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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 | $-11 | -0.02 | 0.34 | 4.59 | 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 | 0.03 | 0.51 | 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 | 0.36 | 0.00 |
| $680 | $-0.00M | $-0.00M | $0.00M | $-1 | -0.01 | 0.02 | 2.10 | 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 | $-39 | -0.19 | 1.37 | 22.49 | 0.03 |
| $705 | $-0.00M | $-0.00M | $0.00M | $-19 | -0.01 | 1.07 | 0.77 | 0.04 |
| $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 | $-114 | -0.74 | 4.16 | 75.69 | 0.07 |
| $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 | 0.28 | -0.00 |
| $735 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $740 | $-0.00M | $-0.00M | $0.00M | $-116 | -0.60 | 2.65 | 37.44 | -0.04 |
| $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 | $-97 | -0.05 | 2.24 | 1.01 | -0.11 |
| $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 | $-0.01M | $0.00M | $-116 | -0.26 | 5.04 | 5.84 | -0.29 |
| $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 | $-156 | -0.10 | 1.07 | 0.91 | -0.39 |
| $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 | 0.00 | -0.10 | 0.03 | -0.04 |
| $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 | $-85 | 0.54 | -9.50 | 17.17 | -0.53 |
| $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 | $0.29M | $0.12M | $0.00M | $-6778 | 4.10 | -164.79 | 92.50 | -10.21 |
| $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 | $0.28M | $0.06M | $0.00M | $-3542 | 3.22 | -47.95 | 98.02 | -2.16 |
| $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 | $0.04M | $0.02M | $0.00M | $-1783 | 0.77 | -53.68 | 22.05 | -0.52 |
| $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 | $-485 | 0.46 | -10.44 | 19.00 | -0.12 |
| $796 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $800 | $0.08M | $0.03M | $0.00M | $-2398 | 4.04 | -69.29 | 337.55 | 0.07 |
| $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 | $-193 | 1.95 | -7.58 | 262.90 | 0.20 |
| $825 | $0.00M | $0.00M | $0.00M | $-79 | 0.05 | -3.80 | 2.59 | 0.13 |
| $830 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $840 | $0.06M | $0.02M | $0.00M | $-692 | 4.79 | -22.68 | 748.21 | 0.44 |
| $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 | 68.24 | 0.00 |
| $870 | $-0.04M | $0.00M | $0.00M | $-120 | 0.54 | -4.77 | 83.39 | 0.15 |
| $880 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $900 | $0.03M | $0.00M | $0.00M | $-191 | 2.28 | -3.28 | 606.01 | 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 | 57.08 | 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