12
Mar
10

Put/Call Ratio, utilidad y problemas

Nuevamente, Adam Warner publica un post muy pedagógico, en este caso es sobre: los Put/Call Ratios como proxy -imperfecto- del “sentimiento” de los inversores.

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The put/call ratio is used to measure investor sentiment. The theory is that the more puts that trade, the more bearish the sentiment and, ergo, the more bullish from a contrarian standpoint.

The most popular put/call numbers are disseminated by the CBOE in an index-only version, an equity-only version, and a combination of the two.

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My first issue with put/call ratios is that they do not determine whether the initiator of the trade bought or sold the option in question.

Let’s say the initiator of the order sold a large quantity of puts. In a vacuum, that’s a complacent and bullish play. But in a simple put/call number, that just prints as puts. And the more puts that trade, the lower the put/call number gets. So, on a contrarian basis, that would give you a bullish signal even though the order itself would give you a bearish signal.

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