Open interest vs volume

Two ways to weight a book, and they do not agree

Volume is how many contracts traded today. Open interest is how many contracts are currently outstanding — positions opened and not yet closed. Volume resets every session; open interest is a running balance, published once a day after the close.

The distinction sounds like bookkeeping. It decides what a gamma chart means.

Three books, three different answers

Weight each strike's gamma by open interest and you get the convention book: the one most published GEX numbers use, with a sign assigned by a rule of thumb (calls positive, puts negative) rather than by anyone's actual position. Weight it by today's volume and you get a book that reflects what is being traded now but has no memory. Weight it by an inferred dealer position — signing each print by which side of the spread it hit, then accumulating — and you get the measured book.

They disagree, often about the sign. The terminal prints all three as separate chips for exactly that reason: when they split, the split is the reading.

Which one is right?

We treated that as a question rather than a preference and measured it. Seven constructions of dealer gamma were put against one outcome with one set of controls in which gamma measure sees anything — only the two tape-signed ones survive, and the effect turns out to live entirely in 0DTE. A companion post asks the narrower question directly: which book is the zero-gamma flip.

Two more measurements bear on it. How much of the book is new each day quantifies how fast open interest turns over — which bounds how stale an OI-weighted picture can be — and does open interest pin the index tests the strongest claim usually made for OI weighting.