GEN: Open Interest Numbers Date:

[Patrick Slevin <pslevin@xxxxxxxx>]

Could you please clarify something? I use EOD O.I. numbers for Neural Net
modeling and I wonder, as the result of your post, whether I might be
inadvertently instilling "leaks".

That is, when you say that the "aggregate" may change, would that mean:

If Monday was originally reported as having 2,000 Open OEX Puts, for example,
but then on Tuesday Close it was changed to 2,500.

A: Would the Monday Close be "back adjusted" to 2500

or

B: Would Monday's Close remain the same for reporting purposes and Tuesday
would be "adjusted" to reflect the missing 500 contracts.

This is important for me to know, because if a Neural model encounters changes
in past history the Neural signal may change. That is to say, if the model
"thinks" there are 2,000 puts open on Monday it's signal may be to Sell. If I
tell it on Tuesday that Monday was really 2,500 then it may go back and change
that sell signal to a Buy. 

Obviously, if the O.I is back adjusted then I must discard it as a variable
for Net modeling.

Thanks in advance,

--Pat Slevin


The answer to your question is no.  In the securities industry the OCC
calculates the open interest and supplies it back out to the data vendors.
They make a best efforts attempt to deliver it prior to the opening of
business, but there is no statutory requirement.

Also the OI numbers are prone to large revisions, these would occur most often
in the most actively traded instruments, and any revision would be difficult
to spot because  it would merely show as a change in aggregate...since there
is a one day lag it would be difficult to discern between actual trading
activity and any revision.

Jack Higgins wrote:

> Good day all,
>
> Are the exchanges required to post the final open interest numbers from
the
> previous day by a certain time? I use EOD data so my numbers are a day
late
> and the exchange sites do not seem to have a consistent posting time,
> usually later in the afternoon. I am trying to find a site to get the
> previous days open interest  prior to the markets opening time - any
> suggestions?
>
> Thanks,
> Jack