Citi: The Market Is Back In Panic Mode

Citi’s Tobias Levkovich shows how the market has sunk back to Panic levels, based on the firm’s proprietary Panic/Euphoria model.


For what it’s worth, the model is based on a collection of sentiment indicators including “NYSE short interest ratio, margin debt, Nasdaq daily volume as % of NYSE volume, a composite average of Investors Intelligence and the American Association of Individual Investors bullishness data, retail money funds, the put/call ratio, CRB futures index, gasoline prices and the ratio of price premiums in puts versus calls.”

As we’ve highlighted in the past, these black box models are best used by comparing them to themselves. Thus while the recent model reading shows a panic level based on Citi’s indicators, we can see that on a relative basis Citi’s indicator is well above where it was in March, and equal to a level of sentiment seen during 2005. So perhaps Citi’s Panic line needs to be adjusted downward slightly.

(Via Citi Investment Research, “The PULSE Monitor”, Tobias Levkovich, 30 November 2009)

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