It’s been a tumultuous few months for stocks, and option buyers have been chasing the momentum.
That’s what I gather from the 10-day buy-to-open (BTO) call/put ratio for current S&P 500 Index (SPX) stocks
This indicator only tracks option purchases, excluding option selling activity and closing trades. This volume, which we get from three exchanges, is more likely speculative, giving a clearer picture of sentiment. As you can see in the chart, sentiment swung dramatically in a very short period of time.
After March — the worst month for the S&P 500 Index (SPX) in a year — the 10-day BTO call/put ratio fell to 52-week low. This means option buyers were buying puts at the highest rate compared to calls over the preceding year. Since then, the market has surged.