Futures Open Interest: Are Traders Adding or Closing S&P 500 and Nasdaq Futures?
Open interest counts contracts, and every contract has a buyer and a seller, so it measures size and not direction: whether the marginal position was bought or sold is unknowable from this data. The read on this page comes only from pairing the book with price. The total open interest of ES and NQ, summed across every live contract since 1997, is set against the 20-session price change and read as one of four states, each with what followed it.
Today's reading
As of the September 11, 2026 close, ES open interest totals 2,059,881 contracts, about $789 billion of notional, down 1.1% over 20 sessions while the front contract is down 2.1%: liquidation, price down, open interest down, held for 5 sessions. The book sits at the 38th percentile of the record since 1997. Since 1998, ES sessions in this state averaged +1.19% on the S&P 500 over the next 21 sessions against a +0.73% baseline (1,094 overlapping sessions), with realized volatility of 19.5% over the next 20 days against 16.1%. NQ reads liquidation: 291,363 contracts, down 0.4% over 20 sessions.
Sources, methodology & freshnessLast updated 2026-09-11 · Open ↓Close ↑
Since 1998, ES sessions in the liquidation state averaged +1.19% on the S&P 500 over the next 21 sessions (64% positive) against a +0.73% baseline, with 19.5% realized volatility over the next 20 days against 16.1%. Windows overlap. It describes the flow and forecasts nothing about direction.
Total open interest since 1997 — ES
The sum of open interest across every live ES contract, smoothed with a 63-session average, one contract cycle, so the quarterly expiry hump becomes a constant offset rather than a sawtooth, with SPY above. Notional multiplies contracts by the front price and the $50 multiplier, the fairer level across years.
Adding or closing: where ES sits
The 20-session price change across, the 20-session open-interest change up. Every session since 1997 is a grey dot; the trail is the last 20 sessions, darkening toward today. Which quadrant the point sits in is the state.
As of the Sep 11, 2026 close, ES open interest is -1.1% over 20 sessions and the front contract is -2.1%: liquidation. The book shrinks while price falls. Positions are being closed into weakness.
What followed each state — ES
Average S&P 500 returns from every session in each state since 1998, beside the all-sessions baseline, with realized volatility over the following 20 days. Consecutive sessions share states and windows overlap, so read these as tendencies. Today's state, liquidation, ran above the baseline over 21 sessions.
| State | % of sessions | Next 21 sessions | Next 63 sessions | Next 20-day realized vol | N |
|---|---|---|---|---|---|
| New longs price up, open interest up | 37% | +0.49% · 62%↑ | +1.38% · 64%↑ | 14.1% | 2,721 |
| Short covering price up, open interest down | 25% | +0.59% · 65%↑ | +2.53% · 73%↑ | 13.1% | 1,848 |
| New shorts price down, open interest up | 22% | +0.97% · 64%↑ | +1.50% · 65%↑ | 20.8% | 1,604 |
| Liquidation price down, open interest downnow | 15% | +1.19% · 64%↑ | +4.25% · 74%↑ | 19.5% | 1,094 |
| All sessions (baseline) | 100% | +0.73% · 63%↑ | +2.13% · 68%↑ | 16.1% | 7,267 |
- Next 63
- +1.38% · 64%↑
- Realized vol
- 14.1%
- Sessions
- 2,721 (37%)
- Next 63
- +2.53% · 73%↑
- Realized vol
- 13.1%
- Sessions
- 1,848 (25%)
- Next 63
- +1.50% · 65%↑
- Realized vol
- 20.8%
- Sessions
- 1,604 (22%)
- Next 63
- +4.25% · 74%↑
- Realized vol
- 19.5%
- Sessions
- 1,094 (15%)
The same study on the size of the 20-session open-interest change alone, in fifths from the largest declines to the largest builds.
| 20-session OI change | Next 21 sessions | Next 63 sessions | Next 20-day realized vol | N |
|---|---|---|---|---|
| Q1 -23.3% to -1.4% | +0.53% · 61%↑ | +3.30% · 71%↑ | 16.1% | 1,454 |
| Q2 -1.4% to +0.0% | +1.11% · 68%↑ | +3.05% · 75%↑ | 14.8% | 1,453 |
| Q3 +0.0% to +1.6% | +0.71% · 65%↑ | +2.38% · 70%↑ | 14.0% | 1,454 |
| Q4 +1.6% to +4.2% | +0.41% · 65%↑ | +1.02% · 65%↑ | 15.3% | 1,453 |
| Q5 +4.2% to +824.9% | +0.88% · 59%↑ | +0.92% · 58%↑ | 20.5% | 1,453 |
| All sessions (baseline) | +0.73% · 63%↑ | +2.13% · 68%↑ | 16.1% | 7,267 |
- Next 21
- +0.53%
- Next 63
- +3.30%
- Realized vol
- 16.1%
- Next 21
- +1.11%
- Next 63
- +3.05%
- Realized vol
- 14.8%
- Next 21
- +0.71%
- Next 63
- +2.38%
- Realized vol
- 14.0%
- Next 21
- +0.41%
- Next 63
- +1.02%
- Realized vol
- 15.3%
- Next 21
- +0.88%
- Next 63
- +0.92%
- Realized vol
- 20.5%
Open interest by year — ES
Average open interest and notional per calendar year, raw rather than smoothed because a year holds four whole contract cycles, and the change in that average from the year before. 2022, the year the intraday tape was at its most tradable, is the year the average ES book fell 12.6%, the largest yearly decline in the record: positions came off rather than piling in.
| Year | Avg open interest | Avg notional | vs prior year |
|---|---|---|---|
| 2026 (to date) | 2,027,064 | $735B | -2.3% |
| 2025 | 2,073,900 | $646B | -5.3% |
| 2024 | 2,189,556 | $598B | -2.3% |
| 2023 | 2,240,942 | $483B | -2.6% |
| 2022 | 2,301,889 | $472B | -12.6% |
| 2021 | 2,634,671 | $561B | -8.9% |
| 2020 | 2,890,644 | $459B | +7.9% |
| 2019 | 2,678,605 | $391B | -11.9% |
| 2018 | 3,041,599 | $418B | -2.1% |
| 2017 | 3,106,284 | $381B | +3.7% |
| 2016 | 2,994,067 | $313B | +4.4% |
| 2015 | 2,866,893 | $294B | -5.1% |
| 2014 | 3,019,503 | $291B | +0.5% |
| 2013 | 3,004,007 | $246B | +2.2% |
| 2012 | 2,938,529 | $202B | +0.2% |
| 2011 | 2,934,035 | $185B | +5.6% |
| 2010 | 2,778,777 | $158B | +3.9% |
| 2009 | 2,674,011 | $126B | +5.2% |
| 2008 | 2,542,463 | $152B | +26.4% |
| 2007 | 2,011,425 | $149B | +37.3% |
| 2006 | 1,465,287 | $97B | +42.8% |
| 2005 | 1,025,880 | $62B | +50.4% |
| 2004 | 682,322 | $39B | +31.1% |
| 2003 | 520,280 | $25B | +105.6% |
| 2002 | 253,070 | $12B | +115.7% |
| 2001 | 117,308 | $7B | +194.0% |
| 2000 | 39,900 | $3B | +86.3% |
| 1999 | 21,414 | $1B | +57.6% |
| 1998 | 13,587 | $1B | — |
Since 1998, ES sessions in the liquidation state averaged +1.19% on the S&P 500 over the next 21 sessions (64% positive) against a +0.73% baseline, with 19.5% realized volatility over the next 20 days against 16.1%. Windows overlap. It describes the flow and forecasts nothing about direction.
How Futures Open Interest Works
- 1Sum the contracts, never the continuous symbolThe continuous futures symbol reports only the front contract's open interest, so it collapses at every quarterly roll and cannot be compared across one. This page adds up every live quarterly contract each day, the March, June, September and December months, which is the market's total.
- 2Smooth the quarterly humpFor several weeks before each expiry, calendar spreads hold positions in both the expiring and the next contract, so the raw sum swells and then drops at expiry. A rolling average over one full contract cycle, 63 sessions, holds exactly one hump in every window, so the hump becomes a constant offset rather than a sawtooth; the price it pays is that the smoothed series moves with a lag, which the 20-session read inherits.
- 3Read open interest with priceOpen interest counts contracts and says nothing about who bought them. Paired with the 20-session price change it becomes a read: price up with open interest up is new longs, price up with open interest down is short covering, price down with open interest up is new shorts, and price down with open interest down is liquidation.
- 4Attach what followedFor every session in each state since 1998 the page reports the S&P 500's average return over the next 21 and 63 sessions and its realized volatility over the next 20, beside the all-sessions baseline. Windows overlap, so the figures are tendencies rather than a count of independent events.
- 5Show notional, because the contract count driftsThe index has more than doubled since 2019 and the micro contract launched that year, so the same dollar exposure needs fewer contracts than it did. Contracts times price times the multiplier gives the dollar value of the book, the fairer level for comparing years.