Glossary

AcronymTermMeaning
OIOpen InterestOpen interest (futures) is the number of “open” contracts or open interest of derivatives of particular series or expiry in the futures market.
Open interest in a derivative is the sum of all contracts that have not expired, been exercised or physically delivered.
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COICummulative Open InterestCOI is sum of Open Interest of all existing valid contracts / series i.e. CURRENT, NEXT and FAR expiry contracts.
OI % ChgOpen Interest Percentage ChangeOpen Interest Percentage Change on closing basis compared to last closing
COI % ChgCummulative Open Interest Percentage ChangeCummulative Open Interest Percentage Change on closing basis compared to last closing
Price ActionPrice ActionDerived based on Open Interest and Underlying Closing Price.
If OI % > 0 and Closing Price > 0, its a Long buidup. Longs getting added.
If OI % > 0 and Closing Price < 0, its a Short buidup. Shorts getting added.
If OI % < 0 and Closing Price > 0, its a Short Covering. Short contracts getting closed.
If OI % > 0 and Closing Price < 0, its a Long Unwinding. Long contracts getting closed.
PCRPut to Call RatioPut to Call Ratio calculated using Options Open Interest
Trd. Qty.Traded QuantityTotal traded quantity of a stock in cash market
Del. Qty.Total Deliverable QuantityTotal Deliverable Quantity out of total traded quantity.
Del. Vol.Total Delivery VolumeApproximate value of total Deliverable Quantity (Not Traded Quantity). Calculated as multiplication of “Deliverable Quantity” & “Closing Price”
Del. Qty. %Deliverable Quantity PercentagePercentage of Deliverable Quantity with respect to Total Traded Quantity.
The higher the Percent of Deliverable Quantity to Traded Quantity the better – it indicates that most buyers are expecting the price of the share to go up.
Rollover %Rollover PercentagePercentage of switching of contracts that is close to expiration to another contract in a further-out month.
Prem. / Disc.Premium / DiscountDifference between Spot & Futures of selected expiry. If Future price is more than spot price, then it is said to be in Premium & vice versa.
Prem / Disc %Premium / Discount %Premium / Discount percentage. This can be used to find proper arbitrage trade.
SpreadSpreadDifference between Future prices of selected expiry and its next expiry series
Spread %Spread %Spread percentage.