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先上点资料：
yesterday there is enormous chatter coming out of the Chicago Board Options Exchange over a trader putting on a rather large $850k in premium for a July VIX call spread – which implies a rather “large” market swan dive over the coming 41-days. The trader bought 20,000 of the July 45 calls and sold the July 55 calls for a “net” 42.5 cents – this means the VIX must be at 45.42 before this trader earns even one cent on the trade. Some certainly seems to be sure that a larger decline is directly ahead – and very sharp one at that given the VIX is only trading at 30 at the present time. The last time the VIX was at 45 was the week of March 27th…when the S&P was in the low- 800’s.
弄点数据：
There have been 165 days when the S&P 500 closed down by -2% or more since 1997. Of those days, the put/call ratio rose 133 times, or 81% or the time. So obviously it's rare to see the ratio drop on a day the market suffers a large decline.
If we take that move in the ratio literally (which is a questionable idea), then it would suggest that traders were pretty complacent about the decline and saw no need to scramble for protection. That should be an ominous sign, but "should" doesn't always work.
Out of the 32 times that the S&P declined 2% or more on the day, and the put/call ratio also declined, then over the following week the S&P was positive 53% of the time with an average return of +1.2%. Not great, but not terrible either, about in line with random. During the current bear market, it has happened 8 times and the S&P was positive after a week 4 of those times.
But the put/call ratio didn't just decline, it also moved to a relatively extreme level, nearing the first red trading band on the chart that we post, which is 15% away from the six-month average.
So let's try to find any time that the S&P dropped 2% or more, and the put/call ratio not only declined, but also moved at least 10% away from its six-month average. That should surely be bearish for the market.
Well, not really. There were only four occurrences, but over the next week, the S&P rose more often than not, and by seven days later it was higher every time by an average of an impressive +3.4%. I certainly wouldn't use that as a buy signal, but it takes the bearish edge off of what "should" be a negative for the market. For those curious, the dates were 09/10/97, 01/24/00, 10/17/01 and 02/21/02.
Last week we touched on the fact that the market has had a bullish tint going into a "triple witch" expiration, when options, futures and futures on options expire late in the week. But that bullish tint was mostly reserved for markets in an uptrend.
If we look for any time the S&P futures declined 1% or more on the Monday of a triple witch week, then we get 13 instances. Buying Monday's close and holding through Friday's led to 11 winning trades out of the 13, with an average of +1.8%. There were some dicey moments during the week - the average drawdown (i.e. worst loss at any point during the week) - was -2.0%, but the average maximum reward was even higher at +3.7%.
最后，这么小的空，俺觉得应该会补啦。
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狗仔卡
发表于 2009-6-16 08:28 AM
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发表于 2009-6-16 08:28 AM
发表于 2009-6-16 08:29 AM
