股票期货突破技术分析(英文原版)-第22章

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o　analysis；　there　would　be　another　element　to　this。〃purity；〃　namely；　the　participants。in　the　options。market　would　be　confined　to　relatively　unsophisticated　individual　investors。　In　such　a　pure　options。world；　we　would　know　that　heavy　call　activity　（or　heavy　put　activity）　would　be　the　result　of　a　strongly。
bullish　（or　strongly　bearish）　view　held　by　the　unsophisticated　crowd；　and；　as。such；　traders　should　consider　taking　the　contrarian　approach　of　fading　this。activity。　But　the　real　world　of　options。differs。significantly　from　this。pure　world　that　would　delight　the　contrarian。　
1。　
Options。market　participants。include　professionals。stub　as。large　money　managers　and；　particularly　in　recent　years；　hedge　funds。that　trade　very。actively。　Many　of　these　larger　investors。are　quite　sophisticated　and　have　access。to　valuable　information　well　beyond　the　scope　of　the　smaller　individual　investor。　To　automatically　take　a　position　counter　to　the　option　activity　of　thisntingent　would　be　foolish　indeed。　

2。　
Option　activity。is。by。no　means。always。initiated　by　buyers。　For　example；　there　is。quite　a　large　constituency　that　sells。call　options。against　stock。they　own　as。a　tool　for　generating　additional　ine；　and　others。who　seek。a　similar　objective　by　selling　puts。against　cash。　And　some　traders。sell　uncovered　（or　〃naked〃）　calls；　which　is。a　bearish　bet　that　a　stock。will　not　rise　above　the　call　strike　price。　If　heavy　call　activity　is。the　result　of　a　surge　in　covered　or　naked　call　writing；　it　certainly　would　not　indicate　a　wildly　bullish　investment　view。　

3。　
Option　activity　can　occur　in　conjunction　with　trades。（or　positions）　in　the　underlying　stock。　One　example　would　be　when　a　covered　call　position　is。initiated。　Another　would　be　the　purchase　of　put　options。to　protect　a　long　stock。position　from　a　major　decline；　perhaps。ahead　of　a　critical　earnings。report。　Option　activity　that　results。from　strategies。that　involve　the　underlying　stock。（or　strategies。that　involve　the　buying　and　selling　of　other　options。on　that　stock）　can　dilute　the　value　of　put　call　ratio　analysis。　

4。　
Hedge　funds。in　particular　use　options　as　part　of　〃pairs。trading〃　strategies。　For　example；　a　put　option　on　an　energy　exchange…traded　fund　（ETF）　might　be　purchased　in　conjunction　with　a　long　position　in　Occidental　Petroleum　（OXY）　if　the　manager　feels。that　the　stock。will　outperform　its。sector。　So　the　purchase　of　the　puts。in　this。case　is。not　a　reflection　of　a　bearish　view　on　energy　but　rather　a　hedge　for　a　bullish　view　on　a　particular　energy　stock。　


Considering。the　Extremes　
So　the　perception　of　a　put　call　ratio　as。a　clear　indication　of　the　bullish　（or　bearish）　sentiment　of　a　crowd　of　unsophisticated　traders。is。certainly　a　flawed　one。　But　
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bullish　contrarian　plays。that　is。turbo…charged　from　two　standpoints：　
1。　A　trader　will　bolster　the　effectiveness　of　hisntrarian　conclusion。　The　major　conundrum　of　sentiment　analysis。results。from　situations。in　which　the　sentiment　simplynfirms。the　price　action　in　the　stock。　So　a　stock。that　doubles。in　price　during　a　one…year　period　is。very　likely　to　be　the　object　of　a　fair　amount　of　bullish　sentiment　simply　because　the　gains。it　has　registered　are　likely　to　have　attracted　major　attention　among　investors；　because　everybody　loves。a　winner。　Technical　analysts。will　be　drawn　to　the　stock。based　on　the　notion　that　〃the　trend　is。your　friend〃　and　even　those　with　a　fundamental　bent　will　likely　be　swayed　by　the　strength　in　the　shares。and　will　tend　to　view　the　pany's。prospects。more　positively。　And；　as。technicians。well　know；　such　a　powerful　move　by　a　stock。often　indicates。that　there　have　been　（or　are　about　to　be）　some　major　positive　developments。in　the　pany's　business。　So　the　task　of　the　contrarian　in　these　situations。bees。the　extremely　difficult　one　of　attempting　to　determine　whether　this。bullish　sentiment　has。reached　a　euphoric。extreme　that　indicates。a　serious。depletion　of　sideline　buying　power　and　thus　a　potential　top。　
But　if　a　stock。is。exhibiting　strong　price　action　and　the　sentiment　remains。skeptical　or　outright　bearish；　the　task。for　the　contrarian　is。much　easier。　Bearish　sentiment　bined　with　strong　price　action　is。an　unusual　situation；　indicating　with　great　regularity　that　an　uptrend　in　a　stock。is。relatively。early　in　the　game　because　there　remains。major　sideline　buying　power　that　can　fuel　substantial　additional　gains。　
2。　A　trader　will　have　〃structural　buying〃　working　for　him　because　of　the　buildup　in　put　open　interest　and　its。subsequent　unwinding。　When　puts　are　accumulated　on　a　stock；　those　who　are　on　the　other　side　of　the　trade　（those　who　are　selling　these　puts。to　the　put　buyers）　must　protect　themselves。from　the　open…ended　risk。they'll　incur　should　the　stock　decline　substantially。　And　they　generally　hedge　their　short　put　exposure　by　shorting　the　underlying　stock。　But　should　a　strongly　performing　stockntinue　to　post　outsize　gains；　these　short　positions。will　begin　to　be　covered　as。the　put　buyers。begin　to　capitulate　and　close　their　positions。　And　even　if　the　put　positions。remain　open；　there　will　be　short　covering　because　the　hedgers。need　to　be　short　fewer　and　fewer　shares。as。the　puts。they've　sold　move　farther　and　farther　away　from　the　strike　price　and　（as。time　passes）　thus　have　a　smaller　and　smaller　chance　of　ever　attaining　value。　

Here　are　some　detailed　examples。of　stocks。that　exhibited　outlier　put　open　interest　in　bination　with　strong　price　action。　Figure　7。1　charts。the　price　action　in　AMR　Corporation　（AMR）　along　with　the　50…day　moving　average　of　its。SOIR。　Note　the　powerful　rally　in　AMR　from　late　2004　through　mid…2005；　along　with　the　skeptical　option　trader　sentiment　as。reflected　in　the　50…day　moving　average　of　its　SOIR　as。it　crossed　above　the　1。00　level　（as。indicated　by　the　horizontal　line）。　This。juxtaposition　of　strong　price　action　and　bearish　sentiment　provided　a　very　bullish　backdrop　for　the　shares。during　this　period。　
The　SOIR　line　crossed　with　authority　above　1。00　in　November　2001　and　remained　in　this。zone　until　June　2006。　During　this。period；　AMR　shares。rallied　from　the　9。00　area　to　a　high　of　29。32。　For　more　than　eighteen　months；　while　the　shares　were　more　than　tripling；　skeptical　option　traders。were　accumulating　more　AMR　put　contracts。than　call　contracts。　
In　addition　to　the　bearish　sentiment　of　option　traders；　AMR　was。being　played　very。heavily。on　the　short　side　in　late　2004。　Short　interest　in　excess。of　50　million　shares。equaled　almost　25　percent　of　the　pany's。total　float。　Although　some　of　this。short　interest　could　be　attributed　to　the　heavy　put　option　buying；　there　was。a　clear　overall　pattern　of　negative　expectations　for　AMR　shares。　
When　might　a　technician　have　felt　fortable　with　buying　AMR　as。a　bullish　contrarian　play；　given　this。backdrop　of　bearish　sentiment？　Figure　7。2　charts。the　weekly　price　action　of　AMR　along　with　its。10…week。moving　average　and　provides。a　good　backdrop　for　an　answer。　The　40…week。moving　average　is。a　widely　used　barometer　among　technicians。of　whether　a　stock。is。in　bullish　or　bearish　territory。　

Figure　7。2　indicates。there　were　a　number　of　junctures。in　late　2004　and　early　2005　for　entering　an　AMR　long　position　based　on　a　move　above　the　40…week。moving　average。　Some　of　these　moves。were　followed　by。pullbacks。that　may　have　stopped　the　trader　out；　but　an　entry　in　the　9　to　10　area　in　late　March　2005　or　perhaps。an　entry　in　October　2005　in　the　12　area　on　the　successful　retest　of　the　40…week。would　each　have　been　quite　legitimate。　
Using　a　move　back。below　the　40…week。moving　average　as。an　exit　criterion；　the　trader　would　have　exited　in　July　or　August　2000　in　the　21　to　22　area。　So　a　technician　trading　AMR　off　the　bearish　sentiment　could　have　achieved　something　in　the　area　of　a　double　based　on　a　simple　40…week。moving　average　cross。criterion　for　entry　and　exit。　
Figure　7。3　presents。a　second　example；　which　charts。the　price　action　in　Yahoo！　（YHOO）　along　with　the　50…day　moving　average　of　its。put　call　open　interest　ratio　（SOIR）。　The　SOIR　for　Yahoo！　remained　above　1。00　for　most　of　the　period　from　mid…2003　through　the　end　of　2004；　during　which　the　shares。tripled　from　13　to　30。　This。is　once　again　a　juxtaposition　of　strong　price　action　and　bearish　sentiment；　and　it　provided　a　very　bullish　backdrop　for　Yahoo！　shares。during　this。period。　What's。more；　Yahoo！　was。among　the　most　heavily。shorted　Nasdaq　shares　during　this。period；　with　short　interest　in　the　neighborhood　of　100　million　shares。　
Figure　7。4　charts。the　weekly　price　action　of　Yahoo！　along　with　its。40…week。moving　average　and　shows。the　powerful　uptrend　in　Yahoo！　shares。during　the　entire　period　of　excess。put　activity　from　mid…2003　through　the　end　of　2004。　A　contrarian　trader　could　have　felt　fortable　in　entering　a　long　position　at　the　beginning　of　this。period　and　holding　it　for　the　entire　200　percent　gain；　but　a　few　caveats。are　in　order。　

Note　in　Figure　7；3　that　the　SOIR　for　Yahoo！　did　move　below　1。00　for　several　brief　periods。　And　although　one　could　argue　that　Yahoo！'s　strong　price　action　would　have　been　more　than　sufficient　to　justify　retaining　the　long　position　in　the　shares；　there　was。the　potential　for　a　trader　to　exit　the　position　based　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　tra