ISEE Select

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ISEE Select is a sentiment index created by the International Securities Exchange, which calculates a put/call value that can help investors look at how their investor peers are viewing the bullishness or bearishness of a particular index or ETF (on which ISE has a corresponding option).[1]

History

Several years ago, the International Securities Exchange created and now calculates (with proprietary ISE option trade data) the ISE Sentiment Index (ISEE). The Index reflects a put/call value that helps market participants determine how investors as a whole are expressing their actual market view of an individual stock on which ISE has a tradable option. There currently are more than 1700 stocks on which sentiment can be gleaned.

Then came a follow-up product. Similar to the ISEE, the ISEE Select provides intra-day and historical put/call values for individual securities including indexes and ETFs traded on ISE.

The Calculation

ISEE Select values are computed by dividing opening long call options by opening long put options. For example, if 5,000 call options to open traded and 2,000 put options to open traded, the sentiment value would be 250. Higher sentiment values indicate a bullish outlook, and lower sentiment values would be bearish. Tools Through a Query Tool, investors can examine up to five individual securities within their portfolio at a time. A Scanning Tool alerts subscribers to the most bullish and bearish securities based on pre-defined queries. Investors can use these tools to stay abreast of trends affecting securities already in their portfolio or to monitor new investment opportunities.

ISEE Select is available through an online application using any web browser. Though not a free service like ISEE, a free two-week trail is available for ISEE Select.

XML Feed for ISEE Select

On September 19, 2007, ISE launched a direct XML data feed for ISEE Select(SM), its customized sentiment data offering. Subscribers to the proprietary ISEE Select XML Feed can simultaneously access sentiment values for nearly all securities that trade options on ISE as they are published every 20 minutes. The aim is to help users as they develop analytical models based on ISEE data values. Creation of the feed responded to requests from investment professionals wanting to integrate sentiment values directly into their analytical models. Previously, only a maximum of five ISEE Select values could be retrieved at once through a web-based application.[2]

ISEE Select XML Feed includes the following fields of data for each underlying security:

  • Cumulative number of puts
  • Cumulative number of calls
  • ISEE-calculated value, updated every 20 minutes
  • Time stamp

References

  1. ISEE Select. International Securities Exchange.
  2. ISE XML Feed. International Securities Exchange.