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Put-Call Ratio Index using Market Makers Trades

by Patrick Fonce, 5157 days ago
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Put and Call volume data from options transactions are classified into three categories. This classification is based on the participant and it contains the following categories: Consumer, Firm and Market Maker.

Traditional Put/Call ratio calculation uses the volume of puts and calls from all these categories, while certain ratios uses only one category. This is the case for example with the ISE Sentiment Index or ISSE, a put/call ratio created by the International Securities Exchange that calculates the ratio using only data from the consumer category. It excludes options trades and transactions from firms and market makers. Historical end-of-day data for the ISEE Index is available here: ISEE Index - ISE Sentiment Index

The market composite I am uploading here, calculates a Put/Call ratio (another one) for the U.S. Stock Market using market makers trades. It therefore excludes firms and consumers transactions. The composite requires put and call volume data for each optionable U.S. stock. Use the following trading object to download put and call volume data for individual stocks and separately for each category described earlier: Individual Stocks Put and Call Volume. The data is added in a custom database and two fields (a put and a call field) are created for each category. Plus two other fields for total put volume and total call volume are also created. Note that this options volume data is available only for the last two years.

Here are some Put/Call indicators:
EOX Put-Call Ratio (PCR) is calculated based only on stocks that compose the S&P 100 Index.
Equity Put-Call Ratio is the ratio that is calculated by the Chicago Board of Options Exchange - CBOE.




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Type: Composite Index

Object ID: 654


Country:
United States

Market: Stock Market

Style:
Technical Analysis

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