OI-Weighted DTE

Q: What does OI-weighted DTE tell you?

It reveals the average time horizon of options positioning. Low = short-term gamma-driven. High = institutional, patient capital.

Q: How does it affect trading?

Low OI-weighted DTE means intraday gamma effects are amplified. High means the market is more vega-sensitive.

Q: Why does OI-Weighted DTE matter for trading?

OI-weighted DTE collapses a whole term structure of open interest into a single number. It tells you whether dealer flow in a given ticker is dominated by fast gamma (short DTE) or slow vanna/vega (long DTE). The two regimes require entirely different trading approaches.

Q: When is OI-Weighted DTE good versus bad for a trader?

Short weighted DTE is good for 0DTE strategies and pin plays — gamma and charm effects are sharp. Long weighted DTE is bad for intraday pin trades (flow is muted) but good for vol-regime trades. Balanced DTE means no dominant timescale — trade on other signals.

Canonical definition, formula, interpretation, and API reference.

Definition

Average days to expiry weighted by open interest. Reveals whether positioning is short-term or institutional.

Formula

Sum(DTE_i x OI_i) / Sum(OI_i)

Weighted average across all contracts.

Inputs

DTE per contractOI per contract

Output

oi_weighted_dte (days)

Interpretation

< 14 days: short-dated, high gamma sensitivity
14-45 days: balanced
> 45 days: institutional, vega-driven

API Reference

Endpoint

GET /v1/stock/{symbol}/summary

Tier

Free

Response field

exposure.oi_weighted_dte

Why OI-Weighted DTE Matters for Trading

TL;DR

OI-weighted DTE tells you whether positioning is loaded into near expiries (gamma-dominant) or far-dated ones (vanna/vega-dominant). Short DTE = faster decay, sharper flows.

What it measures: Average days-to-expiration across the chain, weighted by open interest.
What it signals: The effective maturity of the positioning in the chain. Short = short-gamma world. Long = vol-of-vol world.
Why we measure it: A chain with 80% of OI in 0–7 DTE behaves totally differently from one with OI distributed across quarters. OI-weighted DTE collapses that into one number.
Who uses it: Volatility traders, dealer-flow analysts, and systematic quants sizing gamma vs vanna exposure.

How to read OI-Weighted DTE

Short weighted DTE (< 10d)

Gamma dominates flow
Intraday pins and walls more reliable
Charm flow large into OPEX
Fast theta burn for buyers

Good for: 0DTE / short-dated strategies

Long weighted DTE (> 45d)

Vanna / vega dominate
Flow responds to IV changes, not spot
Intraday dealer hedging muted
Pin effects weak

Bad for: pin plays — good for: vol-regime trades

Mixed (15–30d)

Balanced gamma and vanna exposure
No dominant timescale
Standard vol portfolios
Use broader context

Balanced

Rules of thumb

Short DTE = gamma world. When OI-weighted DTE is under 10, treat the name as a gamma-driven story.
Long DTE = vol world. Over 45 days, vanna and vega rule — hedging responds to IV.
Shifts around OPEX. DTE ticks down sharply as near-dated contracts expire and roll.
Compare across names. SPX weighted DTE is typically shorter than most single stocks — reflects 0DTE dominance.
Use with GEX. High GEX + short DTE = strongest pin/wall behaviour. High GEX + long DTE = slow-moving hedge book.