Put/Call ratio and Fundamental Factor Model

[Amir Yousefi]

I am trying to build a fundamental model using put call ratio as a factor.

What i am trying to figure out is that is it better to use lagged data or current data?
What is the best time horizon to pick for maximizing put/call explanatory power?

wondered if someone had a similar experience or might have any comments.


Thank you

 

[James Ma]

i'd go with lagged data as it seems to be some correlation between yesterday's prices and today's prices.

time horizon? definitely 2008 onwards.

 

[Amir Yousefi]

i'd go with lagged data as it seems to be some correlation between yesterday's prices and today's prices.

time horizon? definitely 2008 onwards.

I meant for which time horizon, this ratio has its best explanatory power?
also all I could pull out of bloomberg was a single date put and call volume of trades?
does anyone know any "fields" for downloading the total volume of put & call for a specific expiry date out of Bloomberg?