The optimized effective potential (OEP) method provides an additional level of exactness in the computation of electronic structures, e.g. the exact exchange energy can be used. This extra freedom is likely to be important in moving density functional methods beyond traditional approximations such as the local density approximation. We provide a new density-matrix-based derivation of the gradient of the Kohn-Sham energy with respect to the effective potential. This gradient can be used to iteratively minimize the energy in order to find the OEP. Previous work has indicated how this can be done in the zero temperature limit. This paper generalizes the previous results to the finite temperature regime. Equating our gradient to zero gives a finite temperature version of the OEP equation.