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Good source for put-call ratio data?
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Good source for put-call ratio data?

  #1 (permalink)
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Good source for put-call ratio data?

I subscribe to eSignal and while I get CBOE put-call ratios in real-time from them, they do not publish any data until roughly 9:35 am ET, about 5 minutes after the open. Does anyone know of a good, inexpensive source for real-time put-call data that includes the entire trading session (i.e., the first 5 minutes of trading)?

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  #3 (permalink)
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The put/call-ratio is calculated from options volume. So it will only be available during market hours of the option exchanges. The two option exchanges which offer data on put/call ratios are CBOE and ISE.

CBOE offers Live Options in partnership with eSignal, that is probably the feed you have.

CBOE - Trading Tools

ISE has a ISE Open/Close Trade Profile Intraday, which is updated every 10 minutes. This would not improve your situation.

International Securities Exchange, LLC. :: Market Data Products :: Put/Call Data :: ISE Open/Close Trade Profile Intraday

The only other possibility is that you find a data feed or broker feed which offers options volume and is capable of displaying the aggregate vollume and put/call ratio for all options which have the same underlying security.

I have noticed that Interactive Brokers charts can display real-time put/call ratios for all stocks. However the liquidity of the options market is rather low, so you won't get any significant figures during the first 5 minutes.

Which put/call ratios do you watch?

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Thanks!

Hi FT,

Thanks for the thorough response. Specifically, I'm looking to follow the comprehensive put-call ratio for equities. In TradeStation, I think this is referred to as $PCVE and in eSignal, it's $PCCE-ST.

-- FuryTrader

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  #5 (permalink)
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Put and Call Volume from Kinetick

Kinetick has various Market Statistics for options including the CBOE PUTS VOLUME TOTAL and the CBOE CALLS VOLUME TOTAL. The Put/Call Ratio would be the ratio of these .. wouldn't it?

Then can easily calculate it with a multi dataseries indicator to which both of them have been ADDed.


I am getting them in real time, updated once per second on the Time and Sales.

Right now at 952AM PT the ratio is 1269/1354.

There are other statistics such as the dollar values of the put and call options trading, up and down volumes, etc that could also be looked at.

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Line Plot of the P/C Ratio

I threw together an indicator to calculate the put call ratio from the Kinetick volumes. Here is a screenshot corresponding to last week's super ramp job. Does this look plausible? Chart session setting is US Equities RTH.

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Good source for put-call ratio data?-ym-09-11-1000-tick-7_1_2011-put-call.jpg  
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Zondor View Post
I threw together an indicator to calculate the put call ratio from the Kinetick volumes. Here is a screenshot corresponding to last week's super ramp job. Does this look plausible? Chart session setting is US Equities RTH.

It looks goood, but what values are displayed during the first five minutes of the session?

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Zondor View Post
Does this look plausible?

Sorry, for me this is looking like noise, couldn't find a clear relation.

Could you please take the effort to explain where you see a relation between P/C-ratio and price?

(I know I am sometimes slow in spotting patterns. Perhaps you might teach me a little on this.)

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  #9 (permalink)
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About that Chart of PC ratio

The values shown on the charts for the first five minutes are based on whatever values I got, if any, from Kinetick. Maybe they just should be disregarded. If there are no valid data available the plot should be suppressed or zeroed, which I did not bother doing.

I have no idea how to use this data for trading but just wanted to show what the indicator was plotting, to ask around if it looked like it could plausibly be correct. The wild fluctuations near the open looked fishy.

I just ADDed 2 dataseries for the put and call volumes. Put volume is Closes[1][0] when BIP = 1 and Call Volume is Closes[2][0] when BIP =2. If call volume != 0, calculate the ratio. If the time on the chart is prior to the time of the last refresh, don't forget to shift the plot one tick to the right.

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I was contemplating starting a new thread, but this one seems close enough...

I want to be able to chart the put / call ratios for stocks and ETF's, mostly those of the major indices, like the SPY, QQQ, DIA and RUT...

TDA has this data, and all for these ETF are well above 1.0 now, with the QQQ at 2.65. I want to be able to chart (daily) this data though. Any ideas on how to accomplish this or what brokers offer such?

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