Options Open Interest Data
Author: RichJSails
Creation Date: 3/9/2010 1:01 PM
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Looking for a method to retrieve Option Open Interest when scanning underlying securities for a "expiration day" strategy.

I've put in a development request with Fidelity, but in the meantime, is anyone aware of either a data provider or an XML (web service) call that can be used to retrieve Option Open Interest? (Delayed data is fine for the purpose)



Many Option Expiration Day strategies work best when open interest levels between calls and puts are within 15% and open interest is above 1000 contracts. When a stock is near a strike with balanced option interest, the market makers tend to pin the stock at the strike price, creating some great trading opportunities for the options.

Basically, the candidate scan is:
1) Scan Stocks within 2% of a strike price at OpEx day.
2) For those, check the Option Chain at that Strike - If open interest is > 1000 and Call/Put interest within 15%, you have a candidate.
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If anybody is aware of a 3rd party data vendor, WebService or even a website which has such data, let us know.
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Fidelity has all this data...you need to login
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Unfortunately, it's not that simple :/

UPDATE Oct 3 2019: To anybody interested. See this page for working code that delivers open interest for options as well as some related data items:

Open interest data for option contracts
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Added OpenInterestForOptions class to Community Components:

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