Moving Avg - Put+Call Open Interest Weighted

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Moving Avg - Put+Call Open Interest Weighted

Variable List Abbreviation: Pt+ClOpnIntWgtMvAvg

 

Variable Mode(s): Futures2

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

 

Parameter(s): Pt+ClOpnIntWgtMvAvg 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 total open interest contributes more than the price of time periods with low total open interest.

 

Calculation:

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

                                sum over n time periods of ( put & call open interest sum )