The put/call volume ratio touched a record high in the final week of 2022, but has declined sharply this week, mainly as put volumes declined. However, the ratio (5d ma) is still very high (90th percentile) and remains close to the middle of the top half of its usual range. Total net call volume (call minus put) rose this week, after dropping sharply to the lowest since Mar 2020, but remains in negative territory. Net call volume in single stock options rose swiftly to net positive, after registering record lows last week. Net call volume in ETP options also rose, while that in index options declined.
Investor sentiment remained bearish for yet another week (7th percentile), taking the current stretch of negative sentiment to a record 40th week.
L/S Hedge funds beta (3m) to the S&P 500 is at record lows.
Systematic strategies positioning declined this week, as CTAs cut their equity exposure.
- Deutsche Bank
**Report from 01/06/22
Comments