In FirmTape’s sample of SPX and SPXW options from April 14, 2022, through August 14, 2026, the median session’s net open-interest change was 39.9% of that day’s trading volume. That is a measure of how much the outstanding book grew or shrank on net—not a count of trades that opened new positions. For 0DTE options, volume was a median 5.9 times opening open interest across the sample, showing how much intraday turnover can occur relative to the inventory visible that morning.
What “new each day” means in open interest
Open interest (OI) is the number of contracts still outstanding. It is not the same as volume: volume counts contracts traded during a session, while OI records the standing inventory at a snapshot. To measure the book’s net change, FirmTape matched each contract by expiry, strike, and call-or-put right, then calculated the next session’s opening OI minus the current session’s opening OI.
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A positive change means OI rose; a negative change means it fell. A zero change does not mean no positions opened or closed: openings and closings can offset. Because those opposing actions are hidden in a net figure, daily OI change cannot count gross position creation.
The timing matters. Cboe explains that the prior night’s OCC end-of-day OI is used as the session’s opening value and remains static during the day until the next morning’s update. Cboe’s options market statistics FAQ describes this convention. Thus, the daily snapshots show what remains in the book by the next opening, not the full lifecycle of positions traded intraday.
What FirmTape measured across 1,081 sessions
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 study covered 8.6 million contract-days, of which 4.3 million had volume. Its reported findings are calculated from that sample and should not be read as universal market constants.
- Median net OI change: 39.9% of daily volume per session; the interquartile range was 36.2%–44.0%.
- Direction of net change: FirmTape reports positive net OI change in every year and expiry bucket in its sample.
- 0DTE turnover: Median 0DTE volume was 5.9 times opening OI over the full sample. In 2026 through August 14, the median was 7.8 times.
The 39.9% figure answers a narrow question: how large was the median session’s net change relative to its volume? It does not mean that exactly 39.9% of contracts traded were newly opened. Volume can include repeated trading in the same contract, and the OI difference nets openings against closings.
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How expiry changes the picture
FirmTape reports three distinct measures by days to expiry. Net change divided by volume describes net book growth; absolute change divided by volume is a lower-bound measure of one-sidedness; and the final column shows the share of volume in contracts whose OI rose. They are not interchangeable measures of “new” trades.
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|---|---|---|---|
| 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% |
In FirmTape’s interpretation, farther-dated contracts look more open-and-hold, while near expiries are more churn-heavy. The measures support that broad contrast, but they do not identify who traded or what any trade was intended to express.
How much of tomorrow’s 0DTE book was created today?
FirmTape also examined contracts that were one day from expiry, comparing their OI changes during the session with the following day’s opening 0DTE inventory. In the median session, 44% of that next-day opening 0DTE OI had not existed that morning and was opened during the prior session. The reported share was 40% in 2024, 50% in 2025, and 52% in 2026 through August 14. Median volume in those one-day-to-expiry contracts was 1.06 times their next-day opening OI.
This is a different question from the 0DTE volume-to-opening-OI ratio. The first tracks how much of the next morning’s 0DTE inventory reflects positive OI change during the preceding session. The turnover ratio compares expiry-day trading volume with the inventory visible at that day’s open.
0DTE volume can greatly exceed the morning’s book
FirmTape’s median expiry-day volume-to-opening-OI ratios rose over the sample. The 2026 figure covers only sessions through August 14, not the full year.
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|---|---|
| 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× |
At the 7.8× median ratio, opening OI was roughly an eighth of volume for the measured 2026 sessions. That is a comparison of morning inventory with total turnover, not a measured share of positions opened and closed intraday. The ratio alone cannot reveal how many times contracts changed hands or how much of the activity represented new risk.
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What the numbers cannot tell you
- They do not identify opening trades individually. Net OI change is the balance after openings and closings, so simultaneous activity can cancel out.
- They do not show who initiated or held a trade. The study does not sign trades or identify participant type.
- They do not establish direction or dealer positioning. OI and volume alone do not establish whether activity was bullish or bearish, reveal dealer gamma, or measure hedging flows.
- They are not a trading signal. FirmTape describes the work as a measurement rather than a signal; applying it to positioning or price direction requires additional data and assumptions.
For contracts with volume, FirmTape treated absolute ΔOI divided by volume as a lower bound on how one-sided trading was. Even that measure cannot expose offsetting openings and closings within the day.
Data exclusions and limits
Contracts expiring that day do not have a next-day OI observation, so FirmTape excluded them from ΔOI statistics. The study also excluded rows where absolute ΔOI exceeded volume, which it considered impossible under its measure and attributed to OI snapshot timing. Those rows accounted for 4.1% of rows and 3.8% of volume.
The article reports calculations based on ThetaData’s SPX/SPXW chain; the reported results have not been independently rerun against raw data here. The sample’s coverage is described as 0DTE plus the 21 nearest expiries, while results also include a 22+ DTE bucket. These findings therefore describe FirmTape’s reported methodology and dataset, not every possible SPX options feed.
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1Clear out junk files and repair common Windows errors2Fix the driver behind crashes, sound loss and screen glitches3Repair Windows errors before they cause bigger problemsWhat is needed to reproduce the calculation
At minimum, the calculation requires per-contract OI snapshots for two consecutive sessions and contract-level volume for the session between them. A reproducible workflow would group on expiry, strike, call-or-put right, and date; calculate ΔOI; retain contracts with volume; apply the study’s exclusion for absolute ΔOI above volume; and aggregate ratios by days to expiry. To estimate the next day’s 0DTE inventory contribution, examine contracts at 1 DTE and compare their positive OI changes with their following-session opening OI.
Cboe’s Option EOD Summary page describes daily end-of-day files with volume and open interest for listed U.S. stock, ETF, and index options, with historical data available from January 2012 to present. Check the current licensing and purchase terms directly with Cboe. The OCC’s volume and open-interest reports provide daily reports, but that page alone does not establish access to the contract-level historical SPX fields needed to reproduce this particular calculation.
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