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Open Interest (From FX Futures)

Not to be confused with volume, open interest refers to the total number of contracts entered into, but not yet offset, by a transaction or delivery, and thus they are outstanding or "open". Generally open interest increases when new money enters the market, and thus supportive of the current trend, either up or down, and if open interest decreases, it is not support of the trend.

Trend Confirmation Strategy (Rising Open Interest):

In an uptrend or downtrend, if you see rising open interest you may rest assured that the trend is backed by new money.

Trend Reversal Strategy (Falling Open Interest):

In an uptrend or downtrend, if you see falling open interest then you can suspect that the trend does not have the overall bullish or bearish sentiment to back a continuation of trend.


Since spot forex transactions are carried out over-the-counter, and not through exchanges, there is no volume or open interest record of all the transactions that take place. The next best place to look for open interest data is in the currency futures, which move in tandem with their spot counterparts. For instance, if see an rising open interest of the Euro Futures when the Euro is bullish, it can be a confirmation sign that the bullish trend may continue. Grace Cheng has a decent article on this strategy called Forex: Gauging Forex Market Sentiment with Open Interest

Standard Source:

Go to http://www.cmegroup.com/market-data/volume-open-interest/ to look up the volume and open interest for any given currency futures. You will see on that page a report entitled Daily Volume and Open Interest Report.

Please note: The Daily Volume and Open Interest Report released at the end of each trading day (4:15 PM EST) are preliminary reports only. Final reports containing official data are released the following morning.

Each pdf report is a bulky 52 pages packed with volume and open interest stats. You will need to type in "Euro FX Futures" in the Find button of your browser or pdf viewer in order to find the specific information related to the currency options. Once you have done so you will see a section that looks something like the one below, though with more currencies listed than what I have selected to copy.  

To get the net change of open interest, you have to look at the far right. As you can see the net change for Jan 5, 2012 was 10439, which means that there is enough new open interest in Euro FX Futures to suggest that the downtrend of the EURUSD might continue (Rising Open Interest = Trend Confirmation). The problem with this report is that it is hard to look up your information, and it is hard to see what the historical figures had been to give context to the current change. The source below solves this problem.

Alternative Source:

If you don't like wading through this 52 page book every day to find the net change of the particular currency you are interested in, you might find it allot easier to go to a little-known European website that displays this figure on a nice historical chart.


You can see from the chart below that there is a steady rise of Euro FX Futures open interest since Jan 1, 2012 and based on the high it had achieved in mid-December, there is still someway to go in terms of upward interest. As there has been a downward trend in the EUR/USD since the beginning of November, there rising upward interest in the Euro Futures suggests that this downward trend will continue (Rising Open Interest = Trend Continuation). When we see a slump in the rising open interest, we may suspect that there might be a reversal in store.

You can also find the open interest for all other currency futures: Canadian Dollar, Swiss Franc, Japanese Yen, British Pound.

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