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In FirmTape’s study of SPX and SPXW options from April 14, 2022, through August 14, 2026, the median session’s net open-interest (OI) change was 39.9% of that day’s volume. That measures how much the outstanding book grew or shrank relative to trading—not how many trades opened new positions. On expiry day, 0DTE volume was a median 5.9 times opening OI across the full sample, rising to 7.8 times in 2026 through August. FirmTape’s study frames the key distinction: some activity remains visible in the next OI snapshot, while other positions may be opened and closed before then.
What “new” means in an open-interest measure
Open interest is the number of outstanding option contracts. For each contract—identified by expiry, strike, and call or put—the study compares OI at the start of a session with OI at the start of the next session. The difference, ΔOI, is the net change. Dividing that change by the contract’s trading volume gives a measure of net book growth relative to activity.
- Positive ΔOI: more contracts remained outstanding in the next snapshot.
- Negative ΔOI: fewer contracts remained outstanding.
- Zero ΔOI: no net change; it does not rule out substantial opening and closing activity that offset.
So the median 39.9% result does not mean that 39.9% of trades opened positions. It means the net increase in OI was 39.9% of volume on the median session in this sample. Gross openings and closings during the day cannot be recovered from that net figure alone.
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FirmTape reports using ThetaData’s SPX/SPXW end-of-day chain for 1,081 trading sessions from April 14, 2022, to August 14, 2026. The analysis covered 8.6 million contract-days, of which 4.3 million had volume. The median session’s net ΔOI was 39.9% of volume, with an interquartile range of 36.2% to 44.0%. FirmTape reports positive net OI growth in every year and expiry bucket included in its sample. These are results of that dataset and method, not a fixed market-wide constant. FirmTape’s article reports the calculations; they are not independently rerun here.
How expiry changes the relationship between OI and volume
Net change, absolute net change, and the share of volume in contracts with rising OI answer different questions. FirmTape’s expiry-bucket figures are:
| Days to expiry | Net ΔOI / volume | Absolute ΔOI / volume | Volume in contracts with rising OI |
|---|---|---|---|
| 1–5 DTE | 37.8% | 41.8% | 90.3% |
| 6–21 DTE | 42.7% | 53.3% | 81.1% |
| 22+ DTE | 42.8% | 57.6% | 76.5% |
Absolute ΔOI divided by volume is a lower-bound measure of how one-sided the day’s activity was: offsetting openings and closings can make the net change smaller than the gross activity. FirmTape characterizes the farther-dated buckets as more open-and-hold and near expiries as more churn-heavy. The figures do not identify who traded or establish trade direction.
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Why 0DTE volume can be several times opening OI
For 0DTE contracts, FirmTape compares trading volume with OI at the session’s start. The median ratio was 5.9× across the full sample, with the yearly figures below. The 2026 figure covers only the sample through August 14, 2026.
| Period | Median 0DTE volume / opening OI |
|---|---|
| 2022 | 4.5× |
| 2023 | 5.1× |
| 2024 | 5.5× |
| 2025 | 7.7× |
| 2026 through August 14 | 7.8× |
| Full sample, April 14, 2022–August 14, 2026 | 5.9× |
A 7.8× ratio means reported volume was 7.8 times the starting OI in the median 0DTE session for that period. The reciprocal—about one-eighth—is opening OI relative to volume, not a measured fraction of positions that were opened or closed intraday. Repeated trading of contracts and offsetting trades are not distinguishable from this ratio.
How much of tomorrow’s 0DTE book was created today?
A separate calculation follows contracts that are one day from expiry and compares their OI before and after the session. FirmTape reports that, on the median session, 44% of the following day’s opening 0DTE OI came from OI that did not exist that morning and was opened during the session. The reported share was 40% in 2024, 50% in 2025, and 52% in 2026 through August 14. Median volume in those contracts was 1.06 times their next-day opening OI.
This is a statement about the composition of the next opening snapshot under the study’s method, not a count of every opening trade during the day. The calculation is based on positive net OI changes and next-day OI; same-day openings that were closed before the snapshot do not remain in that inventory.
Why daily OI misses intraday position lifecycles
Cboe explains that the opening OI value comes from the previous night’s OCC end-of-day value and remains static during the session until the next morning’s update. As a result, daily OI snapshots show the net change between snapshots, not an intraday timeline of when positions were opened or closed. Cboe’s options FAQ describes this convention.
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FirmTape excludes expiring-on-D contracts from ΔOI calculations because they have no next-day OI. It also reports removing rows where |ΔOI| exceeded volume, treating those observations as impossible for this measure and attributing them to OI snapshot timing. Those rows represented 4.1% of rows and 3.8% of volume in its data.
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What these numbers cannot tell you
- They do not reveal which side initiated an opening trade or which participant opened or closed a position.
- They do not show whether traders were bullish or bearish, or why they traded.
- They do not measure dealer gamma, customer direction, or hedging flow.
- They are not, by themselves, a trading signal.
FirmTape describes its work as a measurement rather than a signal. Its ratios use net OI changes and do not sign trades; interpreting positioning or market impact requires other data and assumptions.
What data is needed to reproduce the calculation?
The calculation requires two consecutive sessions of per-contract OI and one session’s per-contract volume. For each expiry, strike, call/put right, and date, the study computes ΔOI, retains contracts with volume, removes rows where |ΔOI| exceeds volume, and aggregates the results by days to expiry. To estimate the next day’s opening 0DTE inventory, it examines contracts at 1 DTE and compares next-session OI with positive OI changes during the prior session.
Cboe’s Option EOD Summary page describes daily files containing trade volume and open interest for listed U.S. stock, ETF, and index options, with historical data available from January 2012 to present. Check the page for current licensing and purchase terms. The OCC’s volume and open-interest reports provide daily reports, but the page does not establish chain-level historical SPX fields sufficient to reproduce this particular calculation from those reports alone.
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