股票期货突破技术分析(英文原版)-第21章

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pect　the　same　rundown　that　the　United　States。had　experienced　between　1929　and　1932。　The　American　market　had　run　up　95　points。in　ninety…five　days。to　top　out　on　September　3；　1929；　then　it　ran　down　for　a　period　of　1；039　days。to　July　8；　1932。　According　to　what　I　had　learned　from　Gann's。book；　when　the　Japanese　market　topped　on　December　27；　1989；　it　seemed　to　make　sense　that　the　Japanese　market　would　not　bottom　out　until　sometime　around　October　31；　1992。　
I　did　not　trade　either　side　of　my　call　on　the　Nikkei　225　Stock。Average。　But　I　overlaid　the　1929　weekly　chart　of　the　Dow　Jones。Industrial　Average　with　the　1989　chart　of　the　Nikkei；　shown　in　Figure　6。6。　In　real　time；　the　Nikkei　ran　down　for　966　days。to　bottom　out　on　August　19；　1992；　whereas。the　Dow　ran　down　for　1；039　days。in　1932。　The　relevance　of　all　this。bees。apparent　when　you　look　at　the　overlaid　charts。　
The　Theory　in　Practice　
Let's。take　this。theory　a　little　further　and　see　what　economic。advantages。we　can　derive　from　some　of　this。knowledge。　From　1998；　under　doctor’s。orders；　I　needed　to　ration　my　time　and　spend　less。time　working。　I　had　been　publishing　forecasts　since　1988。　Often　this。included　drawing　up　road　maps。for　the　stock。market。　Now　that　I　had　some　time　on　my。hands；　I　decided　to　focus。on　an　aspect　that　had　interested　me—an　analysis。of　cycles。in　the　history　of　the　twentieth　century—using　my　own　methods。and　in　my　own　time。　The　results　are　astounding。　
I　participated　in　a　worldwide　traders。teleconference　on　September　7；　2002；　which　involved　approximately　500　traders。　I　spent　about　an　hour　and　a　half　answering　questions。　Early　in　the　conference；　I　was。asked　by　one　trader　where　I　believed　the　next　pressure　point　would　be　on　the　road　map。　The　first　pressure　point　I　mentioned　was。July　28；　2004。　I　also　said　there　was。a　pressure　point　somewhere　around　August　2…5；　2004。　I　based　this。on　historical　war　dates。and　the　fact　that　2001　was。an　election　year　in　the　United　States。　
In　November　2002　and　again　in　2003；　I　was。guest　speaker　at　the　annual　traders'　conference　run　in　Sydney　by　Hubb　Limited；　a　trading　software　developer　who　was。granted　a　license　to　sell　my　courses。after　I　retired　in　2001。　At　these　seminars；　I　mentioned　the　date　of　May　17；　2004；　as。a　major　pressure　point　on　the　stock。market　and　referred　to　this。and　the　previous。pressure　points。I'd　mentioned　as。“war　dates”。　This。took　place　years。after　I　had　pleted　my　final　Safety　in　the　Market　trading　seminar；　and　the　dates。were　based　on　the　research　I　wasnducting　on　the　history　of　the　twentieth　century。　
The　first　week。of　August　has。often　been　a　critical　day　in　world　history—and　so　it　has　been　a　significant　week。for　the　stock　market。　On　July　31；　1914；　the　London　and　New　York　stock。exchanges。closed　to　avoid　panic。trading。　That　was。almost　the　case　again　in　2001；　when　an　immediate　security　clampdown　occurred　in　New　York。and　Washington　on　August　2；　2004。　The　buildings。affected　were　the　New　York。Stock。Exchange　and　Citigroup　Center　in　New　York。as。well　as。the　World　Bank。and　the　International　Monetary　Fund　in　Washington。　Britain　declared　war　on　Germany　on　Tuesday；　August　4；　1914。　The　United　States　dropped　the　first　atomic。bomb　on　Japan　on　August　6；　1945。　（It　had　been　scheduled　to　be　dropped　on　August　3。）　On　August　1；　1941；　President　Roosevelt　stopped　the　export　of　oil　and　aviation　fuel　from　the　United　States。to　Japan。　Japan　had　the　choice　of　either　changing　its。foreign　policy　or　gaining　access。to　the　East　Indies。oil　by　force。　On　August　2　and　5；　1964；　two　U。S。　destroyers。were　attacked　in　the　Gulf　of　Tonkin；　and　they　in　turn　sank。two　North　Vietnamese　patrol　boats—leading　the　United　States。into　the　Vietnam　War。　
To　fully　illustrate　the　scope　of　the　pattern；　I　would　need　to　trace　early…August　events。through　the　whole　century　and　give　you　the　time　frames；　but　I　think。I've　made　the　point。　Here　is。the　main　thrust：　Britain　entered　World　War　I　
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CHAPTER　7　
Options…Based　Technical。Indicators　for　Stock　Trading　
BERNIE　SCHAEFFER　
Equity　options。have　e　a　long　way　since　they　were　first　listed　on　exchanges。in　1973。　Beyond　the　explosive　growth　in　the　volume　of　options。trading　during　this。period；　which　speaks。for　itself；　options。have　bee　a　risk…management　tool　as。well　as。a　tool　for　speculation　for　a　broad　spectrum　of　market　players；　from　modestly　capitalized　individual　investors。to　hedge　funds。　
In　basic。terms；　the　world　of　listed　optionsnsists。of　call　options。and　put　options。　The　buyer　of　an　equity　call　option　has。the　right　but　not　the　obligation　to　buy　shares。of　a　pany；　referred　to　as。the　underlying　stork；　at　a　specified　price　（called　the　strike　price）　for　a　specific。period　of　time；　at　the　end　of　which　the　option　“expires”。　The　call　option　buyers。are　bullish—they're　hoping　to　profit　from　a　rise　in　the　stock。price　over　the　life　of　the　option。　

Why　Options？　
Why　would　a　bullish　investor　choose　to　pay　for　a　call　option　with　a　limited　life　instead　of　buying　the　underlying　stock？　The　short　answer　is。leverage—the　ability　to　participate　in　the　upside　movement　in　the　underlying　stock。for　a　relatively　small　initial　investment。　The　price　of　a　call　option　is。most　dependent　on　the　price　of　the　underlying　stock。relative　to　the　strike　price；　the　stock's。volatility；　and　the　amount　of　time　remaining　until　the　option　expires。　But　in　all　cases；　the　call　option　price　will　be　a　fraction　of　the　stock。price；　and　in　many　cases；　this　fraction　will　be　very　small　indeed。　
To　illustrate；　lets。assume　Stock　A；　which　does。not　pay　a　dividend；　is。currently　trading　for　50　and　an　investor　is。expecting　the　stock。to　move　to　60　during　the　next　three　months。　If　the　annualized　volatility　of　the　stock　is。25　percent—typical　of　many　of　the　blue　chips—a　three…month　call　option　with　a　strike　price　of　50　will　trade　for　about　5　percent　of　the　share　price；　or　2。50　in　this。case。　If　the　stock。should　in　fact　reach　60　by　the　time　this。call　option　expires。in　three　months；　the　50…strike　call　option　will　have　a　value　of　10　in　the　listed　options。market。　
So；　in　this。case；　the　call　option　will　have　quadrupled　from　2。50　to　10　on　a　move　by。the　underlying　from　50　to　60；　and　thus。a　gain　of　300　percent　could　have　been　realized　by　the　option　buyer　on　just　a　20　percent　gain　in　the　stock。　And　the　leverage　in　this。case　would　have　been　15　to　1　（300　percent/20　percent）。　Put　another　way；　the　option　holder　achieved　a　profit　of　7。50　with　an　investment　of　just　2。50；　whereas。the　10　gain　realized　by　the　stock。holder　required　a　50　investment。　
Needless。to　say；　the　scenario　described　above　was。on　the　best…case　end　of　the　spectrum　for　the　call　option　buyer。　Note；　for　example；　that　if　the　stock。does。not　rise　above　50　during　the　life　of　the　option　and　the　position　is。held　until　expiration；　the　call　buyer　will　lose　100　percent　of　his。investment。　And　in　the　case　of　the　on…the…money　option—when　the　stock。price　is。equal　to　the　strike　price—such　total　losses。can　be　expected　to　occur　50　percent　of　the　time。　
Based　on　this。quick。risk…reward　profile；　one　can　reasonably　conclude　that　call　option　buyers。（those　who　are　said　to　have　long　call…option　positions）　are　rather　aggressively　bullish　in　the　pursuit　of　leveraged　profits—bullish　enough　to　be　risking　a　total　loss。of　their　investment　if　they're　wrong。　
The　buyer　of　an　equity　put　option；　however；　has。the　right　but　not　the　obligation　to　sell　a　stock。at　a　specified　price　（the　strike　price）　for　a　specific。period　（at　the　end　of　which　the　option　expires）。　The　put　option　buyer　is。as。aggressively　bearish　as。the　call　option　buyer　is。aggressively　bullish。　
So　in　its。purest　form；　the　options。world　consists。of　two　constituencies：　the　aggressively。bullish　call　option　buyer　and　the　aggressively。bearish　put　option　buyer。　In　addition；　the　listed　options。market　provides。a　treasure　trove　of　information　about　the　activity　of　call　and　put　buyers。in　each　of　the　thousands。of　underlying　stocks。on　which　options。are　traded。　Trading　volume　data　are　available　for　calls。and　for　puts；　as。well　as。option　open　interest；　which　represents。the　number　of　option　contracts。open　at　any　time。　
Gauging。Investor　Sentiment　
It　should　be　no　surprise；　therefore；　that　technical　and　quantitative　analysts。have　made　ongoing　efforts。over　the　years。to　measure　the　relative　intensity　of　put　and　call　activity　as　a　gauge　of　the　sentiment　of　aggressive　investors。　Stocks。on　which　these　investors。are　very。bullish—as。indicated　by　greater　call　activity　than　put　activity—could　be　deemed　byntrarians　to　be　vulnerable。　An　excess。of　bullish　options。sentiment　could　be　an　indication　of　investor　exuberance　and　overmitment；　and　the　resulting　dearth　of　sideline　buying　power　could　pave　the　way　for　a　major　pullback。　Similarly；　stocks。on　which　investors。are　very。bearish—as。indicated　by　greater　put　activity　than　call　activity—could　have　significant　upside　potential。　An　excess。of　bearish　options。sentiment　could　indicate　investor　pessimism　and　capitulation；　and　the　resulting　buildup　of　sideline　buying　power　could　pave　the　way。for　a　major　rally。　
Surprisingly；　the　focus　on　put　and　call　option　activity　over　the　years。has。been　pretty　well　restricted　to：　
1。　
Aggregate　options。data　across。all　equities。rather　than　an　equity…by…equity。analysis。　A　seriesmonly　quoted　by　analysts。is。the　“CBOE　Equity　Put/Call　ratio”　which　represents。the　trading　volume　of　all　puts　and　calls　listed　on　the　Chicago　Board　Options　Exchange。　This。aggregation　of　equity　options　data　may　have　made　sense　decades。ago；　when　few　individual　equities。had　robust　markets。in　their　options。　But　these　days。there　are　many　equities。with　options。that　trade　thousands。of　contracts。each　day　and　with　option　open　interest　equivalent　to　millions。of　shares。of　stock。　

2。　
Option　volume；　as　opposed　to　open　interest。　Option　open　interest　is。a　much　more　stable　series。than　option　volume。　Option　volume　can　vary　very　significantly　from　day　to　day；　whereas。open　interest　adjusts。incrementally　each　day　based　on　the　number　of　positions　that　were　opened　or　closed　the　day　before。　In　addition；　option　volume　can　be　subject　to　all　manner　of　intraday　〃noise〃；　including　the　activities。of　day　traders　who　hold　no　position　at　the　end　of　the　day。　


Schaeffer's　Open。Interest　Ratio　
Schaeffer's。Investment　Research　has。attacked　the　deficiencies。of　traditional　put/call　ratio　analysis。on　each　of　these　two　fronts。by　developing　a　ratio　of　put　open　interest　to　call　open　interest　for　even　optionable　stock。　This。ratio　is。referred　to　as。the　SOIR　（Schaeffer's　Open　Interest　Ratio）；　and　it　is。updated　daily　in　the　data　presented　on　SchaeffersResearch；　as。well　as。for　the　pany's。internal　analysis。　A　graph　of　the　SOIR　can　tell　a　very。interesting　story　of　the　option　trader　sentiment　toward　a　particular　equity；　and　this。unique　perspective　can　add　considerable　value　to　an　analysis。of　a　stock's。technical　picture。　Before　delving　into　some　pelling　examples。of　SOIR　analysis；　consider　the　potential　pitfalls。of　this。approach。　
Again；　in　its。purest　form　the　options。world　consists。of　two　constituencies：　the　aggressively　bullish　call　option　buyer　and　the　aggressively　bearish　put　option　buyer。　For　purposes。of　maximizing　the　value　to　contrarians。of　put/call　ratio　analysis；　there　would　be　another　element　to　this。〃purity；〃　namely；　the　participants。in　the　options