Definition
#Measures the rarity of current sell-side notional volume in the active rolling window relative to the historical sell-volume mean and standard deviation.
Formula & calculation
#(Live Mean Sell Volume - Historical Mean Sell Volume) / Historical StdDev Sell VolumeUnits & range
Z (standard deviations). Same scale as buy volume z-score.
Interpretation
#The sell-side counterpart to buy volume z-score. A high value means aggressive sell flow is statistically exceptional for this instrument in this timeframe. It can signal active distribution, capitulation, or the early stages of a liquidation cascade. On its own, it does not distinguish between the three: price direction and net taker imbalance provide that context.
Practical usage
#Use as the primary filter when building sell-side and distribution scanners. Pair with negative current window return and negative net taker imbalance to confirm the sell pressure is actually moving price. High sell z-score with a neutral or rising price can indicate absorption. A different setup entirely.
Common mistakes
#Frequent interpretation traps and misuse patterns to avoid when applying this metric.
- Treating a high sell z-score alone as a short entry signal without checking price direction.
- Ignoring that high sell volume on a rising market may indicate absorption by large buyers: the opposite of what it looks like at first glance.
Timeframe note
#This metric applies to rolling windows such as 5m, 15m, and 60m. The underlying definition stays the same; what changes is the time horizon used to measure it. Shorter windows react faster, while longer windows smooth noise and emphasize broader structure.
5m
Faster response to fresh changes in activity and short-horizon structure.
15m
Balanced view between responsiveness and persistence.
60m
Broader context that is slower but more stable.