April 20, 2016

Open interest changes AFL

Many traders study changes in open interest with change in price and then try and anticipate what will happen next.

This AFL lists the % change of the underlying and also the change in the open interest. You can then sort the respective columns and develop your trading strategy.

More info on open interest is available at http://www.vfmdirect.com/info/open.html


And this is the AFL

>>>
Filter=1; AddColumn(C,"Close",1.2); AddColumn(ROC(C,1),"% change",1.2); AddColumn(ROC(OpenInt,1),"% OI change",1.2);

<<<


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