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Re: Bars Based on Contracts' Volume As % of Open Interest
thrunner I think the accepted definition is "the total number of options and/or futures contracts that are not closed or delivered on a particular day." Of course if you are getting real time OE then you would know this tick by tick rather than day by day. For every buyer there is a seller of course but OE tells you if they are trading to open or trading to close.
Put another way its the number of open positions held by traders.
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