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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) |
|---|---|---|---|---|---|---|---|---|
| $540 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $550 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $560 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $570 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $580 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $590 | $-0.00M | $-0.00M | $0.00M | $-10 | -0.02 | 0.33 | 4.72 | 0.01 |
| $600 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $620 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $630 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $640 | $-0.00M | $-0.00M | $0.00M | $-1 | -0.00 | 0.02 | 0.48 | 0.00 |
| $650 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $660 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $670 | $-0.00M | $-0.00M | $0.00M | $-2 | -0.00 | 0.04 | 0.37 | 0.00 |
| $680 | $-0.00M | $-0.00M | $0.00M | $-1 | -0.01 | 0.02 | 2.30 | 0.00 |
| $690 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $700 | $-0.00M | $-0.00M | $0.00M | $-38 | -0.20 | 1.36 | 23.96 | 0.03 |
| $705 | $-0.00M | $-0.00M | $0.00M | $-27 | -0.02 | 1.20 | 0.88 | 0.03 |
| $710 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $715 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $720 | $-0.01M | $-0.00M | $0.00M | $-126 | -0.80 | 4.28 | 78.10 | 0.05 |
| $725 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $730 | $0.00M | $0.00M | $0.00M | $-1 | -0.00 | 0.00 | 0.04 | -0.00 |
| $735 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $740 | $-0.01M | $-0.01M | $0.00M | $-134 | -0.51 | 2.34 | 26.44 | -0.07 |
| $744 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $745 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $746 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $748 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $750 | $-0.00M | $-0.00M | $0.00M | $-45 | -0.10 | 2.41 | 2.39 | -0.13 |
| $752 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $754 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $755 | $-0.01M | $-0.00M | $0.00M | $-76 | -0.08 | 0.95 | 0.83 | -0.25 |
| $756 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $758 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $760 | $-0.01M | $-0.00M | $0.00M | $-155 | 0.08 | -0.61 | 0.20 | -0.40 |
| $762 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $764 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $765 | $0.00M | $0.00M | $0.00M | $-4 | 0.01 | -0.18 | 0.13 | -0.02 |
| $766 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $768 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $770 | $0.01M | $0.01M | $0.00M | $-117 | 0.34 | -8.67 | 10.45 | -0.15 |
| $772 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $774 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $775 | $0.11M | $0.10M | $0.00M | $-2003 | 7.61 | -180.11 | 323.23 | 5.87 |
| $776 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $778 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $780 | $0.25M | $0.05M | $0.00M | $-3592 | 3.41 | -50.17 | 129.17 | -1.62 |
| $782 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $784 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $785 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $786 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $788 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $790 | $0.03M | $0.01M | $0.00M | $-1286 | 0.83 | -49.04 | 29.56 | 0.23 |
| $792 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $794 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $795 | $0.02M | $0.01M | $0.00M | $-447 | 0.46 | -10.27 | 20.80 | -0.06 |
| $796 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $800 | $0.07M | $0.03M | $0.00M | $-2183 | 3.81 | -64.00 | 338.64 | 0.33 |
| $805 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $810 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $815 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $820 | $0.03M | $0.01M | $0.00M | $-230 | 1.91 | -8.36 | 251.37 | 0.17 |
| $825 | $0.00M | $0.00M | $0.00M | $-21 | 0.01 | -1.07 | 0.86 | 0.04 |
| $830 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $840 | $0.04M | $0.01M | $0.00M | $-558 | 2.58 | -18.68 | 341.21 | 0.37 |
| $850 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $855 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $860 | $0.01M | $0.00M | $0.00M | $-16 | 0.31 | -0.20 | 69.74 | 0.00 |
| $870 | $-0.04M | $0.00M | $0.00M | $-110 | 0.51 | -4.51 | 79.87 | 0.14 |
| $880 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $900 | $0.03M | $0.00M | $0.00M | $-182 | 2.22 | -3.22 | 600.64 | 0.03 |
| $920 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $940 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $950 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $960 | $0.01M | $0.00M | $0.00M | $-28 | 0.23 | -0.24 | 56.28 | 0.00 |
| $1000 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1050 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
−OI × greek by strike (customer-long convention) · naive OI×γ, not dealer inventory · click a bar for strike insight
−OI × greek by strike (customer-long → dealer-short convention) · naive OI×γ, not dealer inventory · listed strikes only · click a bar for strike insight
−OI × greek by strike (customer-long → dealer-short convention) · naive OI×γ, not dealer inventory · listed strikes only · click a bar for strike insight
−OI × greek by strike (customer-long → dealer-short convention) · naive OI×γ, not dealer inventory · listed strikes only · click a bar for strike insight
−OI × greek by strike (customer-long → dealer-short convention) · naive OI×γ, not dealer inventory · listed strikes only · click a bar for strike insight