The put/call ratio (number of puts traded vs number of calls traded) is well known. Perhaps an alternative could be value of puts traded vs value of calls traded. This is determined simply by multiplying the volumes by the premiums. Compare the figures below for today’s DAX options.
It’s use has yet to be determined but I think there is a significant difference between, eg 1000 calls (or puts) at 10 and a 1000 calls (or puts) 150. Volume is identical but values differ significantly.
Feb
p/c ratio – 2.67
p/c value ratio – 9.65
Mar
p/c ratio – 1.24
p/c value ratio – 4.21
Apr
p/c ratio – 2.49
p/c value ratio – 4.31.
Another example may be to compare implieds and volumes – 1000 calls at 150 with iv at 15% must be different from 1000 calls at 150 with iv at 20%. Just a thought.
Grant.
It’s use has yet to be determined but I think there is a significant difference between, eg 1000 calls (or puts) at 10 and a 1000 calls (or puts) 150. Volume is identical but values differ significantly.
Feb
p/c ratio – 2.67
p/c value ratio – 9.65
Mar
p/c ratio – 1.24
p/c value ratio – 4.21
Apr
p/c ratio – 2.49
p/c value ratio – 4.31.
Another example may be to compare implieds and volumes – 1000 calls at 150 with iv at 15% must be different from 1000 calls at 150 with iv at 20%. Just a thought.
Grant.
