June 8, 2010

Are Option Prices Signaling A Rally?

“When bearish puts cost 50 percent more than bullish calls, the S&P 500 rallied 28 times during the next six months and declined 6 times, according to OptionMetrics data going back to 1996 compiled by Bloomberg. The biggest gain started in November 1997, when the index rose 18 percent and the premium increased to 54.1 percent, data show. The S&P 500 plunged 35 percent after the skew reached 50.2 percent in June 2008.”

in Bloomberg.com

Related ETF`s: ProShares UltraShort S&P500 (ETF) (Public, NYSE:SDS) and SPDR S&P 500 ETF (Public, NYSE:SPY)

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