New Dynamics in Sentiment Analysis Jason Goepfert President SHIFTING SANDS.
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New Dynamics in Sentiment New Dynamics in Sentiment Analysis Analysis Jason Goepfert President www.sentimenTrader.com SHIFTING SANDS SHIFTING SANDS
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Transcript of New Dynamics in Sentiment Analysis Jason Goepfert President SHIFTING SANDS.
New Dynamics in Sentiment New Dynamics in Sentiment AnalysisAnalysis
Jason GoepfertPresident
www.sentimenTrader.com
SHIFTING SANDSSHIFTING SANDS
“All fixed set patterns are incapable of adaptability or pliability.
The truth is outsideof all fixed patterns.”
- Bruce Lee
Going Going Extinct ?Extinct ?
Put/Call RatioPut/Call Ratio
Specialist ShortsSpecialist Shorts
IndexIndex VolumeVolume
Floor-Based FuturesFloor-Based Futures
Volatility IndicatorsVolatility Indicators
Rydex Asset FlowsRydex Asset Flows
Option Open InterestOption Open Interest
Odd Lot TradesOdd Lot Trades
Mutual Fund CashMutual Fund Cash
$ Change in Rydex $ Change in Rydex VelocityVelocity
$ in millions, Source: Rydex
Spec. Shorts vs. Program Spec. Shorts vs. Program TradingTrading
Source: NYSE
Adapt To New Adapt To New DynamicsDynamics
• ETF Explosion
• Income Option Funds (BXM)
• E-mini Futures
ETFs Are Growing ETFs Are Growing UpUp
1996 2000 2006
$2
$65
$370
Total Assets (Billions), Source: Investment Company Institute
SPY vs. S&P 500 VolumeSPY vs. S&P 500 Volume
Source: NYSE, Amex
TakingTaking
LIQUIDITY LIQUIDITY PREMIUMPREMIUM
AdvantageAdvantageofof
ETFsETFs
Liquidity Premium Liquidity Premium CalculationCalculation
LP = Ev - Iv
Where:
Ev = (Today – 50-dsma)/50-dsma SPY volume
Iv = (Today – 50-dsma)/50-dsma S&P 500 component volume
S&P 500, 8 weeks later (Jan 2000 – Jan 2007)
Liquidity Premium Liquidity Premium ExtremesExtremes
Average Return
% of Time Positive
R.O.B.O. R.O.B.O. RATIORATIO
I, Robot © 20th Century Fox
(Retail Only, Buy to Open)
Measuring Emotion,Measuring Emotion,Not MachinesNot Machines
New Option Income New Option Income CEFsCEFs
BlackRock Div Ach. (BDJ) First Tr/Fiduciary (FFA)BlackRock Div Ach. (BDJ) First Tr/Fiduciary (FFA)
Enhanced S&P Cv Call (BEO) F/C Dyn Eq (HCE)Enhanced S&P Cv Call (BEO) F/C Dyn Eq (HCE)
S&P 500 Cvrd Call (BEP) ING Gl & Prm Op (IGA)S&P 500 Cvrd Call (BEP) ING Gl & Prm Op (IGA)
BlackRock Gl Op Eq (BOE) ING Gl Eq Div & Prm (IGD)BlackRock Gl Op Eq (BOE) ING Gl Eq Div & Prm (IGD)
BlackRock World (BWC) Nuveen Eq Prm Adv (JLA)BlackRock World (BWC) Nuveen Eq Prm Adv (JLA)
Dow 30 Prem & Div (DPD) Nuveen Eq Prm Gr (JPG)Dow 30 Prem & Div (DPD) Nuveen Eq Prm Gr (JPG)
Evgrn Intl Bal (EBI) Nuveen Eq Inc (JPZ)Evgrn Intl Bal (EBI) Nuveen Eq Inc (JPZ)
BlackRock Enhanced (ECV) Nuveen Eq Prem Op (JSN)BlackRock Enhanced (ECV) Nuveen Eq Prem Op (JSN)
BlackRock Enhanced E (EEF) Advent/Claymore Enh (LCM)BlackRock Enhanced E (EEF) Advent/Claymore Enh (LCM)
Eaton Vance Equity (EOI) Madison/Claymore (MCN)Eaton Vance Equity (EOI) Madison/Claymore (MCN)
Eaton Vance Enh Eqty (EOS) Madison Strat Sec (MSP)Eaton Vance Enh Eqty (EOS) Madison Strat Sec (MSP)
Eaton Vance Tax-Mgd (ETB) Nic-Aplgt Strat (NAI)Eaton Vance Tax-Mgd (ETB) Nic-Aplgt Strat (NAI)
EV Tax Mgd Bw Opp (ETV) Nfj Strategy (NFJ)EV Tax Mgd Bw Opp (ETV) Nfj Strategy (NFJ)
EV Tx Mgd Gl Bw (ETW) Om/Claymore L-S (OLA)EV Tx Mgd Gl Bw (ETW) Om/Claymore L-S (OLA)
ROBO Ratio CalculationROBO Ratio Calculation
ROBO = Pop / Cop
Where:
Pop = Opening put purchases, <10 contracts
Cop = Opening call purchases, <10 contracts
Source: Options Clearing Corp.
S&P 500, 4 weeks later (Jan 2003 – Jan 2007)
R.O.B.O. Ratio ExtremesR.O.B.O. Ratio Extremes
Average Return
% of Time Positive
RISE OF THE RISE OF THE MINIMINIAdapting to aAdapting to a“Growing”“Growing”TrendTrend
Full vs. E-mini Futures Full vs. E-mini Futures ValueValue
Commercial Positions, Source: CFTC
All-Index, All Contract CoTAll-Index, All Contract CoTCoT = Net*Index Value*Multiplier
Where:
Net = Longs - Shorts
Index Value = Closing index level
Multiplier = Contract multiplier (e.g. $250 for large S&P contract)
Source: CFTC, CME, CBOT
S&P 500, 4 weeks later (Jan 2000 – Jan 2007)
CoT Index (Sm Spec) CoT Index (Sm Spec) ExtremesExtremes
Average Return
% of Time Positive
• Liquidity Premium: Neutral SPY: -22%, QQQQ: -14%
• ROBO P/C Ratio: Mildly Bearish 0.47
• CoT Index: Bearish Commercials: -$39B, Small Specs: +$27b
WhereWhere Are They Now ?Are They Now ?
“Adapt or perish,now as ever, isNature's
imperative.”
- H.G. Wells
