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Joined: Jul 12, 2011 10:28 AM
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IQFeed Datafeed Wish List » cboe equity only put call ratio Jul 12, 2011 10:45 AM (Total replies: 11)

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?

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