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ISEE Index - ISE Sentiment Index

by The trader, 3539 days ago
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The International Securities Exchange (ISE), which is an fully electronic options market based in the United States, releases a put/call ratio (ISEE Index) that uses a different calculation methodology (to be more precise, it doesn't use all the call and put volume) than the put/call ratios calculated by many other exchanges (For example the Chicago Board Options Exchange - CBOE).

Usually the put/call ratio is calculated by taking the total volume of traded option puts and dividing that number by the total volume of traded option calls. The problem with this method of calculation is that it does not take account of whether the call options or put options were bought or sold. We have no way to know whether an increase in the call volume is due to more traders buying or selling these option calls, and therefore we cannot conclude that this increase is bullish for the market (It could be bearish).

The ISE releases the ISE Sentiment Index (ISEE Index), which is basically a put/call ratio that only takes into account opening long customer transactions. The index only uses the put options volume and call options volume that were bought, and ignore those that were short sold. Therefore, the ISE Sentiment Index represents the market sentiment better than the other traditional put/call ratios.

The ISE Sentiment Index is calculated for all securities, equities only and indices & ETFs only.

The current item, which downloads historical data for the three ISE Sentiment indexes, creates the following ticker symbols: ^ISEE_ALL, ^ISEE_EQUITIES, ^ISEE_INDICES_ETFS.
The data starts in April 2002 for the first ISEE index (All securities). It starts in January 2006 for the other ISEE indices (Equities only and Indices & ETFs only)

Here is a list of some put/call related objects:
Individual Stocks Put and Call Volume creates put/call ratio for each optionable stock listed on the U.S. stock market. It also creates put/call data for each of the following groups: Customers (Consumer transactions), Firms, and Market Makers.
EOX Put-Call Ratio (PCR)
Equity Put-Call Ratio
Monthly individual stocks put and call volume


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Type: Download Script

Object ID: 405


Country:
United States

Market: Stock Market

Style:
Technical Analysis

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