{"id":2231,"date":"2009-11-16T15:28:04","date_gmt":"2009-11-16T20:28:04","guid":{"rendered":"http:\/\/leavittbrothers.com\/blog\/?p=2231"},"modified":"2009-11-16T15:28:04","modified_gmt":"2009-11-16T20:28:04","slug":"using-putcall-oi-to-predict-the-rest-of-the-week-2xxx","status":"publish","type":"post","link":"https:\/\/blog.leavittbrothers.com\/?p=2231","title":{"rendered":"Using Put\/Call OI to Predict the Rest of the Week"},"content":{"rendered":"

Options expire this Friday, so let’s take a look at the open-interest on SPY, DIA, QQQQ and IWM to see if they hint at movement the rest of the week (this was written during the day Monday, so it uses data from over the weekend). Here’s the theory: the market conspires to cause the most pain, to cause the most number of people to lose the most amount of money. If the market is to accomplish this, what does it need to do this week?<\/span>
\nSPY<\/strong> (closed 109.62)<\/span>
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\nPuts outnumber calls almost 2:1.
\nCall OI biggest between 107 & 113.
\nPut OI biggest between 95 & 109.
\nso there’s a little overlap between 107 & 109, but since Put OI is so much bigger than call OI, a close above 109 would do the most damage<\/strong>…ergo as long as the market doesn’t drop, the put buyers will lose again.<\/span><\/span><\/span><\/span>
\nDIA<\/strong> (closed 102.91)<\/span>
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\nPuts and calls are approx. equal, but call OI is highest several strikes above the current stock price…ergo call buyers are not in line to profit unless the market rallies huge.
\nCall OI is biggest between 99 & 108, but it’s not steady OI…106 & 108 dominate.
\nPut OI is biggest between 90 & 100.
\nSo there’s an overlap around 99\/100.
\nDIA can move up a couple points without letting those call buyers make money, so overall, flat to slightly up trading will cause the most pain<\/strong>.<\/span><\/span><\/span><\/span><\/span>
\nQQQQ<\/strong> (closed 44.01)
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\nPuts outnumber calls approx. 1.6:1.
\nCall OI is biggest between 40 & 46 with 43 & 44 having the highest readings.
\nPut OI is biggest between 38 & 44.
\nThere’s some overlap between 40 & 44, and based on Friday’s close (44.01), the market needs to trade flat<\/strong> to cause the most pain.<\/span><\/span><\/span><\/span>
\nIWM<\/strong> (closed 58.73)
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\nPuts outnumber calls better than 2:1.
\nCall OI is biggest between 55 & 63.
\nPut OI is huge between 49 & 63.
\nIf the market wants to cause the most pain, IWM needs to move up to at least the low 60’s<\/strong> which is very doable during a moderate up week.<\/span><\/span><\/span><\/span>
\nOverall Conclusion:<\/strong> Once again the bears aggressively bet on the downside, and barring a massive sell-off, they’ll once again be wrong. Flat trading would cause the most pain this week. A small move would enable some call buyers to make money, but such a move would cause just as many losses from the put buyers.<\/span>
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