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The International Securities Exchange (ISE), which is an fully electronic options market based in the United States, releases a put/call ratio (ISEE Index) that uses a different calculation methodology (to be more precise, it doesn't use all the call and put volume) than the put/call ratios calculated by many other exchanges (For example the Chicago Board Options Exchange - CBOE).
Usually the put/call ratio is calculated by taking the total volume of traded option puts and dividing that number by the total volume of traded option calls. The problem with this method of calculation is that it does not take account of whether the call options or put options were bought or sold. We have no way to know whether an increase in the call volume is due to more traders buying or selling these option calls, and therefore we cannot conclude that this increase is bullish for the market (It could be bearish).
The ISE releases the ISE Sentiment Index (ISEE Index), which is basically a put/call ratio that only takes into account opening long customer transactions. The index only uses the put options volume and call options volume that were bought, and ignore those that were short sold. Therefore, the ISE Sentiment Index represents the market sentiment better than the other traditional put/call ratios.
The ISE Sentiment Index is calculated for all securities, equities only and indices & ETFs only.
The current item, which downloads historical data for the three ISE Sentiment indexes, creates the following ticker symbols: ^ISEE_ALL, ^ISEE_EQUITIES, ^ISEE_INDICES_ETFS.
The data starts in April 2002 for the first ISEE index (All securities). It starts in January 2006 for the other ISEE indices (Equities only and Indices & ETFs only)
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
