iCharts Discussions

[apka]

Thanks ST.

[SwingTrader]

[SwingTrader]

apka,

Here is the OTM PCR rank vs VIX chart from 2011 to 2014 (I could not add nifty to it as it would require a third y-axis in the spreadsheet). In this particular range the only time when vix was at current levels was at end of 2012 / start of 2013. The short signal triggered on 24th Jan 2013 turned out to be okay. The other one I can think of was the recent one in Jan 2014, this one fizzled out without much of a downside move.

I think this is too less data to form any serious conclusions. I wish I had more options data to compare but I have data only since Jan 2011. From the data that I have I feel the signals are valid in low volatility environment too but I do understand your point - options might not have enough premium to short when volatility is low. I guess more data & observations are necessary to be really confident of the signals.

Please let me know if you get any other interesting points from the chart (please ignore the initial part of the chart because the "percentile" would not compute properly until some data has been collected).

Thanks for your input & ideas.

[apka]

Thanks ST for doing this.

I see that in Aug-Sept 2011 VIX was very high + OTM PCR Rank was high and that became low point of the bearish phase in nifty. Similar is seen in Aug-Sept 2013.

It doesn't say much to identify anything in particular except these 2 incidences showing what may construe as an end of bearish phase.

[SwingTrader]

[SwingTrader]

Updated Market Sentiment Charts (25.08.2015)

NSE OTM PCR rank today triggered a short confirmed by options sentiment. I will initiate hedges for my positional equities positions tomorrow (and will hold these until the sentiment situation reverses or we breakout to upside above recent highs). Will also look to trade short-to-intermediate term downside move if it really starts. A further breakdown of price will confirm this.

Market breadth : Intermediate term breadth is negative, short-term near overbought levels. Long term remains rock solid positive.

NSE stocks 1 month vs 3 months avg % change : 3 mnths line starting to roll down. 1 mnth line is already neutral-to-negative.

[vinay28]

ideally pcr rank should remain above 90 for a couple days more.

[apka]

How does it look now after the exclusion of Aug series options?

[SwingTrader]

[SwingTrader]

Updated NSE OTM PCR Rank chart (01.09.2014)

Well...today's trading cleared up the picture very well I have been ceremonially kicked out of my hedges that I held only for three days. NSE OTM PCR rank has just collapsed today indicating a reversal of bearish bias. The bearish signal given by NSE OTM PCR rank failed spectacularly this time. This time I did not even wait for price confirmation after the signal, I was too cautious. There was absolutely no change even in the intraday trend after the bearish signal - the trend remains up.

[vinay28]

Srikant, but it has to remain below 50% otherwise it could become a kneejerk jerk reaction? vix could show the way.

[SwingTrader]

[SwingTrader]

Updated sentiment charts (24.09.2014)

NSE OTM PCR rank has again gone up above 90% signalling bearish sentiment / bias. Market breadth is rolling down too (medium & short term). The one month and three month average move of stocks also are showing declines. Bearish bias is present but I will be a bit lazy this time and will wait for the break of a near term support before hedging my positional longs. Don't want to jump the gun like last time.

Let us see how it pans out...especially after the expiry.

[vinay28]

rank is not sustaining above 90% for more than 2-3 days. also I feel 3 month change must break below 70 for confirmation of bear phase, however small.

[SwingTrader]