I stumbled upon the ISEE Index Ratio chart today (total ISE calls opened / puts opened x 100) and saw that it jumped 116% to 182 from 84 the day before. When eyeballing it, it looks to me like the biggest one day move since 2006. See the interactive chart at ISE.com aka the International Securities Exchange. I threw up two snapshots below.
The second largest one day move occurred on 4/14/2010, when the ISEE Index jumped 111% to 165 from 78 (Chart 1). Surprisingly, that marked the peak in the S&P during the past 3 months. On the contrary, the third largest one day move occurred on 3/9/2009 when the ISEE Index rose 103% to 220 from 108 (Chart 2). That 220 reading marked the official market bottom in 2009 which sparked the initial breadth thrust of SPY's 86% 12 month move. On the long term ISEE chart 220 was the all time high going back to 2006. So what's the ISEE Value saying this time?
ISEE Index chart since 1/2009 - (Source: ISE.com)
ISEE Index chart since 12/2009
Here's a chart of the S&P 500 ETF (SPY). It is testing ceiling resistance from June and the 200 day moving average. SPY could be setting up a sideways channel from here we'll have to see. If SPY fails at the 200dma it will test the 50dma (blue line) or even $105 support again.
Does the ISEE spike mark the beginning of a huge rally or do you fade it? Sometimes the ISEE Value itself gets volatile so everything could change tomorrow.
SPY (SPDRS S&P 500 Trust ETF) - FreeStockCharts.com
Today the CBOE Market Volatility Index (VIX) held the critical 200 day moving average and 23 support level. If the VIX violates the floor and 200DMA, the call option sentiment could be setting up for a technical breakout (volatility moves opposite of the market). It's all up to the high frequency trading bots to decide. HFT bots -> market reflex -> economic reaction!
VIX (CBOE Market Volatility Index)