Is ISEE an option trading tool?
Are these sentiment values calculated in real time?
Are the updated sentiment values cumulative?
How often are the moving averages updated?
How do I interpret this data?
What are the new values on the website?
Is there a subscription fee for ISEE?
How can I download historical sentiment values for further analysis?
How much historical data is available for downloading?
Other questions and requests
What is the ISE Sentiment Index (ISEE)?
ISEE is an indicator of bullish/bearish investor sentiment that is computed using a unique calculation methodology and proprietary ISE option trade data. Unlike traditional put/call ratios, ISEE is based on opening long customer transactions only. Trades by market makers and firms are excluded as these tend to skew sentiment value. As a result, ISEE provides a more accurate reflection of true investor sentiment. For more details on our calculation methodology, please click on the “Details” tab.What is the formula used to calculate sentiment? ISEE is computed by dividing opening long call options by opening long put options and multiplying by 100. For example, if 5,000 call options to open traded and 2,000 put options to open traded, the sentiment value would be 250.
Is ISEE an option trading tool?
Although the index value is calculated using option volume, the value is actually a bullish/bearish indicator of the underlying security so the values are useful to equities and options investors and traders.
Are these sentiment values calculated in real time?
The intra-day values are updated automatically every 20 minutes. The approximate times that the new values can be retrieved: 10 minutes, 30 minutes and 50 minutes after the hour.
Are the updated sentiment values cumulative?
Yes, all subsequent intra-day calculations use the cumulative number of trades for all calls and all puts to open.
How often are the moving averages updated?
The 10-, 20-, and 50-day moving averages are updated once a day.
How do I interpret this data?
Based on our unique formula for calculating sentiment, a very low sentiment value indicates that more opening long put positions are being established and a very high sentiment value indicates that more opening long call positions are being established. Long positions of call options to open are generally viewed as a bullish transaction and long positions of put options are generally viewed as a bearish transaction. Therefore, a higher ISEE value represents more bullish sentiment for the underlying security and a lower ISEE value represents a more bearish sentiment for the underlying security.
What are the new values on the website?
Previously the ISEE Index only provided a single value of investor sentiment for the entire market. Now we also provide a separately calculated sentiment value for “Equities Only” and “Indices & ETFs Only.”
ISEE values use a unique calculation that requires proprietary trade data. Where the traditional P/C ratio makes no distinction as to the type of the trade, we only use "Customer" opening long positions in our ISEE calculation. In case you are not familiar, the option exchanges recognize three types of trades: market maker (MM), firm and customer trades. The MM’s job is to provide liquidity, so they tend to be indifferent as to the direction of the underlying security and their trades are not likely to represent bullish or bearish sentiment. Firm trades, which include proprietary desks, tend to execute strategies that make it difficult to detect whether they are long/short or bullish/bearish on a particular security. Customer opening long purchases of calls and puts tend to indicate whether they may be bullish or bearish. A Customer purchasing an opening long call is generally bullish and a customer purchasing an opening long put is generally bearish. We believe that customer trades provide a more accurate representation of true investor sentiment.
Other questions and requests
For all other questions please send email to marketdata@ise.com. Inquiries are responded to within 24 hours.