US Options Open Interest

How to use it

Identify a contract by underlying, expiration, strike and call/put. Most options tick files carry no underlying/root column: the underlying comes from the file path or API identifier, so keep it alongside every row you land. Strikes and prices are plain decimals (not scaled). EventType is a bit field: low 4 bits message type, 16 cancel, 32 call, 64 NBBO, 128 buy/bid side. Check OCC special settlements before comparing prices across a corporate action.

Typical use

Options pricing, volatility, and flow research on US-listed equity and index options.

Limitations

Delivered as recorded from the source feed: AlgoSeek does not remove crossed or locked quotes, bad prints, or out-of-sequence packets unless contracted to. Consumers own cleaning. Contract identity per row = Ticker + CallPut + StrikePrice + ExpirationDate; no OSI/OCC symbol column. StrikePrice is a decimal in USD per share written without padding (190, 227.5); Ticker is the 'OPRA symbol name'. OpenInterest on TradeDate T is the prior trading day's (T-1) outstanding contracts, published pre-open on T (timestamps about 06:30 ET). For point-in-time use, treat a row as known from its Timestamp on TradeDate, describing T-1 close. Schema versioning: v1.x files (initial release 2023-07-23) carried EventType, Action, Price, Date and Quantity; v2.0.0 (2026-04-06) delivers only the 7 columns listed here. Expect different headers in older history. Timestamp is an event time (ET, ms) with no date part; it may be the OPRA publication time for the OI message, but the guide only calls it 'open interest event timestamp'.

Coverage

US options from the OPRA feed (16 options exchanges); guide intro names options on equities, ETFs, ETNs and ADRs, page says equity and index options. Open interest is consolidated across exchanges. History start is not stated (guide cites an initial release on 2023-07-23; guide sample content dates from 2012).

Usage constraints

• Licensed vendor data: never export raw rows to a tenant-local destination or include them verbatim in a public artifact; serve only through entitlement-checked platform reads.
• Do not treat the vendor's `Ticker` as a stable identity across time; join on an AlgoSeek security key (SecId or ASID, which are distinct) or the platform symbol mapping.

Known issues (9)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Update cadence and publication latency are not stated in the guide; confirm with AlgoSeek (or GET /v1/meta/datasets/{id}/status).
• Documentation discrepancyGuide TOC lists Calculation Details, Important Notes, Resources and Dataset Location Details (pages 9-10) but the PDF text ends on page 6, so those sections are unavailable.
• Documentation discrepancyGuide Table 2 has no Missing column (other guides do), so null behaviour is unstated.
• Documentation discrepancyGuide Table 1 sample content is from 2012-01-30 (ticker A) while the published sample CSV is 2020-01-28 (ticker AAPL, expiry 20200131); both use the same 7 columns.
• Documentation discrepancyGuide intro says options on equities, ETFs, ETNs and ADRs; product page says equity and index options.
• Documentation discrepancyPage text says open interest is 'at the end of each trading day' while the guide defines OpenInterest as positions held for the previous trading day.
• Documentation discrepancyStrike column is named StrikePrice here but Strike in the bar datasets; expiry/date naming also differs (TradeDate, ExpirationDate).
• Documentation discrepancyGuide columns match the 7-column sample header exactly. The guide's revision summary says v1.x had EventType, Action, Price, Date and Quantity columns; v2.0.0 (2026-04-06) removed the first three and renamed Date->TradeDate and Quantity->OpenInterest.