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2011issue C1162-71

Building a put-call ratio indicator stack

The same put-call series can be clipped, rainbow-smoothed, and recast as a fast oscillator, a slow oscillator, and an inverse-Fisher variant. This archive article treats that stack as a construction lesson.

  • Three related oscillators can be built from the same put-call series: a fast version, a slow version, and a slow version passed through an inverse Fisher transform.
  • The put-call input is clipped at 0.90 on the high side and 0.45 on the low side before any smoothing is applied.
  • The fast path uses a triple exponential average, a ten-pass two-period weighted rainbow, and an averaged relative-strength calculation. The slow path rainbow-smooths the clipped series directly, then applies a short weighted average.
  • The inverse-Fisher variant recenters a relative-strength reading of the slow series around 50 and rescales the hyperbolic transform onto a 0-100 range. The same three constructions can be reproduced once the put-call series is available as a second data stream.
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Current trackPut-call ratio33 readingsRelative Strength Index186 readings

Three oscillators from one series

The archive construction starts from a single put-call ratio series. From that series it builds three related oscillators: a fast version, a slow version, and a slow version passed through an inverse Fisher transform.

In this workflow the put-call ratio is an options-volume sentiment input that is clipped, rainbow-smoothed, and then transformed into those three variants. A relative-strength index is used as a bounded oscillator on a smoothed put-call series so the stacked averages become a comparable 0-100 reading.

Clip the put-call input first

Before any smoothing is applied, the construction clips the put-call input at 0.90 on the high side and 0.45 on the low side. Values outside that band do not enter the averages that follow.

The fast path

The fast path first applies a triple exponential average to the clipped series. It then applies a ten-pass two-period weighted rainbow. A relative-strength calculation is applied next, and that relative-strength reading is itself averaged.

The slow path

The slow path skips the triple exponential step. It rainbow-smooths the clipped put-call series directly, then applies a short weighted average.

The inverse-Fisher variant

The inverse-Fisher variant starts from a relative-strength reading of the slow series. That reading is recentered around 50. The hyperbolic transform is then rescaled back onto a 0-100 range.

Inverse-Fisher slow PCRI on the S&P 500, summer 2011

Once the rainbow-smoothed put/call series is recast with an RSI and an inverse Fisher transform, the oscillator pins for weeks at the 0 or 100 rail—through the mid-June dip and again through the August 2011 crash—then lifts off the floor to the platform print of 51.09 on 22 September. A trader should see cycle-phase saturation, not a price forecast. The path was read from the eSignal lower pane labelled slow_inverse_PCRI.efs (4, 2, 8).
Once the rainbow-smoothed put/call series is recast with an RSI and an inverse Fisher transform, the oscillator pins for weeks at the 0 or 100 rail—through the mid-June dip and again through the August 2011 crash—then lifts off the floor to the platform print of 51.09 on 22 September. A trader should see cycle-phase saturation, not a price forecast. The path was read from the eSignal lower pane labelled slow_inverse_PCRI.efs (4, 2, 8).S&P 500 ($SPX) · daily · 2011-05-23T00:00:00.000Z to 2011-09-22T00:00:00.000Z

Printed inputs are rainbow length 4, PCRI smooth 2 and RSI length 8. The source clips the raw put/call ratio to 0.45–0.90 before the rainbow average. Interior dates follow the June–September ticks and the 22 September 2011 session label; every y other than the final 51.09 readout is approximate to the raster.

Reproduce the stack

The same three constructions can be reproduced across charting platforms and a spreadsheet once the put-call series is available as a second data stream.

Editorial reading

Editorial reading: clamping the extremes, stacking successive averages, and then overlaying a relative-strength transform is one way to turn a raw put-call series into a cycle-phase oscillator. That framing is editorial. The archive specifies only the construction.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
28 of 31 in the Put-call ratio track
201141-47 pp.Next on Put-call ratioPut-call ratio regime context with oscillator and band confirmationA Put-call ratio reading is used as market-regime context on a weeks-to-months horizon, not as a self-contained entry signal.
All readings on this track · 31 readings
  1. 1989Constructing an open-interest-scaled put-call ratio
  2. 1990Open-interest put/call ratio as an intermediate sentiment overlay
  3. 1990Activity-weighted call-put ratio for options regime context
  4. 1990Stacking moving averages, put-call regimes, and double bottoms
  5. 1991Constructing put-call open-interest regime filters
  6. 1991Constructing an activity-weighted call-put sentiment reading
  7. 1991Fund-index regime, put-call confirmation, then the tracking fund
  8. 1992A seven-vote sentiment score for fund-sleeve regimes
  9. 1992Construct an activity-weighted call-put ratio before reading crowd conviction
  10. 1992Pair action with opinion in a composite sentiment index
  11. 1992Crowd extremes as a three-gate contrary procedure
  12. 1993Constructing a put-volume average regime filter
  13. 1993Neural-net inputs and rule trees for mechanical systems
  14. 1994Failed Treasury put-call signal and a dollar regime shift
  15. 1994Separate survey, put-call, and premium ledgers before a regime call
  16. 1994Repeated option-premium prints and a four-zone regime map
  17. 1995Consecutive-day regimes in the put-call premium ratio
  18. 1995Construct a put-call ratio for regime-aware contrarian signals
  19. 1996Treat one options idea as a regime-aware portfolio decision
  20. 1997Options open interest, put-call sentiment, and contrarian context
  21. 2000A two-layer put-call construction for intermediate market conditions
  22. 2002Sentiment confirmation for trend-following options
  23. 2003Construct a regime overlay from implied volatility and the put-call ratio
  24. 2004Dollar-weighted Put-call ratio construction
  25. 2006Debit put spreads inside put-call regimes
  26. 2011Put-call ratio cycle phases for index context
  27. 2011Constructing a put-call ratio cycle indicator
  28. 2011Building a put-call ratio indicator stack
  29. 2011Put-call ratio regime context with oscillator and band confirmation
  30. 2018Reading seasonal regimes with put-call divergence and bands
  31. 2020Treat close-only volume as a hypothesis, then choose regime or phase
By fieldIndicators and filters682 readingsBy year201165 readings
All 33 readings tagged Put-call ratio
Also on Put-call ratio5 readings
1989Constructing an open-interest-scaled put-call ratio1990Activity-weighted call-put ratio for options regime context1990Open-interest put/call ratio as an intermediate sentiment overlay1990Stacking moving averages, put-call regimes, and double bottoms1991Constructing an activity-weighted call-put sentiment reading