One idea was the use of "synthetic" put/call ratios created with leveraged long/short ETF pairs. To test this idea for the S&P I tried both the 2X SDS/SSO pair and the 3X SPXU/UPRO pair. The results were somewhat better than I expected, with comparable results to other sentiment measures. Here is the result for the SPXU/UPRO pair using dollar volume from the period Jan 2013 thru Nov 2015. (Updated Nov 29)
Here you can see that as sentiment remained highly bearish throughout 2013, the SPX rose 30%. Then as bearish sentiment fell to lower levels in mid 2014, the returns for the last 18 months were about 10% and flat for 2015.
The following chart for the SDS/SSO is very similar
The current sentiment position does not say anything good about future returns. Tuesday, Goldman came out a report forecasting the SPX at 2100 at the end of 2016, sentiment certainly agrees.
Next up, HUI with DUST/NUGT.