Equity Put/Call Ratio 5-day Low Despite First Lower SPX Low in a Week
By
Rennie on Tuesday, October 26th, 2010 at 3:11 pm
Mixed signals on a short-term basis. Positively, the CBOE equity put/call ratio (currently .57) is set to post a third consecutive lower close Tuesday, a pattern that has recently led to a higher S&P three sessions later 80% of the time (see this October 12th column when the signal was last triggered).
On the negative side, Monday’s unfilled upside gap was filled at today’s open. When an upside gap is filled the very next session, it usually leads to another lower close within the next four sessions. The last thirty occurrences are listed below…
S&P Futures Fill an Upside Gap One Session Later
10/26/10… ???
10/14/10… Lower S&P close three sessions later
09/07/10… No lower close within four sessions
04/30/10… Lower S&P close two sessions later
04/21/10… Lower S&P close four sessions later
12/15/09… Lower S&P close two sessions later
01/29/09… Lower S&P close one session later
11/05/08… Lower S&P close one session later
09/22/08… Lower S&P close one session later
09/09/08… Lower S&P close four sessions later
08/29/08… Lower S&P close one session later
08/25/08… No lower close within four sessions
09/20/07… Lower S&P close two sessions later
07/05/07… Lower S&P close three sessions later
08/03/06… Lower S&P close one session later
06/20/05… Lower S&P close three sessions later
10/05/04… Lower S&P close two sessions later
03/18/04… Lower S&P close one session later
07/15/03… Lower S&P close one session later
10/18/02… Lower S&P close four sessions later
10/12/01… Lower S&P close one session later
04/06/01… No lower close within four sessions
11/28/00… Lower S&P close one session later
03/06/00… Lower S&P close one session later
02/09/00… Lower S&P close two sessions later
01/18/00… Lower S&P close two sessions later
01/11/00… Lower S&P close one session later
10/25/99… Lower S&P close one session later
09/28/99… Lower S&P close one session later
11/30/98… Lower S&P close three sessions later
10/13/98… No lower close within four sessions
This suggests we could see a bit more weakness short-term followed by another rally attempt heading into Friday’s close. On any further strength we’ll want to continue to watch for clues as to whether we’re putting in a price top following the 10/13 momentum top.
Equity Put/Call Ratio 5-day Low Despite First Lower SPX Low in a Week
By Rennie on Tuesday, October 26th, 2010 at 3:11 pmMixed signals on a short-term basis. Positively, the CBOE equity put/call ratio (currently .57) is set to post a third consecutive lower close Tuesday, a pattern that has recently led to a higher S&P three sessions later 80% of the time (see this October 12th column when the signal was last triggered).
On the negative side, Monday’s unfilled upside gap was filled at today’s open. When an upside gap is filled the very next session, it usually leads to another lower close within the next four sessions. The last thirty occurrences are listed below…
S&P Futures Fill an Upside Gap One Session Later
10/26/10… ???
10/14/10… Lower S&P close three sessions later
09/07/10… No lower close within four sessions
04/30/10… Lower S&P close two sessions later
04/21/10… Lower S&P close four sessions later
12/15/09… Lower S&P close two sessions later
01/29/09… Lower S&P close one session later
11/05/08… Lower S&P close one session later
09/22/08… Lower S&P close one session later
09/09/08… Lower S&P close four sessions later
08/29/08… Lower S&P close one session later
08/25/08… No lower close within four sessions
09/20/07… Lower S&P close two sessions later
07/05/07… Lower S&P close three sessions later
08/03/06… Lower S&P close one session later
06/20/05… Lower S&P close three sessions later
10/05/04… Lower S&P close two sessions later
03/18/04… Lower S&P close one session later
07/15/03… Lower S&P close one session later
10/18/02… Lower S&P close four sessions later
10/12/01… Lower S&P close one session later
04/06/01… No lower close within four sessions
11/28/00… Lower S&P close one session later
03/06/00… Lower S&P close one session later
02/09/00… Lower S&P close two sessions later
01/18/00… Lower S&P close two sessions later
01/11/00… Lower S&P close one session later
10/25/99… Lower S&P close one session later
09/28/99… Lower S&P close one session later
11/30/98… Lower S&P close three sessions later
10/13/98… No lower close within four sessions
This suggests we could see a bit more weakness short-term followed by another rally attempt heading into Friday’s close. On any further strength we’ll want to continue to watch for clues as to whether we’re putting in a price top following the 10/13 momentum top.