Scatter plot of Put/Call ratio

A basic visualization of CBOT SPX Put/Call ratios vs avg of following 5 days price change on ES over 3 years.

This is built from a free software called Qliksense with data from Quandl.

scatter

A chart of all values:

chart

Focusing on area between 2.0 and 2.8 (below 2.0 the avg change is almost meaningless, above 2.8 the number of instances is too small)

chart and table

Hypothesis: Put/Call ratio of 2.2 – 2.7 seems significant for forecasting a 5 day price decline.

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2 thoughts on “Scatter plot of Put/Call ratio

    • not sure if you are asking for something that appears on one of these?

      https://twitter.com/atoast2trading/status/662612513385750528

      going by those anything above 2 looks like trouble for stocks

      I need to look at my methodology for forward casting price over the 5-10 days after. I am presently subtracting the open from the close to get the net +/- for the day, then I add them up and average the total. It is crude and there must be many other ways but it is something easy.

      What would be best to track is probably the VWAP or daily value area, mid etc instead of avg close.

      So as I am at it let me tell you about some of the theoretical things I have learned about statistics so far. You can actually do a lot by just graphing something and applying basic stats to it like I did above.

      Here is one fundamental thing that I am studying from my class : t-test

      http://www.investopedia.com/terms/t/t-test.asp (i like the description but the video doesn’t work).

      I am watching this and it is nice so far:

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