Daily Options Report

I rarely write up Put/Call numbers, mostly because I rarely look at pub/call numbers. The VIX itself often just tells you something you already know. Like yesterday for example, you probably could have inferred the wisp of fear permeating the air without it. VIX is most informative when it moves further, or in oposition, to what we expect.

The put/call is essentially one derivative beyond that. The VIX tells you the price they're willing to pay for protection, the put/call just gives you the side they're using. Sort of, as the public order flow may be selling too.  ISEE numbers only look at opening retail buyers, which sounds like a better methodology. I ran numbers for my book however, and found the plain old vanilla CBOE numbers yielded better info, so we'll use these.

So anyway, does the put//call tell us much here? Here's the chart of the CBOE all-equity put/call, and ....it pretty much looks as one would expect. Big spike yesterday. I would note it spiked higher than it did during the VIX spike 2 weeks ago, so a modest Fear divergence is evident (more fear now). FWIW, the ISEE closed slightly lower yesterday at 89 (remember it's a Call/Put. so low is high) than it did on January 22nd, though not lower than the levels it hit a few days later (67 on January 26th).

Throw it all together and it confirms there's an acceleration of Fear out there.