Abbreviation: Put/Call OpenInt Ratio VolWgtAvg Diff
Category: Option Put / Call
Input Parameters:
| Name | Range | Default |
| Put Open Interest | ||
| Call Open Interest | ||
| Volume | Volume | |
| VolWgtAvg1 Periods | Int >= 1 | 5 |
| VolWgtAvg2 Periods | Int >= 1 | 10 |
Calculation:
VolWgtAvg(X, Volume, VolWgtAvg1 Periods) – VolWgtAvg(X, Volume, VolWgtAvg2 Periods)
where
X = Put/Call OpenInt Ratio(Put Open Interest, Call Open Interest)
Put/Call OpenInt Ratio represents Put/Call Open Interest Ratio
VolWgtAvg represents Volume Weighted Moving Average
Discussion:
This indicator attempts to quantify movements in the Put/Call Open Interest Ratio indicator by calculating the difference between two moving averages. Since it uses volume weighted moving averages (which give more importance to those periods with higher volume relative to the other periods in the moving average’s time frame), the indicator tends to focus more upon movement between periods of relatively higher volume than between periods of relatively lower volume.