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Equity derivatives, such as options, provide unique insight as to the sentiment and pricing behavior the market has towards an underlying asset. This data set provides three useful types of option analytics: put/call ratios, forward prices, and option breakevens.
Terms
Each of the types of analytics are provided for 10, 20, 30, 60, 90, 120, 150, 180, 270, 360, 720, and 1080 calendar day future terms. The values for these terms are linearly interpolated from the nearest straddling option expirations. For example, the 30-day put/call ratio would be the linear interpolation of the put/call ratios for the data at the 27-day and 34-day expirations (assuming those are the closest straddling expirations). If the term does not have a pair of straddling expirations, the values from the closest expiration are used. For an example illustrating how these terms are calculated, please see the VOL methodology.
For put/call ratios, an “All” term is provided that includes all available data and is not normalized.
Put/call ratios
A put/call ratio is a quantity of puts divided by a quantity of calls. This data set includes put/call ratios measured for two different option quantities:
- Volume (“PcrVol”, such as PcrVol10, etc) is calculated by dividing the sum of all puts transacted during that trading day by the sum of all calls. For example, if a total volume of 10 puts were transacted and a total volume of 20 calls were transacted during that day, the PcrVolAll would be 10 / 20 = .5.
- Open interest (“PcrOi”, such as PcrOi10, etc) is calculated by dividing the sum of all puts outstanding at the end of that trading day by the sum of all calls outstanding. For example, if the total open interest at the end of a given day were 10 puts and 5 calls (regardless of when they were opened), the PcrVolAll would be 10 / 5 = 2.
Please see the put/call ratio page for more details.
Forward prices
Forward prices are provided for all covered stocks. See the forward pricing page for more details.
Option breakevens
All, call, and put option breakevens are provided for all covered stocks. See the option breakevens page for more details.