OI-Weighted DTE
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.
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