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Put/Call ratio and Fundamental Factor Model

Amir Yousefi

Joined
7/22/12
Messages
14
Points
13
I am trying to build a fundamental model using put call ratio as a factor.

What i am trying to figure out is that is it better to use lagged data or current data?
What is the best time horizon to pick for maximizing put/call explanatory power?

wondered if someone had a similar experience or might have any comments.


Thank you
 
i'd go with lagged data as it seems to be some correlation between yesterday's prices and today's prices.

time horizon? definitely 2008 onwards.
 
James Ma said:
i'd go with lagged data as it seems to be some correlation between yesterday's prices and today's prices.

time horizon? definitely 2008 onwards.
Click to expand...

I meant for which time horizon, this ratio has its best explanatory power?
also all I could pull out of bloomberg was a single date put and call volume of trades?
does anyone know any "fields" for downloading the total volume of put & call for a specific expiry date out of Bloomberg?
 
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