… S&P500 +5.1% three sessions later
12/23/08… S&P500 +0.7% three sessions later
12/17/08… S&P500 -3.6% three sessions later
10/29/08… S&P500 +3.9% three sessions later
08/22/08… S&P500 -0.8% three sessions later
07/18/08… S&P500 +1.7% three sessions later
04/02/08… S&P500 +0.4% three sessions later
03/13/08… S&P500 +1.2% three sessions later
12/28/07… S&P500 -2.1% three sessions later
09/21/07… S&P500 -0.0% three sessions later
08/31/07… S&P500 +0.3% three sessions later
08/17/07… S&P500 +1.3% three sessions later
07/09/07… S&P500 +1.0% three sessions later
06/28/07… S&P500 +1.3% three sessions later
06/14/07… S&P500 +0.7% three sessions later
04/02/07… S&P500 +1.4% three sessions later
02/15/07… S&P500 +0.1% three sessions later
01/11/07… S&P500 +0.5% three sessions later
11/15/06… S&P500 +0.3% three sessions later
10/23/06… S&P500 +0.9% three sessions later
10/12/06… S&P500 +0.1% three sessions later
04/19/06… S&P500 -0.1% three sessions later
02/09/06… S&P500 +0.9% three sessions later

I would still expect Tuesday’s high at SPH 1077 to remain potential resistance Thursday given the high TICK reading associated with that level, but beyond that it appears short-term weakness should be treated as a buying opportunity heading into next Tuesday’s close (markets are closed Monday for the Presidents Day holiday).

While I don’t give this a lot of weight, it’s interesting that the session before Presidents Day (this Friday) has been a consistently weak session in recent years. Since 1990, the S&P has gained more than 0.5% on the day before Presidents Day only twice out of twenty occurrences, and closed lower 21 out of the last 30 years (70%). That’s a significant edge over random, noteworthy considering the generally positive implications for stocks prior to most holidays…

The Session before Presidents Day
02/12/10 S&P500 ???
02/13/09 S&P500 -1.0%
02/15/08 S&P500 +0.1%
02/16/07 S&P500 -0.1%
02/17/06 S&P500 -0.2%
02/18/05 S&P500 +0.1%
02/13/04 S&P500 -0.5%
02/14/03 S&P500 +2.1% (*)
02/15/02 S&P500 -1.1%
02/16/01 S&P500 -1.9%
02/18/00 S&P500 -3.0%
02/12/99 S&P500 -1.9%
02/13/98 S&P500 -0.4%
02/14/97 S&P500 -0.4%
02/16/96 S&P500 -0.5%
02/17/95 S&P500 -0.7%
02/18/94 S&P500 -0.6%
02/12/93 S&P500 -0.7%
02/14/92 S&P500 -0.3%
02/15/91 S&P500 +1.3% (*)
02/16/90 S&P500 -0.7%
02/17/89 S&P500 +0.7% (*)
02/12/88 S&P500 +0.7% (*)
02/13/87 S&P500 +1.5% (*)
02/14/86 S&P500 +1.1% (*)
02/15/85 S&P500 -0.4%
02/17/84 S&P500 -0.3%
02/18/83 S&P500 +0.4%
02/12/82 S&P500 -0.0%
02/13/81 S&P500 -0.4%
02/15/80 S&P500 -1.1%

Copyright Notice

Copyright 2012 Astrikos LLC. This publication is for the benefit of subscribers only and is not to be summarized, reproduced, or rebroadcast in any fashion without our written permission.

Market Tells is on Twitter!


Disclaimer

Comments, data and trading signals herein are for informational purposes only and are not recommendations to buy or sell. All information presented is believed to be accurate but is not guaranteed.