SPY Put-Call Ratio Unchanged At 1.93 Heading Into Opex Week
Trader Moe | Dec 14, 2014 12:51AM ET
The S&P 500 put-call ratio closed today at 1.93. That’s exactly the same number as yesterday despite a 39% surge in both SPY put and call volume and a modest rise in open interest.
Usually a SPY put-call ratio this high would be very bullish going into opex Monday.
The average SPY put-call ratio by opex Friday is 1.50, but the number is usually much lower than that by the Friday of the December opex week.
The CBOE equities put-call ratio closed high today as well–at its top Bollinger Band.
Note: Steve Place (@stevenplace) put out his “buy-the-blood” signal today. That occurs when VIX gets greater than VXV (a sign of excessive fear). @WildcatTrader tweeted the return for the trade. @RyanDetrick noted that when the signal is going to work, the market bounces fast.
This signal occasionally goes off before the actual bottom (it went off on October 9, for example). It was still a money maker because after the subsequent dip the market was still a lot higher a month later, but this signal would not rule out a dip to ES 1955 (likely 1937.50).
It does make it highly unlikely that we’ll see a move below that area, and it suggests we’ll be starting a big move up after the low.
I recommend Ryan Detrick’s explanation of the logic behind the signal, as well as his charts.
Another useful feature of the signal is that if it fails, it would tend to be a signal of a change from a bull to bear market.
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