CBOE equity-only put/call ratio of 0.75 or greater--from not4kid

有感于nullll提到最近的CBOE put/call ratio达到最近几年的新高，我想重帖我过去的文章：CBOE equity-only put/call ratio of 0.75 or greater.

这是去年5月17号的文章，当时的QQQQ收盘价是39.22，今日收盘价是42.99,回报率是9.6%(9个月）。注意：这几天的equity-only put/call ratio都超过了0.75。


CBOE equity-only put/call ratio of 0.75 or greater

来源: not4kids 于 06-05-17 17:25:20 [档案] [博客] [旧帖] [转至博客] [给我悄悄话]


The CBOE equity-only put/call ratio is 0.8 today (05/17/2006). There has been a study for this ratio from 10/01/1985 to 12/31/1998. There have only been 12 times that the daily equity-only put/call ratio has hit 0.75 or higher during this period. Excluding multiple signals from this indicator that occurred within one month of each other leaves you with only six major signals. The following shows results for the S&P and Nasdaq one year after these signals. These results are very impressive and have provided long-term investors excellent entry points. Very impressive returns, most notably in the Nasdaq!

12/03/87 20.3%(S&P) 23.2%(Nasdaq)
10/10/90 26.3%(S&P) 54.9%(Nasdaq)
01/08/91 33.2%(S&P) 65.1%(Nasdaq)
10/05/94 28.3%(S&P) 37.7%(Nasdaq)
07/15/96 45.1%(S&P) 40.6%(Nasdaq)
12/19/97 25.5%(S&P) 36.8%(Nasdaq)

In the past, this indicator was valuable for short term traders as well. Once it was triggered, the S&P has been within 2% of its ultimate low and the Nasdaq within 4% of its ultimate low (on a close basis) most of the time. However, this indicator is more reliable for long term investors than for short term traders. />