ES -- DX/CL -- isee -- cboe put/call -- specialist/public short ratio -- trinq -- trin -- aaii bull ratio -- abx -- cmbx -- cdx -- vxo p&f -- SPX volatility curve -- VIX:VXO skew -- commodity screen -- cot -- conference board

Friday, February 08, 2008

 

a context for sentiment


the ISEE series only dates back to 2002, so there isn't really data for comparison over long periods. but what comparison that can be made to the past of the series is interesting.

the trailing 50 day average of the all securities reading has fallen to 109.1 -- a level worsted only in the sample in the period of october-november 2002, which of course marked an epic low.

the rejoinder there might be that things can get worse. and they can, of course, always. but even if current sentiment simply holds, what should be understood is that this ratio will continue to decline. the data that are falling out of the back end of the timeframe are also the highest -- the average of the last 40 days is just 106.8, and of the last thirty 102.3. there needn't be a price collapse and attendant option panic from here for 50-day ISEE sentiment to plumb new all-time lows. just holding neutral, with put writing offsetting call, would do it.

this is far from the only indicator, particularly sentiment indicator, showing that current prices are abyssal -- and that expectations should be for at least an intermediate term rally. another i gleaned from IBD today: the ratio of public short sales to specialist short sales (a figure published weekly with a two-week lag, relayed here by barron's) had risen to 21.00 on january 18, the most recent available report -- the five-year high.

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