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fib_1618

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Reply with quote  #1 
The ISEE put/call ratio index moved from a 69 reading on Thursday to a 43 reading on Friday which is the lowest level since the all time lows of 41 that were generated on June 20th, 2013.

Some interesting notes include:
  • The SPX was down some 41 points on 6/20/13 compared to Thursday's 39 point decline.
  • The NYSE breadth ratio on 6/20/13 was also overwhelmingly negative with a 170/2976 plurality compared to Thursday's 309/2888 ratio.
  • The price decline of 6/20/13, and this past Thursday's decline, both broke below their rising 50 day exponential moving averages.
  • The 6/20/13 decline came when Ben Bernanke made first mention that the FED may start to taper their bond buying later in the year. Thursday's decline came a day after the most recent FED's policy statement which continued to suggest that their tapering program will be complete by October of this year.
  • The Volatility Index (VIX) was up some 23% on 6/20/2013 while Thursday saw a one day gain of 27%.
  • Both periods had the CNN Fear and Greed Index in "Extreme Territory" with Friday's reading of 5% at its lowest levels since the price lows of October 2011.
Two days after the 6/20/13 ISEE low the SPX bottomed (with a negative breadth plurality of 418/2705) and had rallied some 431 points on an intraday basis, or just shy of 28%, before Thursday's and Friday's pull back.

We'll see how it goes this time around.

Fib

[isee080114]

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"As for it being different this time, it is different every time. The question is in what way, and to what extent" - Tom McClellan

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doc

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Reply with quote  #2 
Hello Fib,

Thanks for bring this important comparison to our attention. Given the points you have mentioned regarding the ISEE, how would you reconcile it with the various MCO breaking the Feb lows of this year and the message it sends that it might take at least a couple of weeks if not a month to find a base to rally out of vs. the more immediate V shaped bottom the extreme fear indicators might suggest. 

Are there any clues that might suggest to the trader how quickly a bottom and bounce might form?

Much thanks and have a great weekend.

Doc
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mortiz

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Reply with quote  #3 

Dave,

Nice job setting up the lay of the land for a comparison of the last time the ISEE index dropped into the low 40s, a significant extreme for the series. A couple months ago, Darris (TW member) and I came up an idea to scrape the daily put-call data for the constituents of OEX (100 stocks) and SPX (500 stocks) from the OCC.  The OCC daily data does not include buy-to-open (BTO) put and call data, but does break down the put and call volume (BTO, STO, and closing position volume) for retail, market maker, and firm transactions. The chart below is the retail only put-call ratio for all of the SPX components.  The OCC only maintains a two year data base for all of its statistics, thus the chart only goes back 2+ years.  However, one can still access data for stocks that have gone private, so we were able to include stocks like DELL, HNZ and other former SPX components that have since not traded publicly to maintain accuracy.

Note the the Friday August 1, 2014 SPX constituent PC ratio spiked to 1.23, by far the highest PC ratio in this limited series' history. There were three SPX components, CMG, PCLN, and REGN that had unusually high put volume Friday. Thus, the ISEE was the only options indicator reaching extremes Friday.

SPX Constituent Retail PC Ratio Daily 8-1-2014.PNG    

The SPX constituent PC ratio extreme does not guarantee an important bottom, but does suggest the retail options traders are jumping on the bear side of the boat.

Randy
 

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hiker

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Reply with quote  #4 
thanks Dave and Randy for the thread and good info.

since this is timely & related to your topic, the chart below displays:

1. selected major indices vs. their 65-day sma along with

2.  the VIX daily chart marked up with horizontals I have selected from the very long-term VIX history

* John Murphy has found the VIX advances above the 20 level are noteworthy for confirming equity corrections which are likely to have staying power for a period of time

VIX has not yet reached the 20 level

cheers to you all for continuing the work here!


Attached Images
Name: VIX_daily_-_August_1,_2014.png, Views: 115, Size: 271.14 KB



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mojave

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Reply with quote  #5 
Rather than start a new ISEE thread I thought I'd append this here. 

ISEE equity-only call/put registered back-to-back days below 100 - a relatively rare occurrance.  

See http://jlfmi.tumblr.com/post/105285416670/stock-options-traders-head-for-the-hills-weve
(he missed this yr's Oct 13-14 hit, 80 & 78 respectively).


ISEE data here: https://www.ise.com/market-data/isee-index/
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fib_1618

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Reply with quote  #6 
Adding to that, the total ISEE numbers have been below 80 since December 4th.

In fact, the 5 day SMA moved to a reading of 67 on Monday, the 8 day to 73...both an all time low.

Here's the latest total chart as of Monday.

Thanks for the cross post!

Fib

[isee121514] 


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"As for it being different this time, it is different every time. The question is in what way, and to what extent" - Tom McClellan

"An economist is someone who sees something happen, and then wonders if it would work in theory" - Ronald Reagan

"What we see depends mainly on what we look for" - John Lubbock

"The eye sees only what the mind is ready to comprehend" - Henri Bergson

“Answers are easy; it’s asking the right questions which is hard” - Dr. Who - 1977

"You know the very powerful and the very stupid have one thing in common - they don't alter their views to fit the facts, they alter the facts to fit their views (which can be uncomfortable if you happen to be one of the facts that needs altering)" - Dr. Who - 1977

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