Cobra: a question on calculating CBOE PUT/CALL ratio

bucks · 发表于 2009-9-3 07:21 AM

hi, Cobra,

I am wondering why the calculated CBOE put/call ratios based on intraday data are different from the final value reported by CBOE. Please see below for the calculation on 09/02/2009. Is there something else I need to pay attention or is just normal because of data availability?

thanks a lot.

Cobra · 发表于 2009-9-3 07:29 AM

AH15分钟还有交易，最后的结果要算上的。

bucks · 发表于 2009-9-3 07:32 AM

so we could only get some estimates, but NO way to figure out the final value in advance

Cobra · 发表于 2009-9-3 07:48 AM

so we could only get some estimates, but NO way to figure out the final value in advance
bucks 发表于 2009-9-3 08:32

No way。

ByStander · 发表于 2009-9-3 08:15 AM

另外你的DAILY SUM可能不对.我想CBOE给出的是累计数.3:00PM的数就是到3:00PM为止的总数.

bucks · 发表于 2009-9-3 08:45 AM

5# ByStander

you r right. thanks for pointing it out

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[讨论] Cobra: a question on calculating CBOE PUT/CALL ratio