Wednesday, December 5, 2012

Fiscal Cliff 2012: Options Sentiment





With so much publicity around the coming US Fiscal Cliff event, is everyone expecting a drop in the financial securities? Let's find out what the equity option traders are doing.


The Options Clearing Corporation publishes Weekly Statistics Reports, and here we can get a feel for general sentiment of the small traders (1-10 Transaction Size), and the smart money (FIRM). As option premiums are a result of supply/demand, we can compare the buy open Call premiums against the Puts.

So for the week ending 11/30/2012, we see the following:

Small traders Open Buy Call Premium: $902,942,073.08
Small traders Open Buy Put Premium: $335,772,371
Call / Put Premium Ratio :  2.69

We can see that most of the small traders are relatively bullish and have a ton of upside bets going.

Institutional traders Open Buy Call Premium: $303,898,447
Institutional traders Open Buy Put Premium: $283,454,570.75
Call / Put Premium Ratio :  1.07

We can see that most of the institutinoal traders are relatively flat.


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