We have released a new tool for subscribers which details the daily change in put and call open interest as well as yesterdays options volume for the SPX & SPY. This tool can provide some valuable insight for traders as they can assess when and where options positions are being are closed or rolled.
For instance in the charts below you can see there were very few call positions closed yesterday (they would have a negative bar that extends down). There was however new open interest initiated at the 3500 call level. The S&P500 Index was around 3375 at the time of this posting. This may indicate a large player is selling overhead calls. If this a roll you may have seen more closed positions closer to at-the-money.
Imagine that there was a large selloff in the market, this tool may be invaluable for determining when large players are closing or rolling their put positions. Movement like that may mark lows in the market.
This chart tool is only available to subscribers. Click here to subscribe and get a free 5 day trial.