Options Open Interest Over Time

As I’ve been collecting data from the OCC, I’ve created a database of the daily open interest numbers in all calls and all puts for each of the S&P 500 names. Now that I’ve got almost a months worth, here’s a couple of charts I found interesting. These show the open interest numbers for the September expiration, coming up this Friday. The first is for AAPL, which shows call OI accelerating over put OI over the last few days:

OIhistoryAAPL

Compare that with the daily chart over the last 30 days, which has steadily fallen:

20130918-175249.jpg

The next is for GOOG, and it shows that call and put OI’s crossed over at the end of August:

OIhistoryGOOG

At the same time, GOOG was trending upward:

20130918-175432.jpg

As with all data mining, I’m scratching my head to figure out what it means and if there’s any alpha there. It looks like you would want to fade the increases in OI from these charts. Leave a comment if you have any ideas of the meaning of these charts or other data that would be useful to mine out.

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5 Responses to “Options Open Interest Over Time”

  1. Contrahour (@Contrahour) Says:

    Interesting. At first glance, it looks like contrarian signals (increased put OI in GOOG leads to a spike higher). However, it’s only a small data set and a short period of time so it’s very difficult to draw conclusions. From my experience, each stock reacts differently to changes in option volume. In stocks where there’s a lot of retail activity, I would guess the contrarian signals are correct. In other stocks, I would guess that you should follow the trend of the Put/Call Open Interest. But again, I’m just guessing.

  2. Prospectus Says:

    Thanks, that’s a good point.

  3. pete Says:

    pretty cool chart but it makes sense, when a stock drops like apple, option hunters come in looking for a bounce (maybe months from now), also when a stock shoots up put buyers are looking for the stock to drop. Options do have and effect on stocks when theres alot of option trades and can put pressure on a stock up & down

  4. David Says:

    Looking back It looks like the apple call buying proceeded the next run-up and the crossover of put buying in googl looks to have preceeded the next month’s drop. Maybe you are on to something

  5. iThinker Says:

    Reblogged this on INVEST-O-MONEY.

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