SPX Open Interest Question

Discussion in 'Options' started by OptionOriented, Oct 20, 2009.

  1. 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.
     
  2. JC_smith

    JC_smith

    I've seen weird numbers like that for volume open interest and even a super wide bid by ask late after hours on the cboe website. Have you checked the data during market open to see if its similar?