| Long | Short | Diff | ||||
| 本日合計 | 23234 | 27867 | S_4633 | |||
| 上日合計 | 23630 | 28890 | S_5260 | |||
| Diff | -396 | -1023 | -627 |
2011年12月2日星期五
CBOE December 02, 2011
CBOE Market Summary for Friday, December 02, 2011
| Ratios | ||||
| Total Put/Call Ratio | 0.98 | |||
| Index Put/Call Ratio | 1.34 | |||
| Equity Put/Call Ratio | 0.59 | |||
| CBOE Volatility Index (VIX) Put/Call Ratio | 0.61 | |||
| CBOE Volatility Index Options - (VIX) | ||||
| Call | Put | Total | ||
| Volume | 228,624 | 139,526 | 368,150 | |
| Open Interest | 2,157,237 | 1,816,795 | 3,974,032 | |
| High | Low | Close | Change | |
| Level | 27.62 | 25.29 | 27.52 | 0.11 |
| S&P 500 Index - (SPX) | ||||
| Call | Put | Total | ||
| Volume | 279,463 | 465,757 | 745,220 | |
| Open Interest | 6,101,875 | 9,853,340 | 15,955,215 | |
| High | Low | Close | Change | |
| Level | 1,260.08 | 1,243.35 | 1,244.28 | -0.30 |
| Dow Jones Industrial Average Index - (DJX) | ||||
| Call | Put | Total | ||
| Volume | 5,207 | 2,625 | 7,832 | |
| Open Interest | 201,605 | 153,576 | 355,181 | |
| High | Low | Close | Change | |
| Level | 121.47 | 120.08 | 120.19 | -0.01 |
2011年12月1日星期四
股指期貨 01 Dec 2011
| Long | Short | Diff | ||||
| 本日合計 | 23630 | 28890 | S_5260 | |||
| 上日合計 | 24105 | 29225 | S_5120 | |||
| Diff | -475 | -335 | +140 |
CBOE December 01, 2011
CBOE Market Summary for Thursday, December 01, 2011
| Ratios | ||||
| Total Put/Call Ratio | 0.94 | |||
| Index Put/Call Ratio | 1.18 | |||
| Equity Put/Call Ratio | 0.65 | |||
| CBOE Volatility Index (VIX) Put/Call Ratio | 0.72 | |||
| CBOE Volatility Index Options - (VIX) | ||||
| Call | Put | Total | ||
| Volume | 180,636 | 130,704 | 311,340 | |
| Open Interest | 2,139,664 | 1,735,365 | 3,875,029 | |
| High | Low | Close | Change | |
| Level | 27.89 | 26.64 | 27.41 | -0.39 |
| S&P 500 Index - (SPX) | ||||
| Call | Put | Total | ||
| Volume | 308,980 | 477,368 | 786,348 | |
| Open Interest | 5,978,280 | 9,740,683 | 15,718,963 | |
| High | Low | Close | Change | |
| Level | 1,251.09 | 1,239.73 | 1,244.58 | -2.38 |
| Dow Jones Industrial Average Index - (DJX) | ||||
| Call | Put | Total | ||
| Volume | 877 | 3,275 | 4,152 | |
| Open Interest | 202,133 | 152,864 | 354,997 | |
| High | Low | Close | Change | |
| Level | 120.62 | 119.75 | 120.20 | -0.26 |
2011年11月30日星期三
CBOE November 30, 2011
CBOE Market Summary for Wednesday, November 30, 2011
| Ratios | ||||
| Total Put/Call Ratio | 0.91 | |||
| Index Put/Call Ratio | 1.22 | |||
| Equity Put/Call Ratio | 0.55 | |||
| CBOE Volatility Index (VIX) Put/Call Ratio | 0.42 | |||
| CBOE Volatility Index Options - (VIX) | ||||
| Call | Put | Total | ||
| Volume | 314,859 | 132,740 | 447,599 | |
| Open Interest | 2,021,733 | 1,708,548 | 3,730,281 | |
| High | Low | Close | Change | |
| Level | 28.50 | 27.03 | 27.80 | -2.84 |
| S&P 500 Index - (SPX) | ||||
| Call | Put | Total | ||
| Volume | 303,182 | 706,361 | 1,009,543 | |
| Open Interest | 5,927,448 | 9,655,751 | 15,583,199 | |
| High | Low | Close | Change | |
| Level | 1,247.11 | 1,196.72 | 1,246.96 | 51.77 |
| Dow Jones Industrial Average Index - (DJX) | ||||
| Call | Put | Total | ||
| Volume | 12,482 | 7,076 | 19,558 | |
| Open Interest | 193,699 | 149,432 | 343,131 | |
| High | Low | Close | Change | |
| Level | 120.46 | 115.60 | 120.46 | 4.90 |
2011年11月29日星期二
CBOE November 29, 2011
CBOE Market Summary for Tuesday, November 29, 2011
| Ratios | ||||
| Total Put/Call Ratio | 0.97 | |||
| Index Put/Call Ratio | 1.40 | |||
| Equity Put/Call Ratio | 0.63 | |||
| CBOE Volatility Index (VIX) Put/Call Ratio | 0.62 | |||
| CBOE Volatility Index Options - (VIX) | ||||
| Call | Put | Total | ||
| Volume | 86,534 | 53,375 | 139,909 | |
| Open Interest | 2,000,121 | 1,701,329 | 3,701,450 | |
| High | Low | Close | Change | |
| Level | 32.02 | 30.56 | 30.64 | -1.49 |
| S&P 500 Index - (SPX) | ||||
| Call | Put | Total | ||
| Volume | 200,642 | 414,480 | 615,122 | |
| Open Interest | 5,928,312 | 9,593,861 | 15,522,173 | |
| High | Low | Close | Change | |
| Level | 1,203.67 | 1,191.80 | 1,195.19 | 2.64 |
| Dow Jones Industrial Average Index - (DJX) | ||||
| Call | Put | Total | ||
| Volume | 2,850 | 2,401 | 5,251 | |
| Open Interest | 192,154 | 147,377 | 339,531 | |
| High | Low | Close | Change | |
| Level | 116.24 | 115.17 | 115.56 | 0.33 |
股指期貨 2011 Nov 29
IFC Dec
| Long | Short | Diff | ||||
| 本日合計 | 26292 | 32382 | S_6090 | |||
| 上日合計 | 26111 | 31442 | S_5331 | |||
| Diff | +181 | +940 | +759 |
CBOE Market Summary for Monday, November 28, 2011
| Ratios | ||||
| Total Put/Call Ratio | 0.89 | |||
| Index Put/Call Ratio | 1.17 | |||
| Equity Put/Call Ratio | 0.65 | |||
| CBOE Volatility Index (VIX) Put/Call Ratio | 0.32 | |||
| Sum of All Products | ||||
| Call | Put | Total | ||
| Volume | 1,598,160 | 1,423,630 | 3,021,790 | |
| Open Interest | 162,092,177 | 148,993,348 | 311,085,525 | |
| CBOE Volatility Index Options - (VIX) | ||||
| Call | Put | Total | ||
| Volume | 139,142 | 44,621 | 183,763 | |
| Open Interest | 2,005,926 | 1,690,982 | 3,696,908 | |
| High | Low | Close | Change | |
| Level | 33.11 | 29.47 | 32.13 | -2.34 |
| S&P 500 Index - (SPX) | ||||
| Call | Put | Total | ||
| Volume | 144,260 | 390,236 | 534,496 | |
| Open Interest | 5,888,619 | 9,462,169 | 15,350,788 | |
| High | Low | Close | Change | |
| Level | 1,197.35 | 1,158.67 | 1,192.55 | 33.88 |
| Dow Jones Industrial Average Index - (DJX) | ||||
| Call | Put | Total | ||
| Volume | 3,151 | 1,937 | 5,088 | |
| Open Interest | 191,534 | 147,338 | 338,872 | |
| High | Low | Close | Change | |
| Level | 115.62 | 112.32 | 115.23 | 2.91 |
| Russell 2000 Index - (RUT) | ||||
| Call | Put | Total | ||
| Volume | 12,822 | 15,856 | 28,678 | |
| Open Interest | 283,453 | 406,438 | 689,891 | |
| High | Low | Close | Change | |
| Level | 698.18 | 677.82 | 697.90 | 31.74 |
Complete List Of European Sovereign Events Through The End Of 2011
29 November: German Constitutional Court to rule on EFSF amendment law. Several weeks ago the Constitutional Court imposed a temporary injunction on Germany’s EFSF amendment law, overruling the government’s proposed 9-person parliamentary committee for taking rapid action decisions on EFSF deployment. If this ruling is upheld, the government will have to table an amendment and vote it through. We view this as technical only and do not anticipate problems. The 41-person parliamentary budget committees will make the decisions instead. This will be slightly less efficient.
29 November: Italy auction. Bonds.
29 November: Belgium auction. Bills.
29 November: Portuguese Budget. The final vote on the 2012 budget is due in parliament.
29-30 November: Eurogroup/ECOFIN Finance Ministers meetings. As of now, this is the last scheduled EU finance ministers meeting of 2011. On the formal agenda are bank capital requirements and the 9 December European Council meeting, specifically as regards economic policy.
December
December (tbd): New Greek loan programme to be approved. The 26 October statement from the European Council (heads of state) claimed the new loan programme would be approved by the end of the year and the bond exchange would take place at the beginning of 2012.
1 December: Draghi at European Parliament. ECB President Mario Draghi will present the 2010 ECB Annual Report to the European Parliament. This will be an opportunity to listen to the new ECB President’s views on the crisis, its resolution and the role the ECB can play.
1 December: Greek strike. The ADEDY and GSEE union bodies will hold the latest 24-hour strike against austerity measures.
1 December: Spain auction. Bonds.
1 December: France auction. Bonds.
2 December: Anglo-French summit. French President Sarkozy and British PM Cameron to hold annual summit meeting.
3 December: Greek budget. Discussion of 2012 Budget in parliament.
4 December: Slovenian parliamentary elections. After the defeat of the centre-left coalition, led by the Social Democrats (SD), in a confidence vote in September, opinion polls indicate a race between the centre-right Slovenian Democratic Party (SDS), under the previous PM Janez Jansa, and two new parties: a centre-left party led by the mayor of Ljubljana, and a centrist party (Citizens' List) led by Gregor Virant, a former SDS minister of public administration. Virant who turns out second after SDS in most polls suffered a setback this week. It became public that he received unemployment compensation available to former ministers in the year after his term, despite earning a substantial income from consulting and lecturing. Although he redeemed extra payments immediately and legal consequences seem unlikely, his party may lose ground and put SDS in a clear lead. Election campaigns are dominated by domestic issues as Slovenia faces pressing structural reforms and a very weak recovery. High corporate indebtedness and sluggish growth weigh on the domestic banking sector. After recording a loss of EUR 113.9 m during the first 9 months of 2011 the largest domestic bank is heading for a third year of losses. It is under pressure to raise fresh capital and aims to collect EUR 400 m until early 2012. If private sources remain closed it may have to resort to the government which already holds a 45% share in the bank. Despite a general public sentiment opposing bail-outs in Europe, the country's weakness make open political opposition to closer European corporation unlikely
5 December: France auction. Bills.
6 December: Ireland’s 2012 Budget to be presented in parliament. The prior planned EUR3.6bn adjustment has increased to EUR3.8bn according to recent press reports, including a 2% increase in the standard VAT rate to 2%, a flat rate EUR100 household levy, but no income tax hikes. Revenue increases would yield EUR1.6bn. The majority of the fiscal manoeuvre will come from spending cuts.
7 December: Greek budget. Vote on 2012 Budget.
7-8 December: EU conservative party leaders meeting. Sarkozy, Merkel as well as the heads of Finland and Ireland, among others, will attend.
7 December: Portugal auction. Bills.
8 December: ECB Governing Council meeting. We expect the next rate cut to 1.0% to come in January, but the risk of back-to-back cuts, with the second cut in December already, cannot be ruled out given the speed at which the data flow is deteriorating. Updated staff macroeconomic projections will be published, including 2013 numbers for the first time.
9 December: European Council summit. The EU leaders will be due to hold their final scheduled summit meeting of 2011. EU President Herman Van Rompuy is expected to deliver proposals on limited EU Treaty change. These changes will most likely address Economic Policy Coordination (Articles 120 to 126 TFEU). One key element could be a closer monitoring of national fiscal policies by the European Commission.
12 December: Italy auction. Bills.
12 December: France auction. Bills.
13 December: Spanish parliament reconvenes.
13 December: Greece auction. Bills.
13 December: Spain auction. Bills.
14 December: Italy auction. Bonds.
14 December: Spain auction. Bonds.
15 December: France auction. Bonds.
20 December: Greece auction. Bills.
20 December: ECB longer term refinancing operations (LTROs) announcement date. This is the second of the two LTROs announced by the ECB on 6 October, this will have a maturity of approximately 13 months, to be conducted in December 2011. The allotment date is 21 December. The operations will be conducted as fixed rate tender procedures with full allotment.
21 December: Portugal auction. Bills.
24 December: Spain auction. Bills.
27 December: France auction. Bills.
28 December: Italy auction. Bills.
29 December: Italy auction. Bonds.
19-31 December: Greek redemptions. E8.1bn of Greek government debts are due with E5.2bn consisting of a 3-year, zero-coupon special bond issued by the Hellenic Republic to support the liquidity of Greek banks (Law 3723/2008) in Dec 2008 (lending facility to draw liquidity from the ECB). These securities are not payable by the Greek state hence not include in public debt (or PSI v1). Therefore the true financing need from bond redemptions is E2.8bn (E8.1bn less E5.2bn).
29 November: Italy auction. Bonds.
29 November: Belgium auction. Bills.
29 November: Portuguese Budget. The final vote on the 2012 budget is due in parliament.
29-30 November: Eurogroup/ECOFIN Finance Ministers meetings. As of now, this is the last scheduled EU finance ministers meeting of 2011. On the formal agenda are bank capital requirements and the 9 December European Council meeting, specifically as regards economic policy.
December
December (tbd): New Greek loan programme to be approved. The 26 October statement from the European Council (heads of state) claimed the new loan programme would be approved by the end of the year and the bond exchange would take place at the beginning of 2012.
1 December: Draghi at European Parliament. ECB President Mario Draghi will present the 2010 ECB Annual Report to the European Parliament. This will be an opportunity to listen to the new ECB President’s views on the crisis, its resolution and the role the ECB can play.
1 December: Greek strike. The ADEDY and GSEE union bodies will hold the latest 24-hour strike against austerity measures.
1 December: Spain auction. Bonds.
1 December: France auction. Bonds.
2 December: Anglo-French summit. French President Sarkozy and British PM Cameron to hold annual summit meeting.
3 December: Greek budget. Discussion of 2012 Budget in parliament.
4 December: Slovenian parliamentary elections. After the defeat of the centre-left coalition, led by the Social Democrats (SD), in a confidence vote in September, opinion polls indicate a race between the centre-right Slovenian Democratic Party (SDS), under the previous PM Janez Jansa, and two new parties: a centre-left party led by the mayor of Ljubljana, and a centrist party (Citizens' List) led by Gregor Virant, a former SDS minister of public administration. Virant who turns out second after SDS in most polls suffered a setback this week. It became public that he received unemployment compensation available to former ministers in the year after his term, despite earning a substantial income from consulting and lecturing. Although he redeemed extra payments immediately and legal consequences seem unlikely, his party may lose ground and put SDS in a clear lead. Election campaigns are dominated by domestic issues as Slovenia faces pressing structural reforms and a very weak recovery. High corporate indebtedness and sluggish growth weigh on the domestic banking sector. After recording a loss of EUR 113.9 m during the first 9 months of 2011 the largest domestic bank is heading for a third year of losses. It is under pressure to raise fresh capital and aims to collect EUR 400 m until early 2012. If private sources remain closed it may have to resort to the government which already holds a 45% share in the bank. Despite a general public sentiment opposing bail-outs in Europe, the country's weakness make open political opposition to closer European corporation unlikely
5 December: France auction. Bills.
6 December: Ireland’s 2012 Budget to be presented in parliament. The prior planned EUR3.6bn adjustment has increased to EUR3.8bn according to recent press reports, including a 2% increase in the standard VAT rate to 2%, a flat rate EUR100 household levy, but no income tax hikes. Revenue increases would yield EUR1.6bn. The majority of the fiscal manoeuvre will come from spending cuts.
7 December: Greek budget. Vote on 2012 Budget.
7-8 December: EU conservative party leaders meeting. Sarkozy, Merkel as well as the heads of Finland and Ireland, among others, will attend.
7 December: Portugal auction. Bills.
8 December: ECB Governing Council meeting. We expect the next rate cut to 1.0% to come in January, but the risk of back-to-back cuts, with the second cut in December already, cannot be ruled out given the speed at which the data flow is deteriorating. Updated staff macroeconomic projections will be published, including 2013 numbers for the first time.
9 December: European Council summit. The EU leaders will be due to hold their final scheduled summit meeting of 2011. EU President Herman Van Rompuy is expected to deliver proposals on limited EU Treaty change. These changes will most likely address Economic Policy Coordination (Articles 120 to 126 TFEU). One key element could be a closer monitoring of national fiscal policies by the European Commission.
12 December: Italy auction. Bills.
12 December: France auction. Bills.
13 December: Spanish parliament reconvenes.
13 December: Greece auction. Bills.
13 December: Spain auction. Bills.
14 December: Italy auction. Bonds.
14 December: Spain auction. Bonds.
15 December: France auction. Bonds.
20 December: Greece auction. Bills.
20 December: ECB longer term refinancing operations (LTROs) announcement date. This is the second of the two LTROs announced by the ECB on 6 October, this will have a maturity of approximately 13 months, to be conducted in December 2011. The allotment date is 21 December. The operations will be conducted as fixed rate tender procedures with full allotment.
21 December: Portugal auction. Bills.
24 December: Spain auction. Bills.
27 December: France auction. Bills.
28 December: Italy auction. Bills.
29 December: Italy auction. Bonds.
19-31 December: Greek redemptions. E8.1bn of Greek government debts are due with E5.2bn consisting of a 3-year, zero-coupon special bond issued by the Hellenic Republic to support the liquidity of Greek banks (Law 3723/2008) in Dec 2008 (lending facility to draw liquidity from the ECB). These securities are not payable by the Greek state hence not include in public debt (or PSI v1). Therefore the true financing need from bond redemptions is E2.8bn (E8.1bn less E5.2bn).
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