Abbreviation: Put/Call Vol Ratio VolWgtAvg Diff
Category: Option Put / Call
Input Parameters:
| Name | Range | Default |
| Put Volume | ||
| Call Volume | ||
| Volume | Volume | |
| Avg1 Periods | Int >= 1 | 5 |
| Avg2 Periods | Int >= 1 | 10 |
Calculation:
VolWgtAvg(X, Volume, VolWgtAvg1 Periods) – VolWgtAvg(X, Volume, VolWgtAvg2 Periods)
where
X = Put/Call Vol Ratio(Put Volume, Call Volume)
Put/Call Vol Ratio represents Put/Call Volume Ratio
VolWgtAvg represents Volume Weighted Moving Average
Discussion:
This indicator attempts to quantify movements in the Put/Call Volume 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.