美股期权数据亮红灯：上次出现这种信号是2022年熊市前夕
- 核心观点：美股期权市场情绪指标——Cboe股票看跌/看涨比率跌至近四年低位，与2022年熊市启动前夕水平吻合，反映市场风险偏好极端化，但股市整体仍创新高，内部分化加剧。
- 关键要素：
- Cboe股票看跌/看涨比率5日移动均值降至0.452，创2022年3月以来新低，显示看涨期权需求是看跌期权两倍以上。
- 该指标21日均线同步降至0.493，为2021年12月以来新低，分析师认为均线下行趋势已表明市场过热。
- 历史先例显示，该指标在2021年末市场顶部及2022年熊市初段反弹高峰时均处于类似低位，随后股市出现持续性下跌。
- 单只股票隐含波动率（以VIXEQ指数衡量）接近一年高位，与标普500波动率指数（VIX）价差扩大至历史纪录，反映股市内部分化加剧。
- 标普500指数周一再创历史新高，年内累计23次收盘新高，但当日11个板块中仅科技与能源收涨，涨势高度依赖AI概念股。
Original Author: Zhang Yaqi
Original Source: Wall Street News
The bullish sentiment in the U.S. stock market has spilled over into the options market. A key indicator has fallen to a near four-year low, highly consistent with the levels seen on the eve of the 2022 bear market, prompting cautious warnings from market participants.
According to Dow Jones Market Data, the five-day moving average of the Cboe equity put-to-call ratio fell to 0.452 on Friday, the lowest level since March 30, 2022. This indicates that investor demand for call options is more than double that for put options.
In an interview with MarketWatch, Mark Arbeter, President of Arbeter Investments, stated that this reading is "extremely low from a historical perspective." While it is not yet a direct sell signal, it is sufficient to put investors on high alert. He believes this reflects overly euphoric sentiment among retail investors, fueled by the artificial intelligence boom.
The last time this indicator approached a similar level was during the peak of a counter-trend rally in the early stages of the 2022 bear market. An earlier instance occurred around the market top at the end of 2021. Both historical precedents were followed by sustained declines in the stock market.
Meanwhile, Mandy Xu, Head of Derivatives Market Intelligence at Cboe, noted that while the overall market volatility index (VIX) continues to decline, implied volatility for individual stocks has surged significantly. The spread between the two has widened to a historical record, revealing a high degree of divergence within the stock market.
However, despite the warning signals, the bullish momentum remains unabated. On Monday, the S&P 500, Dow Jones Industrial Average, and Nasdaq Composite all closed at new all-time highs. According to Dow Jones Market Data, the S&P 500 has recorded 23 new all-time closing highs so far this year.
Put/Call Ratio Drops to Four-Year Low
The five-day moving average of the Cboe equity put-to-call ratio closed at 0.452 on Friday, the lowest since March 30, 2022. Mark Arbeter pointed out that this value means investor demand for call options is more than double that for put options, placing it in an extremely low range historically.
The 21-day moving average of the indicator is also declining. It fell to 0.493 on Friday, a new low since December 9, 2021 (when it was 0.490). Mark Arbeter stated that as long as this moving average remains in a "downtrend," the stock market might still have room to extend its rally, but the trend itself is evidence of an overheated market.
Notably, put options can serve both as directional tools for betting on a market decline and as hedging instruments. When investors aggressively buy call options and hedging demand plummets, it often signals that market risk appetite has approached extreme levels.
Historical Precedent Points to Eve of 2022 Bear Market
Reviewing history, Mark Arbeter found that the last time the five-day moving average hit a similar level was during the first "counter-trend rally" of the 2022 bear market. Looking further back, a comparable reading occurred during the market top formation at the end of 2021.
"We saw these exact same levels when the market was topping out before the 2022 bear market," he said.
Following both historical junctures, the U.S. stock market entered prolonged downturns, providing a reference for the warning signals conveyed by the current indicator. Mark Arbeter also emphasized that this does not represent a clear sell trigger, but historical experience is sufficient to make investors exercise restraint when chasing the rally.
Market Divergence Intensifies, AI Narratives Dominate Gains
In contrast to the seemingly calm overall market, significant divergence is occurring internally. Mandy Xu noted in a report released on Monday that single-stock volatility, measured by the VIXEQ index, approached a one-year high last week. More notably, the spread between this index and the VIX widened to a historical record.
This is the latest signal that internal market divergence has risen to extremely high levels over the past two months. AI-related stocks have dominated the majority of the S&P 500's gains.
On Monday, the S&P 500 information technology sector surged about 2.5%, providing core support for the index to reach another record high. According to FactSet data, among all 11 sectors in the index, only technology and energy closed higher that day, while the majority of other sectors declined.
The energy sector's rise was linked to geopolitical disruptions. Reports indicated that Iran had halted peace talks with the United States and was seeking a full blockade of the Strait of Hormuz—a critical waterway for oil and gas exports from the Middle East—pushing international oil prices higher.
However, U.S. President Donald Trump responded in a social media post on Monday afternoon, stating that "negotiations with the Islamic Republic of Iran are proceeding rapidly."
