Support Board
Date/Time: Fri, 09 Oct 2026 19:10:58 +0000
Post From: Open Interest Date Alignment in Futures Options .dly Files
| [2026-10-09 11:24:02] |
| User793507 - Posts: 2 |
|
Hello Sierra Chart Support, I am reviewing historical CME E-mini S&P 500 futures options .dly files for my own quantitative research. In this example: E1AV26 P6275.FUT_OPT.CME.dly I see: 2026/09/30: Volume 54083, OpenInterest 0 2026/10/01: Volume 0, OpenInterest 54083 Could you please confirm whether the OpenInterest shown on the 2026/10/01 row represents the end-of-day Open Interest resulting from trading on 2026/09/30? I need to understand the date alignment correctly to avoid look-ahead bias in historical research. Thank you. |