Learn to Day-Trade the Emini S&P Futures

Open Interest – 3/30/12


[11:18] RG: open interest report:  ES increased a small amount of 3,287 to 2,730,099 indicating new sellers again for third day in a row.  Interesting to see after the rally off the lows in the afternoon – the shorts held on.  6E open interest declined 1,888 on the down day indicating longs were exiting for the 2nd day in a row, but no new sellers emerging yet

[11:25] RG: option premium increases as anxiety about a potential move grows and more traders buy insurance.  Portfolio managers want to insure their recent gains without liquidating their equity positions.  As put buyers b come in, the option market makers sell the the option delta equivalent of futures.  This put buying that translates into futures selling could explain some of the open interest over the last few days.

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