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»Forums Index »Product Support »IQFeed Datafeed Wish List »cboe equity only put call ratio
Author Topic: cboe equity only put call ratio (12 messages, Page 1 of 1)

odin182
-Interested User-
Posts: 2
Joined: Dec 18, 2008


Posted: Dec 18, 2008 08:16 PM          Msg. 1 of 12
hello, I would like to request a feed for the

cboe equity only put call ratio.


All I've been able to find in the feed list is the cboe put call ratio PCRATIO.Z (which is the total put call ratio).

The equity only ratio is available from the cboe website every 30 mins but I would like a feed for it so I could use it in my charting package.

Thanks.

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Dec 19, 2008 11:21 AM          Msg. 2 of 12
This has been put on the development list. Unfortunately, CBOE doesn't provide this within their feed, so it is something we will need to calculate. We have a fairly hefty development list on our ticker plant with exchange feed migrations, new forex feeds, etc. However, it looks like we should be able to get this implemented in the next couple months.

Jay Froscheiser
DTN - Trading Markets

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Feb 26, 2010 08:27 PM          Msg. 3 of 12
is this coming soon?

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Mar 3, 2010 11:27 AM          Msg. 4 of 12
Response please?

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Mar 3, 2010 05:59 PM          Msg. 5 of 12
We are still working on this. It continues to be a priority but there are many ramifications throughout the server and client so we need to make sure it is done right.

Jay Froscheiser
DTN

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Mar 3, 2010 06:01 PM          Msg. 6 of 12
Sorry, my last response was meant for the other thread. I need to do a little more checking to see if this made it into our next round of calculated stats. i will get you a response shortly.

Jay Froscheiser
DTN

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Mar 27, 2010 10:51 AM          Msg. 7 of 12
VPET.Z = CBOE PUTS EQUITY ONLY VOLUME TOTAL
VCET.Z = CBOE CALLS EQUITY ONLY VOLUME TOTAL
VRET.Z = CBOE EQUITY ONLY PUT CALLS VOLUME RATIO

All 3 will be live Monday. See http://forums.dtn.com/index.cfm?page=topic&topicID=2727 for a comprehensive list of new stats/internals that will be going live.

Jay Froscheiser
DTN

SunStar
-Interested User-
Posts: 1
Joined: Jul 12, 2011


Posted: Jul 12, 2011 10:45 AM          Msg. 8 of 12
It seems that the methodology IQFeed employed to calculate this ratio is quite different from that by CBOE, and therefore the numbers come out very different. CBOE takes the total equity puts volume for that day and divide it by the total equity calls volume, so there is 1 ratio for a given day. It looks like IQFeed updates the ratio continuously through out the day, although open always equals low and close always equals high, without a total number for the day. The problem with this method is it can distort the number significantly, since this is a ratio. For example, during a day say if there are total 100k puts traded and 100k calls traded, and at closing there were 500 puts traded, and 1 call traded, the ratio for close would be 500 from IQFeed would be 500, but CBOE's number for the day would be only 1. To me, 1 makes much more sense than the 500. CBOE website provides a .csv file for historical data. Compare that with what IQFeed has, the problem I mentioned above showed in 2 occasions very distinctively, 4/8/2010, and 9/13/2010. The rest of the days all have the same problem, but just on a smaller scale.

Is it possible to come up with a symbol that use the CBOE method?

nawest1
-Interested User-
Posts: 3
Joined: Jun 9, 2011


Posted: Jul 17, 2011 02:29 PM          Msg. 9 of 12
I've only just started using the put/call ratios on IQ feed in the last couple of days and I too was puzzled as to why your equity only ratio was so far removed from the official CBOE one. Not sure why you would calculate it that way - your total put/call ratio seems to be the same as the CBOE reason - but would definitely back up the last user's request for an equity only put/call ratio as per the CBOE method. Thanks.

Nathan

nawest1
-Interested User-
Posts: 3
Joined: Jun 9, 2011


Posted: Aug 16, 2011 11:44 AM          Msg. 10 of 12
Having had no update on the forum (!) I made contact with the support desk and think that I have the correct answer as to why the IQ Feed "CBOE" "Equity only" put call ratio is so different to the official ratio. It seems that IQ Feed uses not only single stock options volumes but also the volumes of the SPY and other ETFs and HOLDRs (that the CBOE actually includes in the Index Ratio sub-ratio). On the basis that the whole point of having an equity only ratio is to strip out all the hedging basis that is present in the Total Put/Call ratio (from the inclusion of the index and broad based products) I'm very unclear why they did it this way and they didn't have an answer. I have however formally put in a request for an EQUITY ONLY ratio that matches the CBOE methodology. However, I suspect that it will not be a high priority unless other users make their voice heard......

Nathan

conr
-Interested User-
Posts: 48
Joined: Feb 13, 2007


Posted: Jun 11, 2012 10:10 PM          Msg. 11 of 12
Any updates on this Jay. Would be interested in an index only p/c ratio as well.

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: Jun 12, 2012 08:26 AM          Msg. 12 of 12
We have this on the list, but with the number of exchange mandated changes we are seeing it isn't something that we are going to be able to go to in the short term. We are looking at making enhancements to our calculated instruments and this would likely get rolled up into that project. Unfortunately I don't have visibility on the timing for this project yet.

If you have any other requests for calculated index/stats/breadth, please post them to the IQFeed Datafeed Wish List forum so we can evaluate them for inclusion as this project gets rolling.

Jay Froscheiser
Telvent DTN
 

 

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