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Due to personal obligations, I rarely have the opportunity to participate in the nightly chat, but with a lot of help from my friends, I see a sneak preview of the chat transcripts later in the evening.


In tonight's chat, the topic of the ISEE index arose.  The ISEE index was introduced in late summer of 2002, and measures the equity options call-put ratio of retail customer buy-to-open (BTO) volume activity on the ISE exchange.  The ISE then multiplies the BTO call-put ratio by 100 resulting in the ISEE index.


Fib correctly mentioned the ISEE data is only available since 2002 encompassing only the tail end of the bear market and the bull market action since then.  Below is the ISEE index chart since its inception.  From the limited available ISEE data, the index is currently in the neutral to mildly bullish zone.



The OCC publishes weekly data for retail customer BTO call and put volume for all six options exchanges.  The OCC data is available from January 2000, thus catching the 2000 top action.  The ISE exchange comprises about 34% of the total equity options volume, thus the following chart is a weekly superset of the ISEE index, but a reasonable proxy for the ISE exchange data.


Note the OCC ISEE weekly proxy posted readings in the 350 to 400 zone for both the weekly and 4 week MA OCC BTO call-put ratio in the first half of 2000.  Granted, the 2000 topping process was of the extraordinary flavor, but this indicator  is currently in the lower range of its neutral zone at 147 (weekly post).



The next chart is the CBOE only equity options call-put ratio from early 1997.  The CBOE data is comprised of all types of volume, i.e. BTO, closing position volume and sell-to-open volume.  The CBOE equity call-put ratio has been living in a rather tight range over the past five years.  Note the elevated range of the CBOE data from 1997 through the first half of 2000 compared to the levels posted over the past five years.



Based upon the chat room discussion this evening, the above charts may be useful for a historical perspective of equity option volume data.





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