3.2.6 OI Heatmap
3.2.6.1 OI Heatmap Overview
The OI Heatmap Tool provides a birds eye view of the change in open interest for all contracts on an option chain for a given ticker. This information is useful to see how open contracts are evolving over time, to see how persistent interest moves along strikes and expirations. The full chain has 5 days of heatmap visualization, and contracts closer to the money provide OI history for the entire life of the contract.
3.2.6.2 Trade Date Selector
The trade date selector allows you to select which lookback date to compare OI changes visually for the entire chain in a single view. Note that each trade date selected will only show the 1 day change from the prior trading date. A larger deep dive into historical changes can be done on a per contract basis, described below.
3.2.2.3 Contract Type Selector
This selection tool allows you to select only puts, only calls, or both, and adjusts the color bars to visually distinguish each range independently.
3.2.2.4 Strike Range
The strike range slider allows you to expand the window of available strikes, so you can easily zoom into only the parts of the chain you care about, or can look at the entire chain at once, even for massive chains like SPX.
3.2.2.5 Colorbar Selector
The colorbar selector allows you to zoom into the color range you care about by sliding the sliders on either side of the bar. Red represents a reduction in OI compared to the previous trading day, while green represents an increase. Pure black signifies there was no change in OI (or there may not be a contract at that strike/expiry pair). Hovering your cursor over a specific point on the colorbar will highlight contracts that are within that range, allowing you to quickly pick out contracts with some desired OI change.
3.2.2.6 Full OI History View
Clicking on a contract box brings up a plot of the OI for that contract over its entire lifetime. This is useful to see how interest has changed for a given contract over longer periods of time than just a few trading days. With all of these toolsets, it is possible to dig as deep as you want into the entire OI history of the chain as it exists today, in a way that is intuitive and useful.
