Hermēs DocumentationWhy OI, Volume and Exposure Rank Differently
Compare positions, trading activity, Greek weighting and Max Pain on matching instruments and expirations.
Many contracts, many trades and high hedge sensitivity are different observations. Compare institutional data, GEX Data and the OI / Max Pain views in the options desk.
| Measure | First interpretation | Not established |
|---|---|---|
| OI | Outstanding contracts | Someone is buying right now |
| Volume | Contracts traded during a period | Every trade opens a position |
| OI Change | Net change between position dates | New positions are necessarily bullish or bearish |
| Greek exposure | Model-weighted sensitivity | Full knowledge of actual dealer inventory |
| Max Pain | Settlement-price estimate minimizing aggregate expiration intrinsic value for the given OI | Price must reach it or all options expire worthless |
Panel exercise
- Match symbol, session and expiration scope wherever controls allow.
- Record both call and put OI at a concentrated strike.
- Check whether that strike is actively trading today.
- Inspect the corresponding Greek heatmap. Mark unmatched scopes as non-comparable.
- Compare distance from spot: a large far-OTM position can have less Gamma sensitivity than a smaller near-ATM position.
A call-minus-put quantity measure is not interchangeable with signed Greek exposure. Check the sign definition before interpreting green as dealer buying.
Scenario and invalidation
A high-OI strike with limited current trading, far from spot, is a position concentration—not evidence of a new large buyer. Expiration, price and volatility changes can alter the sensitivity ranking.
Record separate OI, volume and Gamma rankings. Explain differences using observable facts; leave opening/closing status or position direction unknown when unavailable. Do not use tomorrow's OI update as information that was available today.
Next: Expiration transitions.