KF Open Interest
Defined by CME as “the total number of futures contracts held by market participants at the end of the trading day. It is used as an indicator to determine market sentiment and the strength behind price trends…it’s calculated by adding all the contracts from opened trades and subtracting the contracts when a trade is closed. Analysts typically use open interest to confirm the strength of a trend. Increasing open interest is typically a confirmation of the trend whereas decreasing open interest can be a signal that the trend is losing strength. The idea is that traders are supporting the trend by entering the market that increases the open interest. As traders lose faith in the trend they exit the market and open interest declines.”
This indicator is an attempt to provide traders with insights as to market participants positioning using the relationship between price and open interest. Data can be displayed in one of three modes
- Cumulative
- Histogram
- Oscillator
Candle selection is between
- Standard
- Hollow
- Trend (Shows positions opening/closing based on candle structure)
Two levels of Open Interest analysis that are represented in this indicator are
Open Interest up – Positions Building
Open Interest down – Positions Closing
Price Up – OI Up = New Longs
Price Down – OI Up = New Shorts
Price Down – OI Down = Longs Closing
Price Up – OI Down = Short Closing
Open interest extension above certain user selected standard deviation values can colour both the candles and background. The bands are able to be displayed on either histogram or oscillator modes.
Period starts lines (D, W, Anchored) can be displayed with an open price level plotted, along with coloured fills.
An additional analytical option of long/short position openings (position state) is able to be displayed as well. This is an experimental attempt to determine which side is positioned relative to price action. The market structure trend of price is compared to a similar trend of OI. An additional sensitivity option allows adjust how quickly a drop in OI shows closing positions relative to opening.
A combination of OI, Volume and Price analysis gives “HV” signals. HV Opens shows a high amount of volume transacted with a large rise in OI. HV Closes are ‘Pseudo liquidations”, showing drops in OI with high transacted volume.
The Position Pivots setting available in the ‘Cumulative’ mode gives traders a view of OI rotations. Once a market structure trend changes the last pivot low of OI is plotted until intersection. Once this level is tapped any positions opened since the pivot are likely closed.
There is also a trade-off between giving too many signals or being too lagging so different instruments may require different settings. Additionally if a symbol does not have any open interest data it will not plot.
This indicator is an attempt to provide traders with insights as to market participants positioning using the relationship between price and open interest. Data can be displayed in one of three modes
- Cumulative
- Histogram
- Oscillator
Candle selection is between
- Standard
- Hollow
- Trend (Shows positions opening/closing based on candle structure)
Two levels of Open Interest analysis that are represented in this indicator are
Open Interest up – Positions Building
Open Interest down – Positions Closing
Price Up – OI Up = New Longs
Price Down – OI Up = New Shorts
Price Down – OI Down = Longs Closing
Price Up – OI Down = Short Closing
Open interest extension above certain user selected standard deviation values can colour both the candles and background. The bands are able to be displayed on either histogram or oscillator modes.
Period starts lines (D, W, Anchored) can be displayed with an open price level plotted, along with coloured fills.
An additional analytical option of long/short position openings (position state) is able to be displayed as well. This is an experimental attempt to determine which side is positioned relative to price action. The market structure trend of price is compared to a similar trend of OI. An additional sensitivity option allows adjust how quickly a drop in OI shows closing positions relative to opening.
A combination of OI, Volume and Price analysis gives “HV” signals. HV Opens shows a high amount of volume transacted with a large rise in OI. HV Closes are ‘Pseudo liquidations”, showing drops in OI with high transacted volume.
The Position Pivots setting available in the ‘Cumulative’ mode gives traders a view of OI rotations. Once a market structure trend changes the last pivot low of OI is plotted until intersection. Once this level is tapped any positions opened since the pivot are likely closed.
There is also a trade-off between giving too many signals or being too lagging so different instruments may require different settings. Additionally if a symbol does not have any open interest data it will not plot.