Our June 11 ChOTD showed the record high 5-day average reading in the ratio of CBOE OEX Put/Call (smart $) to Equity Put/Call (dumb $) ratios. While the high OEX P/C levels were the majority contributor to the record high reading, the Equity P/C figures were very low at the same time. The Equity P/C ratio has continued to be very low and it makes our ChOTD today.

On a 10-day basis, average volume in Equity puts has fallen to just 50% of call volume. This is only the fifth time since 2003 that the ratio has fallen this low (not counting dates clustered together). While the S&P 500 did continue a bit higher for a few weeks following each occurrence, its average 3-month return was minus 3%. Therefore, we’d consider this an intermediate-term negative for the market.