Strange Open Interest Behaviour

A

arturo100

I was reviewing the following trade on AA190418P00039000 made this year on January 16, where apparently 112 options were bought. It was the only trade made that day on this option. I am a little puzzled because the open interest before the trade was 186 and then, the day after, became only 183. I was expecting to see a much bigger move because this was clearly a bigger trade. Can anyone think of a possible explanation to this odd behaviour?
Thanks in advance.
Arturo.


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AA1918P39_0.txt
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time price volume size bid ask tick_id basis_for_last trade_market_center trade_conditions
1 2019-01-16 11:02:08 10.45 112 112 10.2 10.6 18126938 C 16 27
 
Thank you, Robert. (You are always on duty :) )

That's my point. If someone closed 112 contracts, the OI interest should be way below 186, not a small reduction of only 3 contracts to 183.
 
Robert Morse said:
Maybe there was more than one party trading with another or one person was part open/close. Either way, not unusual.
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My data vendor (iqfeed) reports it as one transaction. I don't expect them to aggregate the data, but I agree with you that you can see this kind of oddities every now and then.
 
arturo100 said:
My data vendor (iqfeed) reports it as one transaction. I don't expect them to aggregate the data, but I agree with you that you can see this kind of oddities every now and then.
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Can you share your experience with Iqfeed? Since two of our platforms with APIs are subject to non display fees it would help me to have an outside data source for those clients.
 
Sure. I use iqfeed mainly to get Times&Sales of US option and Underlying data. Apart from cases like this, iqfeed over the years has proved to be a relatively cheap source of reliable data. Their support forum is quite responsive, but if you want to have access to their API you need to pay a separate license. Otherwise, you have to rely on existing packages. If they would allow to select options with a minimum amount of transacted money they would be perfect. Instead they don't (though they promised to do so) and I need to rely on a different source to get this kind of information.
 
arturo100 said:
Thank you, Robert. (You are always on duty :) )

That's my point. If someone closed 112 contracts, the OI interest should be way below 186, not a small reduction of only 3 contracts to 183.
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If there was only 1 trade of 112, and the OI moved by only 3, my guess would be that one side of the trade was opened and the other side closed. And there was an adjustment done at OCC for the difference of 3.
 
rb7 said:
If there was only 1 trade of 112, and the OI moved by only 3, my guess would be that one side of the trade was opened and the other side closed. And there was an adjustment done at OCC for the difference of 3.
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That makes sense. Thank you.
 
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