Open interest (OI) is the total number of outstanding futures contracts that are not closed or delivered on a particular day. It is a useful measure of liquidity of in a futures contract and many technical practitioners consider it a useful barometer for trend detection.
The following table illustrates how open interest is determined.
Open interest comes in two forms, individually per contract (e.g. H14) or for all contracts (e.g. all Euribor futures). The open interest for all contracts, often termed Market Open Interest is a useful barometer of liquidity and activity within a product. Technical practitioners generally expect open interest to increase when a trend is establishing and reduce when the trend is coming to an end.
The charts below shows market open interest and price (continuous) for the Eurodollar and Euribor.
Eurodollar market open interest (LHS) and close (continuous contract) (RHS) 2002 to 2013
Euribor market open interest (LHS) and close (continuous contract) (RHS) 2002 to 2013
There does not seem to be an obvious link between increasing open interest and price action but it might be useful to keep a watch on contract levels to gauge any potential flows.