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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) |
|---|---|---|---|---|---|---|---|---|
| $50000 | $10.94M | $-254.22M | $0.21M | $-37001 | -12.00 | 2.52 | 1099250.48 | 0.00 |
| $52000 | $-1.13M | $-238.16M | $0.02M | $-4999 | -1.49 | 0.41 | 123897.67 | 0.00 |
| $54000 | $-2.75M | $-361.62M | $0.06M | $-17427 | -5.03 | 1.49 | 382552.01 | 0.00 |
| $55000 | $-3.26M | $-133.76M | $0.20M | $-42624 | -13.01 | 3.19 | 999669.10 | 0.00 |
| $56000 | $1.40M | $-392.05M | $0.04M | $-10435 | -2.83 | 0.98 | 205659.47 | 0.00 |
| $57000 | $-0.19M | $-0.03M | $0.00M | $-1413 | -0.23 | 0.21 | 12676.25 | 0.00 |
| $58000 | $-4.45M | $-0.77M | $0.11M | $-25997 | -7.48 | 2.19 | 509170.20 | 0.00 |
| $59000 | $-0.29M | $-0.06M | $0.00M | $-2476 | -0.43 | 0.38 | 22427.36 | 0.00 |
| $60000 | $143.69M | $-2.26M | $0.66M | $-127171 | -37.37 | 9.41 | 2454255.18 | 0.00 |
| $61000 | $5.45M | $-0.03M | $0.00M | $-3587 | -0.79 | 0.45 | 45200.46 | 0.00 |
| $62000 | $17.29M | $-1.21M | $0.19M | $-47871 | -12.59 | 4.47 | 734431.39 | 0.00 |
| $63000 | $11.41M | $-0.17M | $0.01M | $-9487 | -1.94 | 1.41 | 94549.64 | 0.00 |
| $63500 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 174.06 | 0.00 |
| $63600 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $63800 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $63900 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $64000 | $70.60M | $-0.09M | $0.12M | $-30149 | -7.46 | 2.99 | 396427.08 | 0.00 |
| $64100 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $64200 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 71.59 | 0.00 |
| $64300 | $-0.01M | $-0.00M | $0.00M | $-0 | -0.01 | 0.00 | 286.28 | 0.00 |
| $64400 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $64500 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 23.84 | 0.00 |
| $65000 | $102.39M | $-0.51M | $0.29M | $-62438 | -15.69 | 5.57 | 821813.08 | 0.00 |
| $66000 | $22.72M | $-0.50M | $0.10M | $-26894 | -6.58 | 2.51 | 319273.65 | 0.00 |
| $67000 | $6.03M | $-0.38M | $0.02M | $-13949 | -3.10 | 1.88 | 131741.13 | 0.00 |
| $68000 | $106.71M | $-0.84M | $0.32M | $-88879 | -19.65 | 9.23 | 847739.89 | 0.00 |
| $69000 | $41.70M | $-2276.13M | $0.07M | $-43900 | -9.68 | 6.60 | 367576.23 | 0.00 |
| $70000 | $598.53M | $2.96M | $0.92M | $-297543 | -60.83 | 34.76 | 2286515.53 | 0.00 |
| $71000 | $67.72M | $-1266.85M | $0.07M | $-40771 | -8.67 | 5.67 | 292580.89 | 0.00 |
| $72000 | $139.82M | $-0.37M | $0.42M | $-129975 | -24.08 | 12.73 | 787115.40 | 0.00 |
| $73000 | $34.63M | $-1.22M | $0.08M | $-77400 | -10.70 | 18.81 | 292339.63 | 0.00 |
| $74000 | $42.14M | $-2.28M | $0.21M | $-125851 | -16.70 | 27.11 | 424751.14 | 0.01 |
| $75000 | $139.37M | $-3791.17M | $0.82M | $-296214 | -41.68 | 30.99 | 1010764.87 | 0.00 |
| $76000 | $65.26M | $-2.84M | $0.53M | $-171501 | -20.23 | 23.48 | 431561.60 | 0.00 |
| $77000 | $22.54M | $-2165.55M | $0.09M | $-76628 | -7.92 | 18.53 | 137089.87 | 0.00 |
| $77200 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 0.73 | -0.00 |
| $77300 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $77400 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 0.69 | -0.00 |
| $77450 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 0.68 | -0.00 |
| $77500 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $77550 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $77600 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $77800 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $78000 | $84.98M | $-8.69M | $0.90M | $-404924 | -34.48 | 74.21 | 521290.95 | 0.01 |
| $78100 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $78200 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $78400 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $78500 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $79000 | $22.30M | $-4.20M | $0.15M | $-185906 | -13.95 | 49.72 | 161487.34 | 0.01 |
| $80000 | $598.40M | $7.74M | $2.48M | $-891708 | -42.90 | 96.01 | 426816.31 | -0.00 |
| $80500 | $-0.07M | $-0.03M | $0.00M | $-588 | -0.03 | 0.23 | 251.25 | 0.00 |
| $81000 | $49.73M | $0.40M | $0.15M | $-174322 | -7.50 | 37.97 | 47683.98 | 0.00 |
| $81500 | $-6.96M | $-5.30M | $0.01M | $-84534 | -3.64 | 61.02 | 17028.54 | 0.01 |
| $82000 | $201.09M | $0.99M | $0.97M | $-779859 | -14.12 | 81.87 | 35386.17 | -0.06 |
| $82500 | $-2.61M | $-1.63M | $0.00M | $-21855 | -0.45 | 7.37 | 850.43 | -0.01 |
| $82750 | $-0.33M | $-0.25M | $0.00M | $-5805 | -0.09 | 1.69 | 102.27 | -0.00 |
| $82800 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $83000 | $-17.93M | $-10.30M | $0.23M | $-446954 | 0.59 | 4.13 | -1452.93 | -0.11 |
| $83250 | $-0.37M | $-0.06M | $0.00M | $-14743 | 0.17 | -3.18 | 110.79 | -0.02 |
| $83300 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $83500 | $-2.39M | $0.56M | $0.01M | $-75698 | 1.48 | -25.84 | 2224.50 | -0.05 |
| $83700 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $83750 | $0.02M | $0.46M | $0.00M | $-12981 | 0.48 | -7.77 | 1124.60 | -0.01 |
| $84000 | $35.55M | $-0.86M | $0.71M | $-663428 | 21.47 | -107.26 | 33217.31 | -0.08 |
| $84250 | $-0.99M | $0.11M | $0.00M | $-7353 | 0.43 | -7.31 | 1734.82 | 0.00 |
| $84500 | $0.66M | $3.48M | $0.00M | $-52275 | 2.90 | -55.18 | 13952.87 | 0.02 |
| $84750 | $-1.23M | $0.28M | $0.00M | $-7765 | 0.59 | -10.86 | 3254.88 | 0.01 |
| $85000 | $169.60M | $1.74M | $1.32M | $-896419 | 50.48 | -223.92 | 211143.50 | 0.05 |
| $85250 | $-0.35M | $0.21M | $0.00M | $-4576 | 0.36 | -6.07 | 2423.48 | 0.01 |
| $85500 | $2.33M | $3.03M | $0.00M | $-53172 | 3.37 | -42.21 | 23703.00 | 0.02 |
| $85750 | $0.23M | $0.22M | $0.00M | $-3506 | 0.26 | -3.52 | 2066.53 | 0.00 |
| $86000 | $-8.29M | $8.56M | $0.48M | $-491223 | 34.88 | -144.32 | 249992.21 | 0.04 |
| $86250 | $0.15M | $0.12M | $0.00M | $-2086 | 0.15 | -1.57 | 1358.94 | 0.00 |
| $86500 | $0.37M | $0.50M | $0.00M | $-10235 | 0.71 | -8.37 | 6408.14 | 0.01 |
| $86750 | $0.05M | $0.04M | $0.00M | $-808 | 0.06 | -0.64 | 596.01 | 0.00 |
| $87000 | $33.38M | $10.35M | $0.21M | $-246345 | 22.46 | -67.79 | 227619.20 | 0.02 |
| $87500 | $-2.14M | $0.16M | $0.00M | $-9499 | 0.72 | -4.18 | 8304.75 | 0.00 |
| $88000 | $63.96M | $12.08M | $1.24M | $-544038 | 62.01 | -86.52 | 697513.16 | 0.01 |
| $89000 | $34.79M | $4.54M | $0.14M | $-85543 | 11.47 | -15.02 | 169419.01 | 0.00 |
| $90000 | $591.22M | $63.33M | $2.81M | $-1164321 | 190.46 | -119.47 | 3204001.83 | 0.00 |
| $91000 | $31.61M | $2306.05M | $0.13M | $-69250 | 12.63 | -7.84 | 251405.87 | 0.00 |
| $91500 | $0.04M | $0.02M | $0.00M | $-595 | 0.06 | -0.35 | 1027.43 | 0.00 |
| $92000 | $79.47M | $7.80M | $0.41M | $-148094 | 28.09 | -20.19 | 588175.22 | 0.00 |
| $93000 | $8.59M | $1.16M | $0.04M | $-21159 | 4.49 | -2.83 | 110501.07 | 0.00 |
| $94000 | $37.03M | $3.48M | $0.22M | $-68217 | 15.19 | -7.99 | 382265.54 | 0.00 |
| $95000 | $280.24M | $50.62M | $1.62M | $-777916 | 186.98 | -105.99 | 5410836.01 | 0.01 |
| $96000 | $49.56M | $3.51M | $0.34M | $-73153 | 18.36 | -5.63 | 515665.25 | 0.00 |
| $97000 | $0.49M | $0.05M | $0.00M | $-1217 | 0.25 | -0.28 | 7705.03 | 0.00 |
| $98000 | $29.42M | $305.55M | $0.21M | $-48730 | 13.42 | -4.25 | 435923.09 | 0.00 |
| $99000 | $0.16M | $0.02M | $0.00M | $-739 | 0.11 | -0.23 | 3457.86 | 0.00 |
| $100000 | $190.60M | $20.73M | $1.49M | $-441716 | 128.00 | -53.21 | 4783087.70 | 0.00 |
| $100500 | $0.02M | $0.01M | $0.00M | $-731 | 0.04 | -0.34 | 1025.21 | 0.00 |
| $102000 | $16.28M | $1.36M | $0.13M | $-29100 | 9.11 | -2.71 | 366761.20 | 0.00 |
| $104000 | $11.45M | $0.58M | $0.10M | $-12797 | 4.45 | -0.91 | 181016.45 | 0.00 |
| $105000 | $16.95M | $1.86M | $0.22M | $-45653 | 15.24 | -4.68 | 685249.36 | 0.00 |
| $106000 | $9.34M | $0.70M | $0.08M | $-15136 | 5.40 | -1.17 | 255921.95 | 0.00 |
| $107000 | $0.00M | $0.00M | $0.00M | $-1 | 0.00 | -0.00 | 25.73 | -0.00 |
| $108000 | $5.26M | $0.35M | $0.05M | $-7769 | 2.90 | -0.58 | 143846.96 | 0.00 |
| $110000 | $49.80M | $3.93M | $0.53M | $-92745 | 35.12 | -7.91 | 1860126.39 | 0.00 |
| $112000 | $1.64M | $0.08M | $0.02M | $-1902 | 0.82 | -0.10 | 45193.14 | 0.00 |
| $114000 | $0.13M | $0.00M | $0.00M | $-106 | 0.05 | -0.00 | 2693.13 | -0.00 |
| $115000 | $23.71M | $3.36M | $0.28M | $-46148 | 19.14 | -3.71 | 1165925.18 | 0.00 |
| $116000 | $0.00M | $0.00M | $0.00M | $-2 | 0.00 | -0.00 | 61.55 | 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