Open Interest vs Volume in Futures: What Each One Counts

Volume is a count of contracts traded over some stretch of time. Open interest is a count of contracts that are still open — bought or sold, and since then neither offset by a matching trade nor settled by delivery.

The two numbers answer different questions, and once you have the definitions straight, everything else about them follows by arithmetic: how a single fill moves each one, why one of them shows up on an intraday chart and the other only on a daily one, and why one contract month can bleed open interest while the market as a whole holds steady.

What is the difference between open interest and volume in futures?

Volume measures turnover; open interest measures the stock of positions that turnover has built up. The CFTC's futures glossary carries a separate entry for each. Its Volume entry gives a count of contracts traded over a stated period. Its Open Interest entry gives the futures contracts standing long or short, in one delivery month or in a whole market, which were entered into and have not since been closed out by an offsetting transaction or settled by delivery.

That same entry records two other names for the figure: open contracts and open commitments. Open contracts is the term the rulebook uses: 17 CFR 1.3 defines it, and 17 CFR 15.00 — the definitions section that serves the reporting rules of parts 15 through 19 and part 21 — sends those reporting parts back to that same definition.

The row about closing a position is the one that trips people up. Closing a trade is still trading, so it adds to volume; and closing a trade retires an open contract, so it takes away from open interest. A busy session of traders getting flat is a high-volume, falling-open-interest session.

How does a single futures trade change open interest?

A single trade moves open interest up by one, down by one, or not at all, depending on what the two counterparties were already holding. Reason from the 17 CFR 1.3 definition: an open contract is a futures position in a named delivery month which delivery has not fulfilled and which no offsetting purchase or sale in that one commodity and that one delivery month has cancelled.

Work through the four possible pairings of one buyer and one seller:

• Both are opening. A new long meets a new short. One contract now exists that did not before, so open interest rises by one.
• Both are closing. An existing long sells to an existing short who is buying back. Two positions are offset and nothing replaces them, so open interest falls by one.
• A new long buys from an existing long. The seller's position is offset, the buyer's is created. Open interest is unchanged; the contract has changed hands.
• A new short sells to an existing short. Same result in the other direction. Unchanged again.

Volume rises in all four cases. That asymmetry is the whole of it: a trade always counts as activity, and only sometimes changes how much is outstanding.

The long and short sides are tracked separately and add up to the same total. Under 17 CFR 16.00 a reporting market files a daily report with the Commission setting out, clearing member by clearing member, how many long open contracts and how many short open contracts that member was carrying when the day ended, along with the quantities it bought and sold that day. Every open contract puts one long and one short into those totals, so a market's long and short open interest are equal by construction.

Why is open interest only updated once a day?

Open interest is updated once a day because it is an end-of-day quantity, while volume accumulates fill by fill. The clearing-member figures in 17 CFR 16.00 are what each member was carrying when the day ended, and they are not due at the Commission until noon on the following business day. Sierra Chart's documentation for its Open Interest study, stamped as last modified on 24 January 2025, spells out what that costs a chart: open interest is only there on the Historical Daily chart type and not on Intraday charts, and the current day's figure is usually missing until the next trading day has closed. Put that study on an intraday chart and it reports whatever the Number of Trades study reports.

The regulatory timetable matches. Under 17 CFR 16.01, a reporting market records volume and open contracts for each business day and must file them with the Commission by the following business day — 7:00 a.m. for the delta factor and the settlement price, noon for everything else — and must put that data in front of the press and the public, free of charge, by the business day after the session it covers.

Volume on a chart has its own wrinkle. Quantower's Volume Bars documentation says that chart type is built from volume data, meaning tick volume or exchange volume when exchange volume is available. So the quantity a chart accumulates is not automatically the exchange's count of contracts traded, which is the figure 17 CFR 16.01 requires; which of the two a bar used depends on what the feed supplies.

What does the exchange count, and what does it leave out?

17 CFR 16.01 spells out the line items, and the exclusions are where the interesting detail sits. The open-interest figure a reporting market records is total gross open contracts in futures, with any contract whose delivery notice has been stopped taken out. Where a futures product specifies delivery there is a second figure of its own: the open contracts covered by delivery notices issued on that business day.

On the volume side, the total of trading volume leaves out transfer trades and office trades. The glossary's Transfer Trades entry describes a transfer trade as a book entry at a futures commission merchant that moves an existing trade to another account in the same firm, or onto a second firm's books, with nobody's ownership changing. Two categories are reported separately while still sitting inside the headline total: block trades, and the volume that was exchanged for a commodity or for a derivatives position.

The clearing-member figures use a slightly wider exclusion. The end-of-day open contract totals under 17 CFR 16.00 leave out any futures contract whose delivery notice has been stopped or issued, and the day's issued and stopped notice quantities are reported separately.

Options carry a count of their own. The glossary's open interest entry is about futures contracts; the 17 CFR 1.3 definition of open contracts treats commodity option positions as a separate limb, covering any that is unexpired, unexercised and not offset; and 16.01 requires options data to be recorded put by put and call by call, split by expiration date and strike price. Cleared swaps form a third limb in the same definition.

Why is open interest reported per contract month?

Open interest is a per-month figure because an offset only works inside one delivery month. The 17 CFR 1.3 definition requires the offsetting trade to match on two things at once, the commodity and the delivery month, and 17 CFR 16.01 has reporting markets record futures data split per commodity and per futures expiration. Open interest is therefore built from the bottom up, one delivery month at a time, and a market-wide figure is the sum of those pieces.

This is what makes a roll legible. Selling a December position and buying a March one is two trades, which adds to volume in both months; it retires an open contract in December and creates one in March, so December's open interest falls while March's rises. The total across the two can sit still through the whole process. Our post on when futures contracts roll over covers the calendar side of that migration, and the per-month structure of the data is the reason the migration is visible at all.

The same rule explains why a calendar spread does not reduce open interest. A long December against a short March is two open contracts in two different months, and neither offsets the other under the definition.

Can volume be higher than open interest?

Yes — volume can run to many times open interest, because the two measure different things: volume adds up every fill, while open interest only changes when the net stock of positions changes.

Take a market that starts a session with 100,000 contracts outstanding. If every trade that day pairs one trader opening a position with another trader closing one, open interest finishes the session at 100,000 while volume climbs with every fill. A day of half a million contracts traded can end with open interest exactly where it began.

The reverse case is just as plain. A contract opened on Monday and held until Friday adds to Monday's volume and to nothing after that, while sitting in the open interest figure for five consecutive days. Volume is paid once, at the moment of the trade; open interest is counted again every evening until the position goes away.

What do volume and open interest not tell you?

Neither figure carries identity. Open interest is one number for a market, with its long side and its short side equal by construction, so a rise in it says positions were created without saying who holds them. The trading volume 17 CFR 16.01 requires is likewise a single total for each commodity and each expiration.

The weekly Commitments of Traders report exists because the headline figure is silent on that. The glossary's Commitments of Traders Report (COT) entry describes a weekly CFTC report that splits the open interest standing on a Tuesday three ways — commercial, non-commercial, and the holdings too small to be reportable — in any market where at least 20 traders sit at or above the Commission's reporting levels. It is a once-a-week slice of the same number.

For intraday work, the tool that splits volume up by price is a volume-at-price study: our explainer on volume profile covers what those platforms compute and what they draw. Both counts describe what has already happened: how much changed hands, and how much was still outstanding when the day ended.

What do these numbers mean on a simulated funded account?

A simulated position is not in the open interest figure. 17 CFR 1.3 defines open contracts as positions a person takes on a board of trade or under its rules, and a fill produced by a simulator is neither — a distinction we work through in sim trading versus live trading. Your own position size and the market's open interest are separate facts that happen to use the same unit.

What the two numbers are genuinely useful for is choosing a contract and a month. Volume tells you where this week's trading is actually happening, and the per-month open interest tells you which expiry the outstanding positions sit in. Both are published free of charge by the reporting market the business day after the session, which makes them a liquidity check you can run before committing to a size.

That matters more on a funded account than the raw figures suggest, because your size ceiling is the same on the first trade as on the last: the contract limits article sets out how many minis and micros each account size may hold, and the full allowance is there from the start. A thin month will not stop you from reaching that ceiling, and the fill quality is yours to live with. The instruments we list are the starting point for working out which months are liquid in the products you actually trade.

FAQ

Does open interest go up every time I buy a futures contract?

No. It depends on what your counterparty was doing. If the trader selling to you was opening a new short, a contract is created and open interest rises by one. If that trader was closing an existing long, the position simply transfers to you and open interest does not move. The 17 CFR 1.3 definition of an open contract — a position neither delivered against nor offset within that one commodity and that one delivery month — is what makes those two cases differ.

Why is there no open interest on my intraday chart?

Because open interest is an end-of-day figure. Sierra Chart's documentation for its Open Interest study says open interest is only there for the Historical Daily chart type and not for Intraday charts, that the current day's value is usually unavailable and turns up once the next trading day has closed, and that on an Intraday chart the study outputs whatever the Number of Trades study would. The regulations line up: the clearing-member open contract totals in 17 CFR 16.00 are what was carried when the day ended, and reach the Commission by noon the next business day.

When are official futures volume and open interest published?

The business day after the session they describe. 17 CFR 16.01 requires a reporting market to file the settlement price and the delta factor with the CFTC by 7:00 a.m. on the following business day and the remaining data by noon, and to put the volume and open contracts data in front of the press and the public, free of charge, by that same following business day.

Does open interest fall during the delivery period?

In the recorded figure, yes, because the rules take contracts out of it as delivery proceeds. Under 17 CFR 16.01 the total gross open contracts a reporting market records excludes any contract whose delivery notice has been stopped, and where a product specifies delivery the contracts noticed that day are a line of their own. The clearing-member totals under 17 CFR 16.00 exclude contracts on either side of that, stopped or issued. A position that leaves through delivery therefore stops being counted, rather than being carried while the delivery is worked through.