Calculating options OI?

[gdanov]

Hi, I subscribed for ActiveTick where I get options tick data with trade conditions values. Can I calculate open interest out of this?

Would be grateful if someone can point me to description of the trade conditions for beginners. Went to the CTA spec but it's bit cryptic to me at this point.

 

[ajacobson]

Open customer/Net Market Maker and it would be very very difficult to calculate yourself as MM don't submit open/close data OCC just nets it. There may be more on the OCC site.

 

[alphadistribution]

How often do you want it? You can get it straight from the OCC here: https://www.theocc.com/Market-Data/Market-Data-Reports/Series-and-Trading-Data/Series-Search

 

[gdanov]

thank you. I did not expect to find this for free from the authoritative source any idea when exactly the data is updated? Is it closer to next session open or rather shortly after the last session is closed?

 

[gdanov]

Open customer/Net Market Maker and it would be very very difficult to calculate yourself as MM don't submit open/close data OCC just nets it. There may be more on the OCC site.

I was hoping I could calculate it from the flags, but apparently the flags I see are only "regular" "TradeConditionMarketCenterClosing" and "TradeConditionCross"

 

[ajacobson]

OCC updates once a day. Forget the usual time, but it used to be late PM or early AM. Again check the site. If it was only customer data it could get closer to real-time.