Friday, January 14, 2011

Call Buying Update

Not that it matters, but:

We have CBOE equity put/call data going back to 2003 - a total of 1,824 observations. Today's ratio was 0.38, which is one of the eight lowest in our sample. That is a 1 in 225 level of call buying enthusiasm.

Here are the occurrences:

Date Ratio
04/14/10 0.32
01/16/04 0.35
12/30/03 0.37
01/24/06 0.37
04/15/10 0.37
12/26/03 0.38
12/29/03 0.38

Two of those (in April 2010) are associated with a subsequent crash. Then there are a cluster at the end of 2003. The market subsequently fell until August 2004. The other observation is at the beginning of 2006, which resulted in a flat market nine months later.


Jason said...

Good info. Its getting stupid out there. I'm sure you've seen the new CityCenter PIK notes. Trading 103.125 - 103.50 already. Probably whydibuy throwing his weight around.

CP said...

Yes. I was actually just talking to one of the non-deranged blog commenters about those.

I'm holding out for the USG Corp PIKs that are convertible (at the issuer's option) into shares of Coinstar.