Moving Avg - Call Open Interest Weighted

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Moving Avg - Call Open Interest Weighted

Variable List Abbreviation: CallOpnIntWgtMvAvg

 

Variable Mode(s): Futures2

[ Note: appears in indicator list only after call open interest selected ]

 

Parameter(s): CallOpnIntWgtMvAvg time periods

 

Description:

A weighted moving average of price over the last n (time periods) time periods in which the price of time periods with high call open interest contributes more than the price of time periods with low call open interest.

 

Calculation:

                            sum over n time periods of ( call open interest * close )

                                sum over n time periods of ( call open interest )