CBOE Equity Put/Call Ratio Set to Close at One-Week Low
By
Rennie on Monday, April 26th, 2010 at 3:48 pm
CBOE equity put/call ratio currently trading at .41 with 30 minutes to go in Monday’s session, setting up a likely third consecutive down day for this sentiment gauge. The last thirty separate occurrences in which the equity ratio declined three days in a row are listed below. Note that in 26 cases, or 87% of the time the S&P was higher three sessions later, significantly above the 54% random chance for a higher S&P three sessions later in the same time frame…
CBOE Equity Put/Call Ratio Declines Three Days
03/31/10… S&P500 +1.7% three sessions later
03/02/10… S&P500 +1.8% three sessions later
02/17/10… S&P500 +0.8% three sessions later
02/10/10… S&P500 +2.5% 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
Here’s a longer-term look at the equity curve for this pattern since the beginning of 2002. Prior to 2005 the market’s performance was fairly mixed in the three days following this setup, but since then there’s been a consistent upside edge, even during the 2008 selloff.
CBOE Equity Put/Call Ratio Set to Close at One-Week Low
By Rennie on Monday, April 26th, 2010 at 3:48 pmCBOE equity put/call ratio currently trading at .41 with 30 minutes to go in Monday’s session, setting up a likely third consecutive down day for this sentiment gauge. The last thirty separate occurrences in which the equity ratio declined three days in a row are listed below. Note that in 26 cases, or 87% of the time the S&P was higher three sessions later, significantly above the 54% random chance for a higher S&P three sessions later in the same time frame…
CBOE Equity Put/Call Ratio Declines Three Days
03/31/10… S&P500 +1.7% three sessions later
03/02/10… S&P500 +1.8% three sessions later
02/17/10… S&P500 +0.8% three sessions later
02/10/10… S&P500 +2.5% 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
Here’s a longer-term look at the equity curve for this pattern since the beginning of 2002. Prior to 2005 the market’s performance was fairly mixed in the three days following this setup, but since then there’s been a consistent upside edge, even during the 2008 selloff.