I’m working on an update to the CAT tool that will use the new RTD components instead of the old broken DDE ones. Stay tuned for more updates on it.
If you are a DDE user you’ve noticed that it’s broken after this latest Think Desktop update. I just got word from the developers that they are looking to release improved capability this coming weekend. Now, please remember that development estimates are just that: estimates. This weekend is the goal. Don’t burn down your local village if it doesn’t happen on time. ;)
What they have should be better than the old DDE in terms of what we could do with it. It’s not two-way interaction with ToS, so done get that excited. It’s faster and more improved data handling that should be much easier to work with and more powerful for data handling inside of Excel. I’ll update as I know more.
I got my hands on some Option Put/Call data from the Options Clearing Corporation. This data has 2013 YTD daily Put/Call ratios for equity and index options. I decided to compare it to the daily S&P 500 prices to see if I could find any useful info:
The data is pretty scattered. Looking in hindsight, you can see that some of the most extreme spikes in the P/C ratio corresponded to market bottoms, while low ratios occurred closer to tops. The relatively low P/C ratio currently would hint towards the current market price level being closer to a top to me.
I came up with a measure called the On Balance Put/Call Ratio (OBPC). My OBPC is kind of like an On Balance Volume. I used a value of 0.86 to denote a balance between puts and calls. A daily P/C number higher than that is basically bearish, and put volumes are high compared to calls. A P/C number under 0.86 is bullish, since the calls are getting a better share of volume compared to puts. I chose 0.86 because it was close to the average value for the year so far (see the black trendline in the chart above), and it made the swings on the OBPC chart stand out more than going higher or lower as a threshold. The OBPC was calculated by taking the difference between 0.86 and the daily P/C number, and then adding it to the prior day’s number (starting with 0 on Jan 2 of 2013). So if we have a day of 1.0 P/C, that will drop the OBPC down (0.86-1.0=-0.14). If we had a day of 0.6 P/C, that would raise the OBPC (0.86-0.6=0.26). So a rising OBPC is getting more call volumes relative to neutral, while a falling OBPC is getting more put volumes. This roughly correlates to up being bullish and down being bearish on the chart.
Here’s the results below. I’m not sure that there’s anything there. It seems like sometimes the crowd got it right (Feb-Mar), while the crowd should have been faded from Apr-Jul. The July rally was mistrusted, but now in this sideways August the bulls are roaring back.
Please post a comment if you have any thoughts!