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Eurex Open Interest Insights Unique indicators around market direction and the vigor behind price trends

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Key product characteristics

  • Eurex Open Interest Insights captures proprietary data from within the exchange’s network, providing unique insights into market sentiment and offering key information regarding investors’ risk appetites and convictions
  • The product provides Open Interest measures, broken down into long and short positions, giving insights into the distribution of exposure in the futures and options market
  • The product provides a daily analysis of the positions of market participant groups (agents, market makers and proprietary traders) similar to Eurex Flow Insights.
  • 20 years of history are available and can be retrieved dating back to 2002 with a vastly expanded coverage encompassing the entire Eurex universe for expirations 2002-2018 except Single Stock Futures and FX.
  • The ongoing daily file product scope is based on the expanded coverage of approximately 1,000 liquid Eurex products and is reviewed quarterly

Data details

  • Open interest is broken down daily at the instrument level into long and short positions, and market participant groups (agents, market makers and proprietary traders)
  • Open interest includes all adjustments
  • Options and futures strategies are decomposed and added to the outright positions
  • Historical data available dating back to 2002 with previous stringent liquidity rules removed for expiries 2002-2018
  • The data can be retrieved from the > Marketplace historical data streams via API or Web GUI
  • Eurex Open Interest Insights is available at T+2 in CSV-Format

Product packages and data universe

  • The product is available in two packages; Equity + Index and Fixed Income
  • Product universe includes all liquid Eurex products (approx. 350 products)
  • Historical expiries between 2002-2018 are further available for all Eurex instruments except Single Stock and FX Futures

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