RUT – OCT Expiration (Mapping the OI Direction)

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Below is the product of my long developed creation to track open interest (OI) and compile the information in a viewable form.  My goal is to seek the change in OI as the price of the underlying (RUT in this case) fluctuates.

Analysis gave an entry of 1040/1030 on 10-3-2014.  The volatility allowed me to attain a strike with almost 70 points of distance from the price.  Also, the OI study shows the concentration of contracts in the 1080 and 1050 areas.  Observe the fourth bar from the left on each of the strike sections (that’s the 10.03 OI).  As the price fell over the course of the week, more traders took larger positions at the 1050 and 1060 strikes.  This continues to support that 1040 is a safe strike that would avoid obligation on expiration.  In my theory, the OI is a revealing and intriguing way to possibly ascertain market sentiment in regards to the price movement of the underlying.

RUT _ October Expiration Chart


Disclaimer: The information presented does not consider your personal investment objectives and should not be taken as a recommendation. Further, it shall not be construed as an offer to sell or a solicitation to buy any security mentioned. The risk of loss in any stock, option, or futures trade can be substantial. Consider all relevant risk factors before trading.

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