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There has been some movement in the retail equity options buy-to-open (BTO) put-call (PC) ratios that may be of interest to some readers.

First, the weekly OCC smallest trader (1 to 10 contracts per transaction) equity options BTO PC ratio.  After stubbornly having a bias toward opening call positions over the past few months, this group has finally shown signs of heading to tall grass by increasing the opening of put positions into last weeks rally.  Although their preference for puts has not yet reached extremes associated with major price bottoms, this group does have a habit of increasing favoritism for puts into initial price thrusts from important price bottoms.

My guess, is any price weakness or consolidation over the next week or two will bring the bear side out of many of the smallest options traders.

The retail options players who trade 11 to 49 contracts per transaction are getting serious about setting the table for a big down move in equity prices. It has been many months since this group has reached this level of a bias toward opening positions in puts.

Strange.... the largest retail equity options traders (transactions over 50 contracts) are getting more bullish. The retail players with the deepest pockets are not following the trend of the smaller, not-as-well-funded options players: who will be right, the big money retail players?  Or will the traders laying smaller amount of capital on the table clean up by increasing their purchasing of puts?

Over the past couple of weeks, the CBOE daily equity options longer term PC ratio moving averages have reached the high end of their ranges and rolled over.  The CBOE equity PC ratio 60 day moving average (MA) matched the level of late July 2002 before rolling over last week.  It requires several weeks of high daily PC ratios to drive the 60 day MA to these levels.

The hunger for equity options calls over the past few months hasn't been limited to action at the CBOE, the all-exchange equity options PC ratio's longer term moving averages have also reached multi-year highs, as exhibited by the all-exchange equity PC ratio's 50 day MA, which reached the highest level of this daily OCC data's history. 

Although most of the investor trader/investor psychological measures have reached pessimistic extremes, there are a few that haven't, one being the liquidity premium (LP) indicator originally developed by Jason Goepfert.  This tool measures daily ETF volume against the underlying index component volume (detrended) where the idea is, during times of uncertainty, ETF volume becomes unusually large relative to its underlying component volume.

The LP indicator for the SPX-SPY series (and all others) have yet to threaten levels historically associated with the fear generated at price lows.  With the shorting uptick rule eliminated for individual stocks, perhaps traders are favoring shorting individual issues now?




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