Citi: Markets Panicking Again

Citi’s Panic/Euphoria sentiment model has given back most of the gains it made during 2009. According to Citi, “the Panic/Euphoria model fell and is parked on the panic border.”:


Whether or not markets are in a true state of ‘panic’ we can debt, yet it’s interesting to see that many sentiment indicators, in aggregate have fallen back substantially.

Citi’s explanation of the model: Components: 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.

(Via Citi, Pulse Monitor, Tobias Levkovich, 12 Feb 2010)

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