There are 4 things I track. When I worked for a fund I made sure to do a detailed analysis each week, and these days do a a full version only occasionally. There are other things out there like commitment of traders report, or BAML fund manager survey. The Fat Pitch site does a good job of summarizing the latter.
To be honest sometimes there are discrepancies and I'm not sure how to reconcile. For example, if fund managers are holding a large portion cash - which has historically been very bullish for stocks - is that still applicable with interest rates so low? The opportunity cost of holding cash is lower than it has ever been.
So I will stick with the 4 I know.
Extremes reached on daily put-call and weekly lower end for post QE period 2014 on. NAAIM managers significant extreme. Both ISEE daily spike highs 7/18 and again 8/5 & 8/12, though moving averages remain middling for any data period. AAII individuals have been the bearish holdout, though near relative highs for past 18 months; not enough to be extreme (10% percentile, but higher end (20% percentile).
3/4 of these have recent extremes if you include the daily spikes on ISEE - should be enough to at least restrict upside, possibly increase risk of shakeout and often will contribute to a key high area.
Daily put-call made a multi-year low near 7/20/2016, then had a sharp rise. It has recently fallen. Although this doesn't look like an extreme compared to 7/20, there are still only a few days in the last 18 months or so that have been lower. Red lines are simply the 7/20 low and 8/18 low.
Shifting to a weekly view from the start of 2012, we are on the lower end. Put call went significantly lower towards the end of 2013 into early 2014, which was the results of QE fuel, a year of non-stop up for stocks and down for bonds, and preceded the first -10% drop in months that occurred January and early February 2014.
Daily extreme reached 7/20; still low enough to be considered extreme (10% percentile) 8/19. Weekly on lower end, and may even be extreme for post USA QE period.
Daily readings: spike highs 7/18 (2nd highest of 2016), also high enough 8/5 and 8/12. Spike lows 8/1, 8/10-11, 8/16-17.
However, all moving averages are quite low considering data from 2005 to current. Even reducing data to 2012 to current, MAs are nowhere near bullish extreme. For some reason, this put-call measure designed to remove professional hedging has skewed lower over time but I don't know why. For now, spike highs have been near trading tops or at least upside limited for the last few years.
Using data from 7/2006 on, we have reached significant extremes in the last month or so. This is a warning sign for the market or at least says upside limited. There have been about 530 weekly readings, so anything in top 50 would be top 10th percentile. Let's restrict it further to top 5% percentile.
7/27 (3rd highest of all values)
8/17 (9th of all values)
That is a fat cluster of very exposed managers. Some of this may have been forced in buying, but still. Obviously this contradics the BAML survey as reported by Fat Pitch for higher levels of cash.
Savvy bunch, frequently right but also will show some capitulation on turns. This batch has refused to get too bullish on the way up (though i'm not sure if that is correct, given the market.) Still, the highest readings of 2016 have been 3/10 & 3/24, then 7/14, 7/21 and 8/18.
Using data from 2005 on, bullish sentiment remains middle of the pack and restricting data from 2012 doesn't change much either. Similar results with % bears, bull - bear spread and 8 week bull average. Only when restricting data to 2015 on do we see bullish sentiment at a relative high. I'm not sure how valid this is; from 2015 market was stuck, and now it has broken out up.