What is the differnece between Open Interest and Volume?

R

RGLD

I've read some articles and it just confused me more.

According to investopedia, open interest is the amount of contracts that has not settled for the asset? What does that even mean "have not settled"?

I'm taking a wild guess these are somewhat like limit orders? So it's the same as the bid/ask sizes for each price?

Is volume and open interest like Debt and Credit respectively?

Open interest is the amount of contracts available and after they become unavailable, they are now counted as volume?

Thanks all.
 
Open Interest (OI) are open contracts between buyers and sellers with the OCC as the counterparty.
Volume is each trade. If I buy to open and so does the seller, they increase OI. If one of us is opening and one closing, there is volume but no increase in OI. If we are both closings, there is volume but a decrease in OI.
 
I assume these are not netted? Say if you buy to open and someone sells to open, that wouldn't net? Instead it's counted as 2 IO's
 
RGLD said:
I assume these are not netted? Say if you buy to open and someone sells to open, that wouldn't net? Instead it's counted as 2 IO's
More...
I have not looked at this is a while, but it is my expectation that one trade of 1 option, the volume is 1 and OI the next day is 1 but on the OCC website where they report trades volume of 2, as they charge their fee twice.
https://www.theocc.com/webapps/volume-query
 
Thanks for this. Suppose you wanna use IO histories to get an idea of where the options traders are pushing the underlying, I would need historical IO for one option, which could be rare to find this info online?
 
Robert Morse said:
If we are both closings, there is volume but a decrease in OI.
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I never realized open interest decreases once the contract is liquidated.

Since theres so much liquidity at the time of expiration thousands of contracts are still open so I guess I never noticed.
 
ETJ said:
Too much noise in OI IMHO - OI is gross customer/net market maker and no open/close data is collected from the MM community.
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Really? I tend to use open interest as a quick gage to see which strikes have the most activity. And of course its usually ATM and also where the most volume by price is.
 
RGLD said:
Thanks for this. Suppose you wanna use IO histories to get an idea of where the options traders are pushing the underlying, I would need historical IO for one option, which could be rare to find this info online?
More...

ORATS.com has histories for all options and individual options that you can pull up manually in Excel or via an API using Python or similar.

Dropbox was in the unusual options volume report we have on another thread on ET.

63beddadc52b623a279a282d9353a418.png


We reported that the Aug-9 $21 strike put traded 4820 contracts and had open interest of 8061 contracts. We'll see tomorrow how many of these were closing thus reducing the OI.

We looped back each day to see when the open interest increased the most. That was on 8/8/19 when the open interest went up 7237 to today's 8061 contracts from 824.

b47268d386606722268b83a1c69fb838.png


Here's a snippet of historical call option interest (coi), put OI, and implied volatility at the 10 day interpolation point (iv10d).

65a00e56af2c8c908730f505e7574b40.png


The put open interest increased 14k or 28% from 8/8 to 8/9. To figure out if those opening puts were buying or selling we can look at implied volatility. The iv10d increased dramatically on the 8th from 82% IV the day before to 91% on 8/8/19. This looks like there was buying to drive the IV up that far.

The next day after these opening puts to buy, Dropbox sold off to $18.6 down 13%.

You can see the ORATS data API here: https://docs.orats.io/data-api-guide/
 
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