Futures-equivalent open interest

Standing open interest weighted by delta, so that calls and puts can be added into one directional figure.

The unit is share-equivalents, not dollars and not contracts.

Why delta and not contract count

Raw open interest counts a far out-of-the-money call and a deep in-the-money call as the same one contract, though their directional exposure differs by an order of magnitude. Summing contracts across a chain therefore measures activity, not position.

Delta weighting converts each contract to the share position that would carry the same directional exposure. A long call and a short put both convert to a long equivalent; a short call and a long put both convert to a short one. The CFTC's worked example: 500 long puts at a delta of 0.50 convert to 250 short futures-equivalents.

What it is not

This is a measure of standing directional exposure. It is not a forecast, and the sign is not a recommendation. A large positive reading says the listed book leans long in share-equivalent terms; it says nothing about who holds that exposure or why. Much of it is hedged.

It is also a partial view. It covers listed contracts only, so exposure held over the counter is absent by construction.

Sources

U.S. Commodity Futures Trading Commission. "Commitments of Traders — Explanatory Notes." The futures-and-options-combined conversion: long calls and short puts to long futures-equivalents, short calls and long puts to short, using exchange-supplied deltas, together with the 500-put worked example. The construction here applies that convention to a listed equity option chain.