Michael S

Testing the S&P 500 vs. OEX Put/Call Strategy

RE to The Whole Picture:

Unfortunately no, the CBOE P/C ratio is very different (includes a lot of options activity outside of the S&P 500). When I had originally done some work on the CBOE ratio a few months back I had concluded it was pretty much junk for the S&P 500, so I was a little surprised to find this nugget on the OEX ratio. Good question. michael

The Markets Are Nocturnal: Daytime vs Overnight Performance

RE to JCCIII - that's correct - the overnight would be from the close to the following day's open and the daytime from the open to the same day's close.