Open-interest surge report
Contracts whose open interest moved at least X % against the previous trading session close, in either direction, including full unwinds to zero.
Overview
The Open-interest surge report finds contracts where positions were opened or closed in size. It compares each contract's open interest with the previous trading session close (or a start date you choose) and keeps the ones that moved at least the threshold in either direction.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- Baseline = previous session close OI, or the Start date with a date range.
- A row qualifies when OI Δ % is at least Open Interest Surge % (default 5) up or down.
- The baseline must be at least 100 contracts. Full unwinds to 0 (-100 %) are included.
- OI Δ % = (OI - previous OI) / previous OI. Sorted by OI Δ %, largest rise first.
Before you start
Any signed-in plan can open the report from Research → Reports. Your plan decides how fresh the data is and how much history you can read. CSV export of this report is open to every plan.
Steps
- Open Research → Reports, choose the Open Interest family (or type "Open-interest surge" in Search reports) and open Open-interest surge.
- The report runs straight away with its default filters. The as-of time and delayed label are shown above the grid.
- Enter the Open Interest Surge % and, optionally, a Start date and End date.
- Change any filter (for example pick one symbol) and press Run to refresh the grid.
- Choose Save as screen to keep your variant under Research → Saved Screens, where you can schedule it or turn it into an alert.
- Use Export CSV to download the rows (available on every plan for this report).
Report inputs
| Input | What it does |
|---|---|
| Open Interest Surge % | Required. Minimum move up or down. Default 5. |
| Start date / End date | Optional. With a range, the baseline is the Start date. |
Columns and metrics
| Column | What it means |
|---|---|
| Symbol | The underlying stock or ETF. |
| Expiration | The contract expiration date. |
| Strike | The strike price of the contract. |
| C/P | Call or put. |
| Prev OI | Open interest at the close of the previous trading session (the baseline). |
| OI | Open contracts as of the prior settlement. |
| OI Δ | Open interest minus the previous session's open interest, in contracts. |
| OI Δ % | (OI - previous OI) / previous OI. |
| OI surge ratio | OI / previous OI. 1.05 means +5 %. |
| Volume | Contracts traded so far this session (cumulative, as of the snapshot time). |
| IV | Implied volatility, annualised. Shown as a percentage (0.35 is stored, 35 % is displayed). |
| Mark | Bid/ask midpoint, per share. This is the premium the reports use. |
| Premium | Mark x 100: the price of one standard contract in USD. |
| Break-even | Per share: strike + mark for a call, strike - mark for a put. The price the stock must reach at expiry for a buyer to break even. |
| Und. Price | The latest price of the underlying stock. |
| Delta | How much the option price moves for a $1 move in the stock (calls 0 to 1, puts 0 to -1). |
| Gamma | How fast delta changes for a $1 move in the stock. |
| Theta | Time decay per calendar day, per share. Negative for a long option. |
| Vega | Price change for a 1-point change in implied volatility. |
| Rho | Price change for a 1-point change in interest rates. |
| Extracted | When the snapshot behind the row was captured (US Eastern). |
| ITM/ATM/OTM | In, at or out of the money, worked out from the strike against the stock price. |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- Top rows added the most positions relative to their size; bottom rows lost the most.
- OI surge ratio 2.0 means open interest doubled.
- Read the change in contracts (OI Δ) as well as the percentage: +50 % on 200 contracts is small; +10 % on 50,000 is not.
Example
Illustrative only - the symbol and numbers are invented.
XYZ 15 January 90 put: Prev OI 2,000, OI 5,000, OI Δ +3,000, OI Δ % +150 %, OI surge ratio 2.5, Volume 3,400.
Using it in your research
- Find strikes where new positions are being built and check the expiration for upcoming events.
- Look for repeated surges at the same strike across sessions.
- Use the bottom of the list to see where large positions were closed.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
FAQs
Does a big change mean someone bought?
No. Volume and open interest count contracts; they never say which side started the trade. A rise in open interest means new positions were opened, by buyers and sellers together.
Troubleshooting
A surge report is empty
A surge compares today with the previous trading session close. On the first session after a holiday, or for contracts that are new, there is no baseline, so the contract is left out. Lower the threshold or widen the date range.
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.