Saturday, February 06, 2010

A Look at the Intraday Put/Call Ratio for Friday

The median equity put/call ratio for options listed on the CBOE has been about .60 over the last several months (See this post for a perspective). Friday's volatile market finished with a high reading of .79, indicating significant bearish interest. This tends to be a contrary indicator.

But when we look *within* the day, we see even more interesting patterns of sentiment. Note how the put/call ratio for each half-hour during the day soared to over 1.0 when the market made its lows and then quickly moved back toward median levels on the ferocious rally in the afternoon.

Such high intraday levels of bearishness can also be useful sentiment indications.