Calculation and mechanics
The Open Interest fluctuates over time, among other things due to expiry, the rolling of positions and changes in market activity. The absolute value alone is therefore often hard to assess.
Rising open interest means that new positions are being created on balance. Falling open interest, by contrast, shows that open positions are being closed. On its own this says nothing about the future price direction because every open long contract is matched by a short position.
The open interest range relates the current value to the lowest and highest level in the chosen lookback window. The calculation uses the same min-max logic as the CoT Index. A value of 90, for example, means that the current open interest is near the highest level of the period under review.
Strictly speaking this is not a percentile. A true percentile shows what share of the observations the current value exceeds, as with the IV Percentile. The min-max method therefore reacts more strongly to single extremes.
OI range = (current OI - minimum) / (maximum - minimum) x 100
Distinction
The CoT index places the net position of a trader group within its history. The open interest range, by contrast, refers to the total number of open contracts in a market.
The open interest per expiry month, as the term structure shows it, describes how the open positions are distributed across the individual contracts. The open interest range, by contrast, looks at the total over time.
Related terms
- Open Interest (OI, open contracts)
- CoT Index (Commercial index, COT index)
- CoT Report (Commitments of Traders, CFTC report)
- IV Percentile (IVP)
All market and analytical information is provided for educational and analytical purposes only and does not constitute investment advice or a trading recommendation.