Consecutive-day regimes in the put-call premium ratio

A regime tag before a rule

The option-premium-ratio is the daily ratio of listed-equity put price premiums to listed-equity call price premiums. In the archive workflow, that put-call-ratio is a sentiment and regime marker rather than a stand-alone entry clock.

Option-premium-analysis reads those listed-option price premiums as a market-regime overlay. It places a single industrial-average idea in a volatility, carry, and portfolio-weight context over weeks to months.

Historical premium-regime bands

In the historical window described from 1986, daily readings spanned about 0.03 to 1.74. Outside bear legs and runaway bull legs they stayed between 0.29 and 1.18, with typical central values in the low-to-mid 0.60s.

A premium-regime is whether a streak begins or ends in a historically low, mid, or high band of that ratio. Those bands are the context for the consecutive-day associations that follow.

Ratio streaks as continuation or fade

Four consecutive higher or unchanged ratio days that began between 0.32 and 0.51, and five such days that began between 0.32 and 0.52, were associated with subsequent large industrial-average advances.

Five consecutive higher or unchanged ratio days that began above 0.55 were treated as an overbought regime associated with later industrial-average declines.

Three consecutive lower ratio days that ended above 0.82 were associated with later industrial-average declines. Five consecutive lower or unchanged days were associated with later advances regardless of the ratio's level.

Index streaks read against the ratio

Three consecutive industrial-average advances ending with the ratio near 0.47 to 0.50, stronger three-day advances ending between 0.47 and 0.87, and five-day industrial-average advance streaks ending between 0.42 and 0.84 were associated with further index advances.

Three consecutive large industrial-average advances that ended with the ratio above 1.06 were treated as an overbought fade associated with later declines.

Three consecutive industrial-average losses of more than eight points that began with the ratio above 0.76 were associated with later declines after at least a one-session delay. Four consecutive industrial-average down days ending between 0.34 and 0.45, and five consecutive down days ending between 0.32 and 0.65, were associated with subsequent industrial-average advances.

Follow, fade, or stand aside

A contrarian-strategy is a testable procedure that fades stretched premium-ratio and price-streak combinations, follows the same streak when it begins in a cheap band, and stands aside when the setup is incomplete.

Editorial note: incomplete means the streak length or the starting or ending premium-regime does not match one of the historical associations above. A single industrial-average idea is judged against that option-premium context rather than treated as a stand-alone momentum clock.