CBOE Equity Put/Call Ratio Tops .90 Second Time in Three Days
By
Rennie on Sunday, June 12th, 2011 at 6:55 pm
The CBOE equity put/call ratio surged to a high 1.02 at Friday’s close, the second reading over .90 in just the last three days. In recent years, unusually high equity put/call ratios have been a poor indicator of a short-term bottom. It hasn’t always the case, but since mid-2007 a reading this high has been a good indication that a bit more downside lies in store. In the table below I’ve listed each of the 32 instances since mid-2007 in which the equity put/call ratio closed at .90 or higher after closing below .90 the previous session. Note that in all but two cases, the S&P proceeded to post a subsequently lower close (below the setup day’s close) within the next five sessions…
CBOE Equity Put/Call Ratio Closes >= .90
06/10/11… ???
06/08/11… Lower S&P close two sessions later
05/20/10… Lower S&P close four sessions later
03/05/09… Lower S&P close two sessions later
02/19/09… Lower S&P close one session later
02/17/09… Lower S&P close one session later
01/12/09… Lower S&P close two sessions later
01/07/09… Lower S&P close two sessions later
12/12/08… Lower S&P close one session later
11/18/08… Lower S&P close one session later
11/10/08… Lower S&P close one session later
11/06/08… Lower S&P close three sessions later
10/23/08… Lower S&P close one session later
10/15/08… Lower S&P close five sessions later
10/09/08… Lower S&P close one session later
10/06/08… Lower S&P close one session later
09/15/08… Lower S&P close two sessions later
09/09/08… Lower S&P close four sessions later
07/10/08… Lower S&P close one session later
06/20/08… Lower S&P close two sessions later
04/15/08… No lower S&P close within five sessions
04/08/08… Lower S&P close one session later
03/19/08… No lower S&P close within five sessions
03/14/08… Lower S&P close one session later
03/06/08… Lower S&P close one session later
03/04/08… Lower S&P close two sessions later
02/28/08… Lower S&P close one session later
02/05/08… Lower S&P close one session later
01/17/08… Lower S&P close one session later
01/15/08… Lower S&P close one session later
01/08/08… Lower S&P close five sessions later
11/16/07… Lower S&P close one session later
08/14/07… Lower S&P close one session later
CBOE Equity Put/Call Ratio Tops .90 Second Time in Three Days
By Rennie on Sunday, June 12th, 2011 at 6:55 pmThe CBOE equity put/call ratio surged to a high 1.02 at Friday’s close, the second reading over .90 in just the last three days. In recent years, unusually high equity put/call ratios have been a poor indicator of a short-term bottom. It hasn’t always the case, but since mid-2007 a reading this high has been a good indication that a bit more downside lies in store. In the table below I’ve listed each of the 32 instances since mid-2007 in which the equity put/call ratio closed at .90 or higher after closing below .90 the previous session. Note that in all but two cases, the S&P proceeded to post a subsequently lower close (below the setup day’s close) within the next five sessions…
CBOE Equity Put/Call Ratio Closes >= .90
06/10/11… ???
06/08/11… Lower S&P close two sessions later
05/20/10… Lower S&P close four sessions later
03/05/09… Lower S&P close two sessions later
02/19/09… Lower S&P close one session later
02/17/09… Lower S&P close one session later
01/12/09… Lower S&P close two sessions later
01/07/09… Lower S&P close two sessions later
12/12/08… Lower S&P close one session later
11/18/08… Lower S&P close one session later
11/10/08… Lower S&P close one session later
11/06/08… Lower S&P close three sessions later
10/23/08… Lower S&P close one session later
10/15/08… Lower S&P close five sessions later
10/09/08… Lower S&P close one session later
10/06/08… Lower S&P close one session later
09/15/08… Lower S&P close two sessions later
09/09/08… Lower S&P close four sessions later
07/10/08… Lower S&P close one session later
06/20/08… Lower S&P close two sessions later
04/15/08… No lower S&P close within five sessions
04/08/08… Lower S&P close one session later
03/19/08… No lower S&P close within five sessions
03/14/08… Lower S&P close one session later
03/06/08… Lower S&P close one session later
03/04/08… Lower S&P close two sessions later
02/28/08… Lower S&P close one session later
02/05/08… Lower S&P close one session later
01/17/08… Lower S&P close one session later
01/15/08… Lower S&P close one session later
01/08/08… Lower S&P close five sessions later
11/16/07… Lower S&P close one session later
08/14/07… Lower S&P close one session later