|Sector||Ticker||Current Price||% Change in Price||Total OI||Current P/C OI ratio||Current C/P OI ratio||% Change in Monthly Put OI||% Change in Monthly Call OI||Opt Implied Volatility||Current Option Volume|
As of: 03-20-2018 04:17 PM EDT. Table updated every 30 minutes. Data available real-time to IB customers in Trader Workstation.
Ticker, Current Price and % Change in Price
The table above displays exchange traded funds (ETFs) that represent eleven key economic sectors. Each SPDR Fund listed is accompanied by the appropriate ticker symbol for the fund along with the current share price and its daily rolling change in percentage terms.
Open interest measures the number of open options positions held by investors on the entire underlying ticker symbol across all available expiration dates and strike prices.
Current P/C OI Ratio
The total number of outstanding put positions is divided by the same measure of call options. For the put-to-call ratio, the HIGHER the value, the more negative the sentiment because it indicates more puts are held than calls. A P/C ratio of less than one indicates more investors hold call options than put options.
Current C/P OI Ratio
The total number of outstanding call positions is divided by the same measure of put options. For the call-to-put ratio, the HIGHER the value, the more positive the sentiment because it indicates more calls are held than puts. A C/P ratio of less than one indicates more investors hold put options than call options.
% Change in Monthly P/C Ratio
Monitoring the monthly change in the put-to-call ratio might make it easier to read how investors are using options to build bullish or bearish strategies. For example, any rise in this series above a ratio of 1.0 indicates that investors are accumulating more bearish put positions. This could be a defensive move in order to protect an underlying long position in the sector, or it could be increasing positioning in the expectation that prices will fall.
% Change in monthly C/P ratio
An increase in the call-to-put reading typically suggests the opposite of a rising put-to-call ratio and could indicate growing optimism about the prospects for the sector. A rise in this series above a ratio of 1.0 indicates that investors are accumulating more bullish call option positions as they increase exposure to the sector in the expectation that prices will rise.
Option Implied Volatility
Implied volatility is the options market's prediction of how volatile a given underlying share price will be in the future. It is calculated by inputting all known information into an options pricing model (i.e. option price, interest rates, dividends, strike price, and expiry date) and backing out the unknown parameter, the implied volatility. The data is displayed on an annualized basis. Implied volatility is calculated using a 100-step binary tree for American style options, and a Black-Scholes model for European style options.
Current Option Volume
is a live reading of the total overall volume of both puts and calls traded in today's session. Investors should compare the volume against the total reading of open interest to gauge whether relative derivative volume is unusual during the day.
Note: The material presented in this commentary is provided for informational purposes only and is based upon information that is considered to be reliable. However, neither Interactive Brokers LLC nor its affiliates warrant its completeness, accuracy or adequacy and it should not be relied upon as such. Neither IB nor its affiliates are responsible for any errors or omissions or for results obtained from the use of this information. Past performance is not necessarily indicative of future results.
This material is not intended as an offer or solicitation for the purchase or sale of any security or other financial instrument. Securities or other financial instruments mentioned in this material are not suitable for all investors. Any opinions expressed herein are given in good faith, are subject to change without notice, and are only correct as of the stated date of their issue. The information contained herein does not constitute advice on the tax consequences of making any particular investment decision. This material does not take into account your particular investment objectives, financial situations or needs and is not intended as a recommendation to you of any particular securities, financial instruments or strategies. Before investing, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.