• Massive spike in VIX C/P Volume ratio

    by  • October 26, 2012 11:41 am • Breaking News, Broad Market Analysis, Charts to Watch, Quick Hits • 1 Comment

    With all of the lingering concerns in the global marketplace, it makes sense that market participants are grabbing for portfolio protection.

    The extreme level of portfolio protection has caught my eye.

    In the below chart, using data from the CBOE (Chicago Board Options Exchange), the daily Call/Put volume ratio has reached a level not seen since May 5th, 2009!



    On Thursday, October 25th, Call volume reached 202,794 contracts while Put volume was only 2,421 contracts equating to a C/P volume ratio for that day of 83.8.

    It seems that expectations are for increased volatility, and that market participants have prepared themselves.

    What is more interesting to me, and what may ultimately play out is an unwind of this bearish sentiment driving equity prices higher.

    A lot has been discussed of late regarding hedging and asset protection, and I speculate that since this “protection” is in place, the market will continue on its random walk higher to the demise of the fear mongers.

    Time will tell, it is quite interesting times we live in.



    Chris Prybal is a Quantitative Analyst who contributes fundamental, technical, and sentiment research as well as analysis to SchaeffersResearch.com. Chris holds a Bachelor’s degree in Finance from the University of Cincinnati and his research has been quoted on Bloomberg TV, CNBC, Barron’s and Forbes Magazine. Chris has analyzed and traded derivatives for over 15 years in addition to his research prowess. Chris can be followed on Twitter @ChrisPrybal


    One Response to Massive spike in VIX C/P Volume ratio

    1. Mark
      October 26, 2012 3:56 pm at 3:56 pm

      Great point about “protection” being in place

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