OIWAP (Open Interest Weighted Average Price)

Creator: Created by Definedge (Prasath V A B)

Conditions:

• Timeframe: Strictly Daily Timeframe (1D)
• Lookback Period: Not Applicable
• Asset Class: Futures and Options of (Indices, Stocks, Commodities & Currencies).

*Note: OIWAP on continuous futures chart is not recommended.

What is Open Interest?
Open Interest refers to the total number of outstanding contracts that have not been closed or exercised by the end of a trading session.

What is OIWAP (Open Interest Weighted Average Price)?
Simply put, average price per contract.

OIWAP Indicator Introduction:

OIWAP (Open Interest Weighted Average Price) is a price overlay indicator, means, the indicator is plotted on the price chart itself. We have introduced two new concepts, LIWAP & SIWAP.

OIWAP (Open Interest Weighted Average Price):

OIWAP is a theoretical calculation that represents the average price of OI buildups.

LIWAP (Long Interest Weighted Average Price):

LIWAP is a theoretical calculation that represents the average price of long buildups.

SIWAP (Short Interest Weighted Average Price):

SIWAP is a theoretical calculation that represents the average price of short buildups.

Like how VWAP is treated as an intraday benchmark for execution, OIWAP shall be treated as benchmark on the contract level basis. LIWAP shall be treated as benchmark for Longs and SIWAP shall be treated as benchmark for shorts on the contract level basis.

OIWAP Parameters:

For each of those theoretical average prices (OIWAP, LIWAP, SIWAP), we have given an option to choose from any of the following input types (Open, High, Low, Close, (H+L)/2, (H+L+C)/3, (O+H+L+C)/4).

By default, OIWAP has (H+L)/2, LIWAP has High, SIWAP has Low as their input type. To know more click here.