The put-call ratio represents the perception of investors jointly towards the future. If there is no obvious trend, that is, we expect a normal future, then the put-call ratio should be close to one. On the other hand, if we expect a much brighter future, the ratio should be lower than one. The following code shows a ratio of this type over the years. First, we have to download the data from CBOE. Perform the following steps:
Go to http://www.cboe.com/.
Click on Quotes & Data on the menu bar.
Click on CBOE Volume & Put/Call Ratios.
Click on CBOE Total Exchange Volume and Put/Call Ratios (11-01-2006 to present) under Current.
Assume that the file named totalpc.csv
is saved under C:\temp\
. The code is given as follows:
import pandas as pd from matplotlib.pyplot import * data=pd.read_csv('c:/temp/totalpc.csv',skiprows=2,index_col=0,parse_dates=True) data.columns=('Calls','Puts','Total','Ratio') x=data.index y=data.Ratio y2=ones(len(y)) title('Put-call ratio') xlabel('Date...