Steve,
This question is more about information reliability than it is about trade execution, but I figured you were a good start at understanding.
I have been doing a study of the option open interest trends for several stocks.
Because I can find no place that provides information on early exercise, I had been looking at the change in open interest from day to day and comparing that to the volume of the previous day. If the volume was less than the drop in open interest, there had to be some exercise to account for the change. As expected, this happened regularly with DITM Puts.
However, I also noted that there were several times where the open interest in OTM Calls dropped by significantly more than the volume.
Examples.
Between 9/10/2002 and 9/11/2002, the open interest on the AMAT October 02 $20 Call dropped from 10531 to 9569 on just 51 volume.
Between 9/17/2002 and 9/18/2002 the open interest on the CSCO October 02 $22.5 Call dropped from 13667 to 13429 on ZERO volume and the 25 Call dropped from 5016 to 4770, also on ZERO volume.)
Early exercise of DITM Puts is easily understood and probably explains that decrease in Open Interest.
However, it makes no sense to exercise an out of the money call, so what explains the difference in open interest? Is this a data integrity problem with OCC?
If you do not have an answer, would you please point me in a direction where one may be found?
(I already send an E-mail to options@theocc.com , if that is a suggestion.)
Ira |
