Market data
Open interest explained: what it measures and what it doesn't
Open interest is the number of futures or options contracts that are still open: entered into and not yet closed by an offsetting trade, by delivery or by exercise. Every contract has a buyer and a seller, but open interest counts each contract once.
By Admin · · 3 min read
How open interest changes
| Buyer | Seller | Open interest |
|---|---|---|
| Opens a new position | Opens a new position | Rises by one contract |
| Opens a new position | Closes an existing position | Unchanged: the contract changes hands |
| Closes an existing position | Opens a new position | Unchanged: the contract changes hands |
| Closes an existing position | Closes an existing position | Falls by one contract |
Open interest vs volume
Volume counts every contract traded during a period; open interest counts the contracts still open at its end. A position opened and closed on the same day adds to volume but leaves open interest unchanged.
High volume with flat open interest therefore means contracts are changing hands rather than new positions being opened.
Where the numbers come from
- Futures exchanges publish open interest for their contracts, typically after each trading day.
- The CFTC's weekly Commitments of Traders reports break the open interest of US markets down by trader group (see The COT report explained).
- Options open interest is reported per strike price and expiry, so it shows where open contracts are concentrated.
Reading it with care
- No direction on its own: every new long position has a matching new short position, so rising open interest does not say which side is right.
- Expiry and rolls: open interest in a contract month falls as it nears expiry and positions move to the next month, so compare all months combined.
- Own history first: typical levels differ widely between contracts, so compare a market with its own past.
- Participation, not value: it says how many contracts are open, not how much money is at stake or who will profit.
How Fellowdata uses it
Fellowdata's markets data analytics brings open interest together with COT positioning and other derivatives data, with the source and as-of date on every figure.
Common questions
Does high open interest mean prices will rise?
No. Each open contract has a long and a short side, so open interest alone has no direction.
Is open interest the number of traders?
No. It counts contracts, not people; one trader can hold many contracts.
How often is it updated?
Exchanges usually update it every trading day; the CFTC's breakdown by trader group is weekly.
Sources
Checked on .
- CFTC: COT explanatory notes: "Open interest is the total of all futures and/or option contracts entered into and not yet offset by a transaction, by delivery, by exercise, etc." The rest of the article follows from this definition.