Open interest analysis · TradersWeek

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Output: Research filter
Input: Order book, spread, volume, auction and trading costs
Horizon: Seconds to the order life cycle
Best use: Choose an executable order and account for implementation cost.

Input: Order book, spread, volume, auction and trading costs.
Output: filter.
Use boundary: Choose an executable order and account for implementation cost.

The graph3

How the method is built, and where it has been read

Depends on

Often reviewed together

Volume-price analysis5 readings

Often reviewed together

Moving average6 readings

Often reviewed together

Put-call ratio7 readings

Read in the archive24 of 130 readings

1987Broken bias: stops, cash flow and unfilled gapsDecision process 1988Payoff index checkpoints for open interest and divergenceIndicators and filters 1988Signing volume by open interest changeMarket breadth 1988Wave-count consensus and open-interest confirmationWaves and ratios 1989Constructing an open-interest-scaled put-call ratioOptions and volatility 1989Evaluating technical-fund open interest and daily volatilityIntermarket and spreads 1990Open-interest put/call ratio as an intermediate sentiment overlayOptions and volatility 1990Calibrating volume and open interest at support and resistanceMarket breadth 1991Constructing an activity-weighted call-put sentiment readingOptions and volatility 1991Constructing put-call open-interest regime filtersOptions and volatility 1991Constructing short-squeeze pain from interest and marginIntermarket and spreads 1991Constructing auction fuel from volume and open interestAuction and volume 1992Pair action with opinion in a composite sentiment indexOptions and volatility 1992Construct an activity-weighted call-put ratio before reading crowd convictionOptions and volatility 1993RSI price pattern templates and open interestIndicators and filters 1997Grading volume and open interest after moving-average crossesTrend and mean reversion 1997Options open interest, put-call sentiment, and contrarian contextOptions and volatility 2001Construct a volume-weighted continuous-lead contractAuction and volume 2002Constructing regime context from trader commitment netsSeasonality and regimes 2003Constructing an expiration settlement map from listed open interestOptions and volatility 2004Constructing an index-options overlay with dividend premiums and open interestOptions and volatility 2005Commitment of Traders open-interest extremes as regime filtersIntermarket and spreads 2007Ethanol futures liquidity lagged the policy boomLiquidity and costs 2008Constructing equal-volume and open-interest auction zonesAuction and volume

This registry entry describes a research method. It is not investment advice and does not make a performance claim.