5 Stock Market Indicators at Extremes

Last week's volatile price action sent a number of indicators soaring off the charts

by Karee Venema

Published on Jan 19, 2016 at 3:06 PM

Last week was a volatile one for the market, as January options expiration and a negative macro environment stoked big moves in stocks. The Dow alone tracked a 751-point range, including Friday's 537-point intraday plunge. In the wake of this extreme price action, Schaeffer's Quantitative Analyst Chris Prybal highlighted five oddities that popped up.

  1. The 10-day International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) equity-only buy-to-open put/call ratio spiked to 0.726, after elevated daily readings on Jan. 14 and 15. The last time the ratio was near this extreme was on Dec. 21, when it registered at 0.749.

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  3. Friday's Options Clearing Corporation (OCC) equity-only, all-exchange put/call volume ratio of 1.36 was the fourth highest on record, and the 10-day moving average is now 1.1. As a point of reference, the highest ratio to date was 1.44, and occurred on Aug. 21, 2015.

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  5. Per a liquidity list of 3,628 tickers, there were 1,505 tickers that made a new 52-week low last week -- the most in a given week since Aug. 25, 2015, when 1,532 new lows were achieved. The four-week moving average of new highs/new lows is now at 0.3, which is very close to extreme levels.

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  7. The iShares Russell 2000 ETF (IWM) saw roughly 1.79 million puts traded on Friday -- the most on record . Overall, Friday's trading was the eighth most active for market-wide put volume, and the busiest since Aug. 24, 2015.

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  9. The market saw 90/90 down days on both Wednesday, Jan. 13, and Friday, Jan. 15. The last time we saw multiple 90/90 down days in one week was Aug. 20-21, and before that, it was April 15 and 17, 2013. There were multiple occurrences in 2011. As we've noted before, a 90/90 down day could present a buying opportunity.

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