Questions on Overall market stats - VIX and Put/Call ratio: Where do you get these numbers and how were they calculated? Is the Put/Call ratio calculated from a sample of batches of transactions or is that the actual total for a whole day of trading or a cumulative total? And who has access to these figures? (November 28, 2000)
The VIX, or volatility index, is a measure of the range of trading on the S&P 100. It is a secondary indicator in that when volatility climbs, stocks tend to bottom and reverse. Thirty is a benchmark, but we have to note that the index shot over 40 early in the year during that selling. We get the VIX on eSignal intraday.
The put/call ratio we use is the CBOE put/call ratio calculated on all of the options traded on the CBOE. Again, we look for the put/call ratio to close over 1.0 as an indication that fear in the market has risen to such a level that a reversal is possible. This has proved to be historically accurate. This year we have seen the index approach 1.0, but, after a calculation error showed it over that level, it has not closed over 1.0. The VIX has shown us reversal-level readings, but no reversal. The put/call ratio has not shown us the fear level getting high enough. That is confirmed more or less by the bullish percent which remains at a very high 53% even in this tanking market. You can find the put/call ratio and lots of other option information at:
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