Wall Street Sentiment Institutional Services

Indicator list and explanation.

The Wall Street Sentiment Survey
Each week, we conduct a survey of a static list of diverse traders. This survey group has seen only very modest changes over the past 15 years. When a participant leaves the survey group, he or she is replaced with a trader/analyst with a similar style and approach. As a result of these constraints we are able to gain much more from the survey results than one might from a typical poll. Extreme readings often are contrary indicators, but because the surveyees are more expert, most readings are not contrary, especially short-term. Additionally, we've found that even splits are often good early warning signals for market turns.

Smart Money Survey
Each week, we conduct a survey of professional analysts/investors who have a proven record of accuracy. This is not a contrary indicator. This crew has proven themselves to be very well-versed generally on the right side of the market.

Amateur Survey
Each week, we conduct a survey of the least sophisticated and more emotional amateur traders/investors. This is a contrary indicator. The most emotional traders are most likely to be wrong on the direction of the market. Excessive readings are very reliable.

Traders-Talk.com Weekly message board poll
This is a standard weekly poll of fairly sophisticated trading message board participants for the week. This is a contrary indicator. If too many are Bullish for the week, we might look for some selling, and vice versa.

Traders-Talk.com Daily message board poll
This is a standard daily poll of fairly sophisticated trading message board participants for the following trading day. This is not a contrary indicator unless at extremes. If there are 40% Bulls and 30% Bears, this would imply a higher bias, but if there were 55% Bulls and 18% Bears, it would imply lower prices.

Traders-Talk.com Actual Position Poll
A daily poll of participants' actual positions; Fully Long, Partially Long, Flat, Partially Short, or Fully short. This is a contrary indicator at extremes counter to the prevailing trend. That is to say if there are many fully short traders in an uptrend, that up-trend is likely to continue, near term.

Fully Long/Fully Short Ratio
Derived from the Traders-talk Actual Position Poll, we analyze poll results for persistent trends in excess confidence (long or short). When this acts as a contrary indicator, it has proven to be valuable for identifying not only intermediate-term bottoms but also market tops when readings are below 60% or above 300%. When this does not act as a contrary indicator, excessive (500% or more) readings, called "Tipping Point" Buy signals, have been reliable 1 day signals.

We have over a decade of raw data that we can provide to you if you would like to evaluate it.
 

The Thrift Saving Plan weekly poll is a very reliable read for amateur traders.

AAII's weekly poll is a classic poll and widely followed. This poll measures longer-term investor sentiment and often gives an early read on important tops and bottoms.

The Investors Intelligence weekly survey is also widely followed and gives a read on the sentiment of those advising investors. This sentiment probably reflects that of some hedge funds. It is better informed, and tends to be quite early. Persistent excessive readings are more valuable than one or two excessive readings and upon occasion, excessive readings can be non-contrarian.

Stock Newsletter Sentiment Index is another measure of established newsletter writer's sentiment. More specifically, this measures the aggregate level of market exposure (long or short) recommended by newsletter writers. Unlike the II survey, this index measures aggregate advisor confidence.

NAAIM and NAAIM Delta are measures of advisor confidence, based upon surveys of actual advisor exposure levels among the National Association of Active Investment Managers. NAAIM Delta measures rapid shifts in advisor exposure levels which may imply excessive confidence or worry, or may otherwise identify uneconomic trading (and thus exploitable opportunities). We can provide 8 years of historic raw data for your perusal.

Lazlo Birinyi's Blogger Poll is a new measure of market junky sentiment. Excesses seem to be indicate the overconfidence by somewhat more sophisticated speculators and can be quite useful.

Citigroup Panic/Euphoria Model is a proprietary indicator which, according to Citi, tracks not just investor attitudes but also incorporates market reaction. Euphoria readings imply an 80% theoretical likelihood of a correction within 12 months. Panic readings imply a 96% theoretical likelihood of a rally over the next 12 months.

The Daily CBOE P/C ratio measures all options speculation on the Chicago Board Options Exchange. When enough speculators are buying calls or puts, you can often plan on a move that makes them wrong, at least near term.

The 10-day CBOE P/C ratio smooths out any possible aberrations in the daily data and gives rather good intermediate term signals.

The Equity P/C ratio measures optimism and pessimism among small, aggressive speculators. If confirmed, this can be very predictive.

The ISE Sentiment Index uses opening long customer transactions to calculate a sentiment index. Opening long transactions are thought to best represent market sentiment because investors often buy call and put options to express their actual market view of a particular stock and this data excludes most programmer, market maker, and similar trades, which tend to aberrate other options sentiment measures. High readings are Bearish and low readings are Bullish. When used in conjunction with other sentiment measures, the ISEE is a good measure of individual speculator sentiment.

The Wall Street Sentiment Options Oscillator measures excessive shifts in options buyers' sentiment to generate Buy and Sell signals. We only look at opening long options transactions because this will exclude market maker and firm trades and give us a better idea of actual investor sentiment. Market maker and firm activities in the market often create "noise" in the data which can mask how traders and investors are really deploying money in options. We also look beyond "excessive" put or call buying and seek out more dramatic shifts in exposure, as these will, in our view, more likely represent uneconomic or emotionally-driven investment decisions. We can provide roughly 8 years of raw data for you to incorporate into your analysis.

The Relative VIX is a measure of the amount the CBOE Volatility Index (VIX) is deviating from its 200-day moving average. The VIX measures the implied volatility priced into the SPX index options. When the Relative VIX is high, it implies that too much fear has been priced into the options, which both indicates excessive Bearish sentiment and creates a motivation to rally the market (and profit from rapidly declining volatility premiums). This is one of our better bottom-spotters.

The Daily VIX measures both day to day swings that may imply excessive optimism or pessimism as well as absolute levels of excessively high or low implied volatility which may represent exploitable opportunities for larger investors.

The ProShares Short S&P 500 ETF Asset Flow, while not an options measure, per se, is a derivative and behaves somewhat similarly to P/C ratios. Large one-day shifts into or out of this etf are contrary indicators and sustained, larger-scale asset shifts can be excellent markers for tops and bottoms. We can provide eight years of historical raw data for your analysis.
 

The OEX PC ratio is a measure of how the more sophisticated institutional traders (who dominate trading in these options) are positioning. They tend to be right.

The OEX 10-day PC ratio gives an intermediate-term read on how the "usually-right" "big money" is positioning. Again, those traders tend to be right.