本帖最后由 闲云野鹤 于 2024-12-8 13:01 编辑
https://chartschool.stockcharts.com/table-of-contents/market-indicators/put-call-ratio#index_equity_or_total
Index, Equity, or Total
[backcolor=color(srgb 1 1 1)]When using the Cboe-based indicators, chartists must choose between equity, index or total option volume. In general, index options are associated with professional traders and equity options are associated with non-professional traders. Even though professionals use index options for hedging or directional bets, puts garner a significant portion of total volume for hedging purposes. The chart below shows the Cboe Index Put/Call Ratio ($CPCI) with the 200-day moving average. Notice that this ratio is consistently above 1 and the 200-day SMA is at 1.41, which indicates a bias towards puts. This bias is because index options (puts) are used to hedge against a market decline. [backcolor=color(srgb 1 1 1)]
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[backcolor=color(srgb 1 1 1)]In contrast, the Cboe Equity Put/Call Ratio ($CPCE) stays largely below 1, which indicates a clear bias toward call volume. Notice that the 200-day moving average is at 0.61, well below 1. Non-professional traders are more bullish-oriented, which keeps call volume relatively high. [backcolor=color(srgb 1 1 1)]
[backcolor=color(srgb 1 1 1)]The Cboe Total Put/Call Ratio ($CPC) combines equity and index options to create an oscillator that fluctuates above/below 1. The put bias in index options is offset by the call bias in equity options. The 200-day moving average is still below 1 (.91), which indicates a slight bias towards call volume over the last 200 days. However, the indicator does fluctuate above and below 1, which shows a shifting bias from put volume to call volume. [backcolor=color(srgb 1 1 1)]
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[backcolor=color(srgb 1 1 1)]If equity options reflect retail trader sentiment and index options reflect professional trader sentiment, then the combination reflects “market” sentiment. This means theTotal Put/Call Ratio can be used as a sentiment gauge for the broad market. This article will focus on the CBOE Total Put/Call Ratio. Not because it is necessarily better, but because it represents a good aggregate. Chartists should look at all three to compare the varying degrees of bullishness and bearishness.
Spike Extremes
[backcolor=color(srgb 1 1 1)]The Total Put/Call Ratio can be used to identify spike extremes that may foreshadow a market reversal. A spike extreme occurs when the indicator spikes above or below a certain threshold. The chart below shows the indicator with horizontal lines at 1.20 (green) and .70 (red). A spike above 1.20 reflects a surge in put volume relative to call volume, which could be interpreted as excessive bearishness. As a contrarian indicator, excessive bearishness is viewed as bullish. Too many traders are bearish. The green vertical lines show the spikes and the green arrows match with the S&P 500. Spikes above 1.20 identified tradable lows in late October and early February. Extremes in May and June resulted in shallow bounces or flat trading before the market continued lower. The indicator then spiked above 1.20 after the September low. [backcolor=color(srgb 1 1 1)]
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[backcolor=color(srgb 1 1 1)]Spikes below 0.70 reflect a surge in call volume relative to put volume. Calls are bought when participants expect the market to rise. Excessive call volume signals excessive bullishness that can foreshadow a bearish stock market reversal. The red vertical lines mark these spikes, while the red arrows depict the S&P 500 at the time. The October signal worked out well, the December signal was too early, and the April signal worked well. [backcolor=color(srgb 1 1 1)]
另一种灰色的图
CPCE MA有延迟。
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发表于 2024-12-8 12:21:04
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