The ISE Sentiment Index is a unique put/call value that only uses opening long customer transactions to calculate bullish/bearish market direction. Opening long transactions are thought to best represent market sentiment because investors often buy call and put options to express their actual market view of a particular stock. Market maker and firm trades, which are excluded, are not considered representative of true market sentiment due to their specialized nature. As such, the ISEE calculation method allows for a more accurate measure of true investor sentiment than traditional put/call ratios.
Because of this distinctive calculation methodology, ISEE has been referenced by The Wall Street Journal, Barron’s and other leading publications as a useful investment tool. Investors and investment professionals can use this unique put/call value to determine how other investors view stock prices, as well as to supplement and validate their own market views.
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ISEE is computed by dividing opening long call options bought by customers by opening long put options bought by customers.
|The index is then expressed as above 100 or below 100.|
|ISEE > 100|
|More customers have opened long call options than put options. Call options increase in value when the underlying stock price increases.|
|ISEE < 100|
|More customers have opened long put options than call options. Put options increase in value when the underlying stock price decreases.|
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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.
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.
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.
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.
Yes, all subsequent intra-day calculations use the cumulative number of trades for all calls and all puts to open.
The 10-, 20-, and 50-day moving averages are updated once a day.
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.
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.”
There are no subscription fees for the intra-day or historical ISEE data.
End of day historical values are available by clicking on the download arrow above the chart.
Historical ISEE values are available going back to April 2002.
We provide end of day ISEE values for individual securities for free by submitting a request for a FTP account to firstname.lastname@example.org.
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.
For all other questions please send an email to email@example.com. Inquiries are responded to within 24 hours.
For more information about ISEE Index, please contact our Market Data team.