SPY Put-Call Ratio Falls Slightly

The SPY Put-Call Ratio Fell Slightly Heading into Triple Witching Thursday

The SPY Put-Call Ratio Fell Slightly Heading into Triple Witching Thursday

The SPY put-call ratio fell from 1.75 to 1.72 today on another good-sized rise in open interest.

SPY put volume rose by 13%. SPY call volume rose by 15%.

The SPY put-call ratio tends to fall to its bottom Bollinger Band on Thursdays of triple witching weeks, and the move tends to occur in the context of a price rally. Then the ratio tends to rise to close to its 20 dma on Friday.

The strongest price rallies tend to occur when the ratio has a longer way to go to its bottom Bollinger Band.  Nevertheless, tomorrow is likely to be a good day to buy the dip for a day.

SPY Put-Call Ratio Crashes Lower Bollinger Band

The SPY Put-Call Ratio Dropped to 1.19 on Friday, Crashing its Lower Bollinger Band

The SPY Put-Call Ratio Dropped to 1.19 on Friday, Crashing its Lower Bollinger Band

The SPY put-call ratio closed at 1.19 on Friday, crashing its lower Bollinger Band.

The collapse in the ratio happened on a good-sized jump in open interest, meaning both bears and bulls continued to pile on.  No one’s backing down yet.

SPY put volume dropped by 22%. SPY call volume dropped slightly.

The SPY put-call ratio almost always breaks its lower Bollinger Band on Thursday of opex weeks in triple witching months, but not often on Friday of a non-triple-witching opex, especially at the top of a big move up.

This is bearish, but not necessarily for Monday.  The last time the SPY put-call ratio tagged its lower Bollinger Band on Friday of an opex week was on February 20 of this year.  The market continued moving up for three days, then started the correction into the March 11 low.

CPC Through Upper Bollinger Band

The CPC had a Big Break Through its Upper Bollinger Band Today

The CPC had a Big Break Through its Upper Bollinger Band Today

The CPC (CBOE Total Put-Call Ratio) had a big break through its upper Bollinger Band today.

I haven’t run a proper backtest on this, but I think of it as a signal that you’re about to see a smallish rally before a decisively lower low.  That’s only when you get a big break through the upper band–not a tag of the upper band.

Recent examples in 2014 include:  August 1, August 28, October 1, and October 13.  A recent example in 2015 was March 6.

The SPY put-call ratio reached 2.39 today, pushing up its upper Bollinger Band.

 

VIX Bottoming Pattern

VIX Has Put in One of Its Typical Bottoming Patterns

VIX Has Put in One of Its Typical Bottoming Patterns

VIX has put in one of its classic bottoming patterns–a kind of declining triangle that ends with a pierce of its bottom Bollinger Band.

This pattern or something very similar has completed on December 5, 2014, July 3, 2014, August 5, 2013, Feb. 10, 2011, and April 12, 2010.

VIX also pierced its bottom Bollinger Band on July 1, 2011, then hung around in a tight range near the lower band until the move down into the 2011 crash.