Resolving liquidity matrix...
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Naive OI×γ net Δ / Γ / ν / Θ + BS second-order · not dealer inventory · research only, not an OMS
Naive OI×γ: listed γ, else BS from listed mark IV (missing IV → —). Γ/Δ/ν in $M; Θ in $ / day. ν is listed vega × OI in $M per 1 vol point (1%) — vanna / volga stay unscaled per 1 vol point, charm / color unscaled per calendar day. Color is listed or BS-from-listed-IV. Missing γ / ν / vanna / charm / volga / color → —. Not dealer inventory, not a vega×0.05 proxy. Research only, not an OMS.
Listed γ, else BS from listed mark IV in $M. Missing γ and IV → —. Customer-long · not dealer inventory.
| STRIKE | NET DELTA ($M) | NET GAMMA ($M) | NET VEGA ($M / 1 vol pt) | NET THETA ($) | VANNA (1 vol pt) | CHARM (/day) | VOLGA (1 vol pt) | COLOR (/day) |
|---|---|---|---|---|---|---|---|---|
| $90 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $100 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $110 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $115 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $120 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $125 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $130 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $135 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $140 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $142 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $144 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $145 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $146 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $147 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $148 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $149 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $150 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $152 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $154 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $155 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $156 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $158 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $160 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $162 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $164 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $165 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $166 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $170 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $175 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $180 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $190 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $200 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
No naive OI×γ bars
Listed rows have no open interest to weight. Not inventing a dealer book — naive OI×γ only.
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