Short-term Bullish Implications from the CBOE Equity Put/Call Ratio

CBOE equity put/call ratio set to post a third consecutive lower close Monday, a short-term bullish indication. Historically, three consecutive days of a declining equity put/call ratio means the market is likely to remain on firm footing over the following three sessions. The last thirty separate instances in which the closing CBOE equity put/call ratio initially declined from the previous session three consecutive days are listed below…

CBOE Equity Put/Call Ratio Declines Three Days
04/26/10… S&P500 -0.4% three sessions later
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

In 25 out of the last 30 occurrences, or 83% of the time, the S&P500 settled higher three trading days later, significantly above the 54% random chance of a higher S&P three sessions later in the same time frame. This signal will go into effect on a closing equity put/call ratio below .63 (current ratio is .59). Follow this indicator on an intraday basis via this link on the CBOE website.

I’m also seeing numerous intermediate-term bullish signals set to trigger at today’s close. Details in tonight’s commentary.
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Categories : Archived Intraday Commentary, Intraday Commentary

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