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本帖最后由 ctcld 于 2012-1-11 06:34 编辑
策略：每次大幅拉升，部分套利。过1300后回测是买入的机会。
Index option buyers generally maintain short option positions, with P/C Ratios consistently over 1.0, meaning, of course, their Put buying is greater than their Call buying. It's also far more common for institutions to hedge their positions with Index Puts, than the average trader. The pattern displayed by Equity option buyers (who are more typically the average trader) is, on the other hand, far more bullish. For the same period of study, Call buying outweighed Put buying, with very few breaks above 1.0. This dynamic has yielded some interesting results in trying to pinpoint sentiment extremes, and therefore, significant changes of trend.
The Option Buyers Sentiment Gauge (OBSG) which developed applies the principles of momentum and relative strength to the daily average P/C Ratio for Equity and Index option volume. It is plotted with the Wilshire 5000 Total Market Index to relate price and sentiment trends.
The OBSG measures sentiment trend, not price trend. It has often given what might be considered "sell" signals a few days ahead (and as much as a week ahead) of price changes, since the OBSG is primarily a short-term indicator. For example, overbought situations are noticeable by what I call "plateau points," where bullish sentiment seems not to rise much higher. These are clues of potentially large reversals. The plateaus do not, apparently, tend to occur as much at bottoms, perhaps because of the volatility associated with selling. However, even in these cases, it has often signaled strong upswings ahead of price. Still, it should always be used with other indicators that note overbought/oversold conditions.
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狗仔卡
发表于 2012-1-11 12:30 AM
提升卡
置顶卡
沉默卡
喧嚣卡
变色卡
发表于 2012-1-11 01:55 AM
