On December 20, Cboe’s daily Put-Call Ratio for its entire options volume rose to 1.82, reaching its highest level in more than 23 years. Analysts and investors often follow and cite put/call ratios in conjunction with attempts to gain insights on possible changes in investors’ bullish or bearish sentiments. Recent news stories in Barron’s and in Bloomberg have highlighted comments on the possible impact of high put/call ratios.


The table below shows the dates with the highest and lowest put/call ratios for Cboe options since September 1995. It is interesting to note that six of the top ten dates for high put/call ratios occurred in 2007 and 2008 (around the time that the S&P 500 Index had a drawdown of more than 50%). Also good to note, eight of the ten dates with the lowest put/call ratios occurred in 2000, which was nearing the end of a long bull market.

Cboe’s All-Options Put/Call Ratio 1

The line chart below shows the daily put-call ratios for Cboe’s S&P 500 options and for all Cboe options from September 4 through December 20, 2018. The averages of these ratios during this time period were 1.71 for the S&P 500 options and 1.04 for all Cboe options. The Cboe options put/call ratio rose from 0.76 on December 3, to 1.82 on December 20, a rise of 139%. Some investors are wondering if this large increase could be related to a possible change in investor sentiment and market outlook.

 Cboe’s All-Options Put/Call Ratio 2


In addition to the put/call ratios, analysts also examine skew and trends in the Cboe SKEW Index in an attempt to gauge possible changes in investor sentiment. The chart below shows that the Cboe SKEW index has fallen since mid-September 2018. www.cboe.com/SKEW.

Cboe’s All-Options Put/Call Ratio 3


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