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Global Futures Speculation Index

This indicator is calculated by simply adding the number of the weekly CBOE equity calls and puts together and dividing the result by the weekly NYSE volume.

Program Trading

Program trading is the purchase or sale of at least 15 different stocks with a total value of $1 million or more. Some of Wall Streets biggest names are the players in this game and they are among others: Merrill Lynch, Bear Stearns, First Boston, Morgan Stanley, Deutsche Bank Sec, and Nomura. There is a bullish tendency in the market whenever the Buy/Sell Ratio of program traders rises above 1,20 on a 4-week moving average. When program trading becomes excessive and accounts for more than about 25% of total volume on a 4-week moving average, the market became vulnerable in the past.

Global Futures Time Premium Index

The Global Futures Time Premium Index is a sentiment indicator. The spread between the S&P 500 cash index and the S&P futures contracts (premium) shows high readings near market tops and low readings near market bottoms. The bold red lines on the chart below show you the futures contracts with the highest and lowest premiums of the last years on a 5-day moving average for comparison (6 months until expiration). If the index (premium of the nearby S&P 500 futures contract on a 5-day moving average) moves close to the upper line or above, bullish sentiment is prevailing which is a bearish indicator. The reverse is true if the index moves near or below the lower line; it shows extreme pessimism by futures traders and indicates bottoms.

Calendar Spread

A good sentiment indicator in the past has been the Calendar Spread . This is the premium spread of the two nearby S&P 500 futures contracts (for instance the difference between the June SP and September SP contracts on a 5- day moving average). It shows if futures traders are extremely bearish or bullish. When speculation peaked in June 2000 and everybody was bullish, this indicator was as high as 23!

This index is simply calculated by subtracting the daily or weekly odd-lot sales from the daily or weekly odd-lot purchases. A 10-period moving average is applied to smooth out the swings. High readings appear near market tops and minus readings near bottoms. Introduced by Wall Street Courier, the Odd -Lot Differential Index indicates the market sentiment of small investors who purchase less than 100 shares of a stock. These market participants are usually wrong about the direction of the market and this indicator is therefore considered to be a contrary opinion sentiment indicator.