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This melody from Hide ‘n’ Go Seek is a Minor Third interval. There are three musical steps between the notes C (Olly Olly Ox) and the A (-en Free). It is the third smallest interval, behind the semitone and the wholetone.
Nobody knows what the phrase originates from, but the melody is typical of playground melodies. For instance, Nana Poo Poo is also a Minor Third.
Olly Olly belongs to the C Major Pentatonic scale and jumps from the Root (C) to the Minor Six (A). You can play it below by hitting the last two notes backwards.