Put-call sentiment indicator by Robert R. Prechter and David A. Allman
ARTICLE SYNOPSIS ...Put-call sentiment indicator
by Robert R. Prechter and David A. Allman
Put/call ratios based on volume and dollar value have been widely used by technicians (see ""Option
premiums,"" Stocks & Commodities, December 1989). A third approach has been substantially
overlooked. Since the Standard & Poor's 100-Stock Index (OEX) was introduced in March 1983 for the
purpose of trading options on a market index, we have kept a ratio of the open interest on OEX puts vs.
calls. We have found that a 10-day moving average of that ratio appears to be a substantive market
indicator. It produces less erratic ...