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SPY Put-Call Ratio Falls Hard

Published 12/16/2014, 12:24 AM
Updated 07/09/2023, 06:31 AM

SPY Chart

The SPDR S&P 500 (ARCA:SPY) put-call ratio fell to 1.45 today on a large drop in open interest. SPY put volume fell by 19%. SPY call volume rose by 7%.

VIX closed at or above its upper Bollinger Band® for the 5th day in a row, but left a giant tail above today’s candle.

The SPY put-call ratio is now below is 20 dma and its long-term opex Friday average. That would usually be mildly bearish going into opex Tuesday. However, in December opex weeks, the SPY put-call ratio usually reaches its lower Bollinger Band by Thursday, and then rises back to its 20 dma by the close on Friday.

The ratio’s lower Bollinger Band was at 1.03 today.

So we have a target for the ratio that suggests a lot more bearishness will have worn off by Thursday, but the market has three days to get to that level, and the FOMC announcement is Wednesday.

That means the ratio doesn’t tell us much about tomorrow.

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