I've got option chain data for 10-16 and 10-19 - after market close - for SPX. (FYI: Data is from TradeKing.) I'm looking at the open interest (OI) and volume (VOL) data to determine how many net contracts were entered into at a given strike versus merely exchanged.
The delta OI from 10-19 to 10-16 should be net contracts (NC) opened / closed for the period. If this figure is negative net contracts were closed out, positive net new positions. The delta VOL (10-16) and the absolute value of NC (AVNC) represents contracts that were exchanged, not closed out.
Question is:
For some strikes (1050 calls & puts) the VOL (10-16) is less than the AVNC. How does that happen? It doesn't seem as though the VOL figures are represented in OI - unless it's something to do with pre-market trading.
1050 SPX Puts
OI (10-16) 154,608
VOL (10-16) 6,438
OI (10-19) 145,015
VOL (10-19) 23,782
delta OI (19-16) (9,593)
Only 6,438 contracts traded on Friday, yet as of Monday 9,593 contracts were closed out.
The delta OI from 10-19 to 10-16 should be net contracts (NC) opened / closed for the period. If this figure is negative net contracts were closed out, positive net new positions. The delta VOL (10-16) and the absolute value of NC (AVNC) represents contracts that were exchanged, not closed out.
Question is:
For some strikes (1050 calls & puts) the VOL (10-16) is less than the AVNC. How does that happen? It doesn't seem as though the VOL figures are represented in OI - unless it's something to do with pre-market trading.
1050 SPX Puts
OI (10-16) 154,608
VOL (10-16) 6,438
OI (10-19) 145,015
VOL (10-19) 23,782
delta OI (19-16) (9,593)
Only 6,438 contracts traded on Friday, yet as of Monday 9,593 contracts were closed out.