股票期货突破技术分析(英文原版)-第31章

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solely　on　the　SOIR　above　the　established　
1。00　parameter。　Also；　the　shares。did　move　briefly　below　the　40…week。moving　average　in　August　2004；　although　not　on　a　weekly　closing　basis。　Again；　there　would　have　been　the　potential　for　a　shakeout；　but　nonetheless　at　a　very　hefty　profit　level。　
Immeasurable*　
The　put/call　open　interest　ratio　（SOIR）　is。one　of　a　number　of　ways。of　slicing　and　dicing　the　information　a　trader　can　glean　from　the　ebb　and　flow　of　option　activity。　A　put/call　open　interest　ratio　that's。a　consistent　outlier　may　indicate　tradable　extremes。in　sentiment　on　a　particular　equity；　but　there　are　limitations。to　the　scope　of　what　the　ratio　can　measure。　
The　SOIR　is。calculated　using　a　ratio　of　put　to　call　open　interest　for　the　three　front　expiration　months。　A　stock。may　exhibit　a　very。high　SOIR；　but　if　the　level　of　option　activity　on　that　stock。is。modest—relative　to　average　trading　volume　or　to　share　float—the　significance　of　a　high　ratio　of　put　to　call　open　interest　is。radically　diminished　and　may　in　many　cases。be　of　zero　consequence。　This。option　activity　would　be　described　as。being　of　〃low　intensity。〃　
Option　pricing　would　be　yet　another　measure　of　the　intensity　of　option　activity。　Options　are　priced　based　on　a　probabilistic。model　whose　major　inputs。include　the　share　price；　the　strike　price　of　the　option；　the　time　remaining　until　option　expiration；　and　the　assumed　future　volatility　of　the　underlying　stock。　Within　a　group　of　on…the…money　options。（options　for　which　the　stock。price　equals。the　strike　price）　on　various　nondividend…paying　stocks。with　a　mon　expiration　date；　the　differences。in　option　pricing　levels。can　be　explained　almost　entirely　by。the　differing　assumptions。for　future　volatility。　
Although　the　assumed　volatility　（known　as。implied　volatility。among　options　traders）　does。not　coincide　precisely　with　the　recent　volatility　of　each　stock；　it　is。usually　close　enough　so　that　the　following　example　of　how　option　prices。can　vary　more　than　suffices。　Hansen　Natural　（HANS）　is。an　energy　drink。manufacturer　whose　stock。has。alternated　between　very。hot　and　very　cold。　The　wild　gyrations。in　the　share　price　translate　at　this。stage　into　an　annual　volatility　of　about　70　percent。　
Cisco　Systems。（CSCO）；　on　the　other　hand；　has。bee　a　steadily　growing　blue…chip　pany　in　the　technology。space　with　a　market　capitalization　in　excess。of　150　billion。　It　is　widely　covered　on　Wall　Street　and　widely　held　by　institutional　investors。　So　it　should　be　no　surprise　that　the　annual　volatility　of　Cisco　shares　is。modest　and　in　the　neighborhood　of　25　percent。　
How　do　these　varying　volatilities。translate　into　the　pricing　of　Hansen　and　Cisco　options？　A　three…month；　on…the…money　call　option　on　Hansen　would　trade　at　approximately。14　percent　of　the　share　price；　a　similar　option　on　Cisco　would　trade　at　approximately　5　percent　of　the　share　price。　In　other　words；　the　options。are　priced　in　direct　proportion　to　the　assumed　volatility　of　the　underlying　stock。　
The　Fear　Factor　
But　volatility。assumptions。are　constantly　changing　for　even　optionable　stock。　Sometimes。this。is。simply　the　result　of　a　change　in　the　recent　volatility　of　the　stock。　Sometimes。it's。in　anticipation　of　an　uping　event—such　as。an　earnings。report—that　is　expected　to　result　in　increased　share　volatility。　And　sometimes。it's。the　result　of　intense　option　buying　prompted　by　greed　or；　more　often；　fear。　Fear　is。a　potentially　strong　directional　clue　for　the　trader。　At　Schaeffer’s。Investment　Research；　an　〃equity　VIX〃　is。calculated　for　every　optionable　stock。in　order　to　sharpen　the　focus。on　such　situations。　
Most　traders。are　probably　familiar　with　the　CBOE　Volatility　Index　（VIX）；　calculated　by　the　Chicago　Board　Options。Exchange　to　measure　the　implied　volatility。of　the　options。on　the　S&P　500　Index　（SPX）。　The　VIX　is。often　referred　to　as。a　“fear　gauge”　because　a　rising　VIX　is　almost　always　associated　with　increased　demand　for　index　put　options。due　to　increased　investor　fear　of　a　market　decline。　In　fact；　major　spikes。in　the　VIX　have　been　associated　with　major　market　bottoms；　as。extremes。in　fear　invariably　indicate　massive　investor　capitulation　and　liquidation；　which　denotes。that　the　selling　pressure　has。lifted。　Of　course；　the　difficulty。lies。in　determining　when　the　fear　level　has。reached　a　true　extreme；　because　taking　a　bullish　position　before　the　fear　has。truly　peaked　is。extremely　risky　and　potentially　disastrous。　
The　equity　VIX　calculated　at　Schaeffer's。is　designed　to　focus。attention　on　stocks　experiencing　unusual　swings。in　the　implied　volatility　of　their　options；　and；　just　as。with　the　CBOE　VIX；　spikes。in　volatility　are　of　particular　interest　as。a　directional　indicator　for　stocks。　No　stock。in　recent　years。has。provided　traders。with　more　in　the　way。of　volatility　spikes。than　General　Motors。（GM）。　


The　next　major　spike　in　GM　option　volatility　occurred　in　the　second　quarter　of　2005；　as　seriousncerns。about　the　pany's。financial　viability。began　to　reverberate　through　Wall　Street。　Huge　positions。in　long…term　GM　puts　were　being　accumulated；　some　as。outright　bets　on　the　pany's。demise　and　some　as　part　of　hedged　positions。with　GM　debt。　Acpanying　this。volatility　spike　was。a　pullback。in　GM　shares　to　the　25　area；　a　level　not　seen　since　the　major　bottom　in　the　second　half　of　1992　（see　Figure　7。6）。　The　stock。lifted　off　these　long…standing　support　levels；　and　by　July　2005；　it　had　rallied　by　about　50　percent　to　just　shy　of　38。　
Thisbination　of　a　pullback。to　a　well…defined　support　level　and　an　extreme　in　investor　fear　as。evidenced　by　a　major　volatility　spike　created　a　good　buying　opportunity　for　nimble　contrarian　traders。　
In　terms。of　the　bigger　picture；　the　GM　story　illustrates。the　pitfall　of　trading　oil　sentiment　extremes—that　is；　taking　a　bullish　position　before　the　true　peak　in　fear。　Figure　7。6　shows　that　GM's。share　price　proceeded　to　get　cut　in　half　during　the　six　months。following　July　2005；　to　a　low　of　18。33　by　year…end　2005；　while　a　spike　in　the　VIX　for　GM　fortably　exceeded　the　second…quarter　2005　spike　（sec。Figure　7。5）。　By　the　start　of　2006；　the　chances。of　a　GM　bankruptcy　had　reached　coin　flip　levels；　according　to　many　analysts。　
By　February　2006；　a　mind…boggling　three　million　put　contracts。had　been　accumulated　on　GM；　equal　to　300　million　shares；　or　more　than　half　the　pany's。outstanding　shares。　Of　course；　most　of　these　options。were　out　of　the　money　so　thisparison　is。somewhat　misleading。　Still；　the　sentiment　on　GM　in　the　options。market　was。extremely　bearish；　whether　measured　by　put/call　ratios；　the　intensity　of　put　open　interest；　or　by　option　volatility　levels。　
The　Contrarians　Weigh。In　
But　sometimes。the　strongest　confirming　evidence　that　the　bottom　is。truly　in　place　es。from　outside　the　quantitative　world。　From　a　contrarian　perspective；　this。evidence　arrived　in　the　form　of　a　cover　story　on　GM　in　Fortune　magazine　by　Carol　Loomis　in　the　issue　dated　February　20；　2006。　Below　is。an　excerpt　from　my　mentary　of　February　13；　2006；　on　SchaeffersResearch　regarding　thisver　story：　
It　is。the　instinctive　wish　of　most　American　businesspeople；　even　those　unlikely　to　be　directly。affected；　that　General　Motors。not　go　bankrupt。　True；　some　people　will　say；　〃They　had　it　ing　to　them；〃　But　the　majority　will　be　more　practical；　telling　themselves。that　the　pany　is。so　central　to　the　economy；　so　sprawling　in　itsmercial　reach；　that　bankruptcy—〃going　into　chapter〃　as。restructuring　folks　say—is。ominous。almost　beyond　contemplation。　And　yet　the　evidence　points；　with　increasing　certitude；　to　bankruptcy。　Rick。Wagoner；　GM's。53…year…old　chairman　and　CEO；　may　say；　as。he　did　in　a　January　interview　with　Fortune　in　his。aerie　of　an　office　high　above　the　Detroit　Rivet；　〃I　know　that　things。will　turn　around；〃　But　he　cannot　know　that。　He　may　not；　deep　down；　even　believe　it　himself；　
—　（“The　Tragedy　of　General　Motors；”　Fortune；　February　20；　2000）　
Schaeffer's。addendum　（February　13；　2006）：　The　words　quoted　above　were　emblazoned　on　the　cover　of　one　of　Americas。most　popular　business　publications。　It　is。the　second　major　negative　piece　on　General　Motors。from　Fortune　in　less。than　a　month　（〃Detroit's。Endless　Winter；”　January　30；　2006）。　
I　point　this。pattern　out　not　to　proclaim　that　GM　does。not　have　the　problems。that　have　been　well　documented　in　the