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H
BestPeriodSample%ChangeS&P500
1
BuyYearTop 10
26.94%
11.24%
SellYearLast 5
-4.77%
11.24%
5
BuyYearTop 5
14.11%
12.59%
SellMonthLast 25
-3.56%
-0.69%
A
BuyYearTop 10
23.9%
14.26%
SellWeekLast 10
0.1%
0.18%

Put/Call Volume Ratios

Put / Call Ratios Volume data is calculated by dividing the sum of all puts transacted during that trading day by the sum of all calls. For example, if a total volume of 10 puts were transacted and a total volume of 20 calls were transacted during that day, the PcrVolAll would be 10 / 20 = .5.

Each of the types of analytics are provided for 10, 20, 30, 60, 90, 120, 150, 180, 270, 360, 720, and 1080 calendar day future terms. The values for these terms are linearly interpolated from the nearest straddling option expirations. For example, the 30-day put/call ratio would be the linear interpolation of the put/call ratios for the data at the 27-day and 34-day expirations (assuming those are the closest straddling expirations). If the term does not have a pair of straddling expirations, the values from the closest expiration are used.

For an example illustrating how these terms are calculated, please see the VOL methodology

Part of: General Woo


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