OI Formation & Direction

Settlement arithmetic

Formation window

Source trade date

July 01, 2026Tape session

Baseline OI

7,298OI visible on source date

Settlement observation

July 02, 2026Next returned trading row

Settled OI

7,223Next observation

OI change

-75Settled minus baseline

Trade-day volume

3,653Bound denominator

Net-formation ratio

-2.05%OI change ÷ volume

Bound-first attribution

Side partitions & lower bounds

Each raw bound is max(0, OI change − (volume − side volume)). A positive value is the minimum net formation forced into that quote-side bucket.

Ask

535Raw lower bound: Unavailable

Bid

94Raw lower bound: Unavailable

Mid

24Raw lower bound: Unavailable

Neutral

3,000Raw lower bound: Unavailable

Clean ask

UnavailableSide volume after allowing all flagged structure to contaminate this bucket

Clean bid

UnavailableSide volume after allowing all flagged structure to contaminate this bucket

Conservative allowance

Flagged structure

The clean dominant-side bound allows every flagged contract to contaminate that side. Because flags can overlap, their sum is capped at daily volume.

Multileg

1Flags may overlap

Stock multileg

250Flags may overlap

Cross

3,000Flags may overlap

Floor

260Flags may overlap

Clamped structure allowance

3,511Sum capped at total volume

Context only

Intraday corroboration

Minute clustering, premium, and IV describe the tape. They cannot create or increase a mathematical bound.

Active minutes

54Returned minute buckets

Largest minute

3,00082.12% of daily volume

Ask/bid premium imbalance

+71.35%Positive is ask-premium led

IV range

20.29% – 23.85%Descriptive only

Daily reconciliation

ReconciledMinute side totals versus daily side totals