Constructing a put-volume average regime filter

Sentiment first, then stand apart

Contrarian portfolio context is framed as first measuring the direction of speculative sentiment, then treating a crowded path as the stance to stand apart from.

This note reconstructs a one-sided options-volume overlay from that framing: a testable fear-surge flag built from put activity versus its own moving average.

From put-call balance to self-history

A put-call ratio is built by dividing put volume by call volume and smoothing the series. High readings are read as puts overwhelming calls and low readings as the reverse.

A 10-day smoother is presented as a common put-call implementation. An open-interest-adjusted variant is associated with longer averages such as 60 days and contains no price term.

Comparing call volume only to its own recent averages did not yield a standalone construction, whereas comparing put volume to its own 10-day average did. Put-volume-relative uses that self-history when the relativity of interest is the series against itself rather than puts versus calls.

How the surge flag is assembled

Implementation uses total CBOE put volume, a 10-day simple moving average, and a same-day comparison.

The put-volume construction raises a long-bias regime flag when current put volume is more than twice its 10-day average.

Where the flag is meant to land

The flag is described as arriving more often at a momentum low than at the final price low. A momentum low is the low in downside thrust that may precede the final price low, and it is the intended location of a put-volume surge flag.

The same construction is presented as a marker of important trading lows and is not paired with an analogous call-volume marker for tops.

Yearly charts covering 1983 through 1992 record uneven trigger counts, including a year with no flags, early and clustered flags, and at least one case treated as requiring a separate check that a momentum low had formed.