Skip to content
All library documents

Finding Options-on-Futures Open Interest in Daily Settlement Reports

Article Quant Q&A · Author: RulesOfTheGame
Read the original

Summary

The discussion asks where to obtain open interest by strike and expiry for options on futures, including energy and equity index contracts. The accepted answer points to the exchange’s daily settlement information, which includes open interest data and can be downloaded in CSV or plain-text form.

In the CSV, the previous-interest field reports the prior day’s open interest. The answer also says the files can be retrieved automatically through FTP, offering a path for building a repeatable data collection process. This is a source for daily open-interest figures; the discussion does not explain how to calculate max pain, confirm whether every strike and expiry is covered, or describe intraday availability. The cited report formats and access methods are specific to the exchange information described and may change over time.

Key ideas

  • Daily settlement information is identified as a source of futures-option open interest.
  • The reports are available in CSV and plain-text formats.
  • The CSV’s previous-interest field represents open interest from the preceding day.
  • FTP access can support automated collection, though the answer does not explain max-pain calculations.

Tags

OptionsFuturesCommoditiesEquities
Full text
# Open Interest on Options on Futures


# Open Interest on Options on Futures












Is there anywhere that reports open interests or the max pain on futures such as Crude (CL), Natural Gas (NG), or E-Minis (ES)? I cannot seem to find this data, though I have seen it listed on trading screens. The closest I have found is on the CME's website: http://www.cmegroup.com/tools-information/quikstrike/options-open-interest-profile-energy.html, but how can I get it in a report or data format of each strike's OI for all expiries? . ICE has reports such as https://www.theice.com/marketdata/reports/143.

## Answer by Alex C (score 2, accepted)

https://quant.stackexchange.com/a/32483

Every day the CME publishes daily settlement information, which includes Open Interest

Go here http://cmegroup.com/settlements.html and click on for example COMEX Options. There are two formats for the file, .csv or plain text. In the .csv file look for the column 'prev int' which refers to Previous Day's Open Interest

The file(s) can also be downloaded automatically via ftp if you wish

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.