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.

SPY Put-Call Ratio Doesn’t Budge on Melt-Up

The SPY Put-Call Ratio Didn't Budge on the Post-FOMC Melt-Up

The SPY Put-Call Ratio Didn’t Budge on the Post-FOMC Melt-Up

The SPY put-call ratio ended the day at 1.72, basically unchanged from Tuesday.

SPY put volume rose by 103% on a moderate rise in open interest. SPY call volume rose by 104%.

By the close of Thursday in triple witching weeks, the ratio would usually be at or through its bottom Bollinger Band, and it tends to get there in the context of a rally.

ES Inverse H&S Targets Squeaker New High

Inverse Head and Shoulders (Red Neckline)

Inverse Head and Shoulders (Red Neckline) Targets Squeaker New High

So now there’s an inverse head and shoulders on the ES chart that targets a squeaker new high.

We’ve probably settled into a Fed vigil here. A triangle would be nice.

Once again, by Thursday close the SPY put-call ratio would usually be at or through its bottom Bollinger Band, and it would usually get there in the context of a continuing rally.

SPY Put-Call Ratio Still High on Surge in Volume

The SPY Put-Call Ratio Remains High at Over 2.22

The SPY Put-Call Ratio Remains High at Over 2.22 Heading Into Opex Monday

The SPY put-call ratio remains high at 2.22 and well over its 20 dma.  That would usually be bullish for the price heading into opex and triple-witching Monday.

SPY put volume rose by 44% on Friday on a modest rise in open interest. SPY call volume rose by 61%.

By Thursday of triple witching weeks the SPY put-call ratio would usually be at or through its bottom Bollinger Band.  This would usually happen in the context of a rally.

SPY Put-Call Ratio Soars Again

The SPY Put-Call Ratio Rose to 2.48 Today

The SPY Put-Call Ratio Rose to 2.48 Today

The SPY put-call ratio rose to 2.48 today as we head into the Friday before options expiration week and triple witching.

It’s still a little too early to say we’ll see the kind of immediate bullish effect from this that we would see next week, but this is generally bullish for the SPY price.

SPY put volume fell by only 4% on a nice rise in open interest, which is now only a little on the low side of the normal range.  That’s sweet, because it suggests that none of today’s price rise was due to a short squeeze.  The rise in open interest tells us bears were still digging in.

SPY call volume fell by 8% on the rise in open interest.  Bulls are digging in too, but they’re very skittish.

During triple witching weeks we’d usually see the SPY put-call ratio move down to or through its lower Bollinger Band on Thursday.  That event tends to happen near the top of a triple witching price rally.  Then the price falls again.