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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 | $10.86M | $-259.76M | $0.21M | $-37110 | -12.06 | 2.53 | 1103681.72 | 0.00 |
| $52000 | $-1.15M | $-244.18M | $0.02M | $-5053 | -1.50 | 0.42 | 123978.40 | 0.00 |
| $54000 | $-2.77M | $-371.43M | $0.07M | $-17386 | -5.05 | 1.49 | 383298.85 | 0.00 |
| $55000 | $-3.29M | $-134.04M | $0.20M | $-42441 | -13.06 | 3.19 | 1003189.62 | 0.00 |
| $56000 | $1.36M | $-402.89M | $0.04M | $-10504 | -2.85 | 0.99 | 206027.66 | 0.00 |
| $57000 | $-0.19M | $-0.03M | $0.00M | $-1438 | -0.23 | 0.22 | 12750.75 | 0.00 |
| $58000 | $-4.51M | $-0.77M | $0.11M | $-25956 | -7.50 | 2.19 | 510254.17 | 0.00 |
| $59000 | $-0.29M | $-0.06M | $0.00M | $-2454 | -0.43 | 0.38 | 22414.45 | 0.00 |
| $60000 | $143.34M | $-2.28M | $0.66M | $-126475 | -37.53 | 9.41 | 2463501.34 | 0.00 |
| $61000 | $5.43M | $-0.03M | $0.00M | $-3616 | -0.79 | 0.45 | 45134.31 | 0.00 |
| $62000 | $16.89M | $-1.23M | $0.19M | $-48244 | -12.75 | 4.46 | 743036.15 | 0.00 |
| $63000 | $11.34M | $-0.18M | $0.01M | $-9718 | -1.96 | 1.43 | 95003.99 | 0.00 |
| $63500 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 173.32 | 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 | $70.24M | $-0.09M | $0.12M | $-30817 | -7.50 | 3.01 | 394925.28 | 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 | 71.25 | 0.00 |
| $64300 | $-0.01M | $-0.00M | $0.00M | $-0 | -0.01 | 0.00 | 284.89 | 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 | 23.72 | 0.00 |
| $65000 | $101.77M | $-0.52M | $0.30M | $-63266 | -15.74 | 5.61 | 818873.74 | 0.00 |
| $66000 | $22.51M | $-0.51M | $0.10M | $-27091 | -6.60 | 2.49 | 318656.09 | 0.00 |
| $67000 | $5.94M | $-0.39M | $0.02M | $-14149 | -3.12 | 1.89 | 131879.82 | 0.00 |
| $68000 | $105.97M | $-0.85M | $0.33M | $-89333 | -19.70 | 9.14 | 844667.68 | 0.00 |
| $69000 | $41.36M | $-2347.67M | $0.07M | $-44562 | -9.76 | 6.64 | 368296.46 | 0.00 |
| $70000 | $595.65M | $3.00M | $0.93M | $-301440 | -61.05 | 35.18 | 2279153.21 | 0.00 |
| $71000 | $67.37M | $-1321.19M | $0.07M | $-41191 | -8.74 | 5.69 | 293191.01 | 0.00 |
| $72000 | $138.84M | $-0.39M | $0.42M | $-130633 | -24.17 | 12.88 | 785306.50 | 0.00 |
| $73000 | $34.35M | $-1.21M | $0.08M | $-76075 | -10.68 | 18.29 | 290101.87 | 0.00 |
| $74000 | $41.35M | $-2.33M | $0.22M | $-126703 | -16.75 | 27.06 | 422128.08 | 0.01 |
| $75000 | $136.59M | $-3866.05M | $0.82M | $-298683 | -41.64 | 31.05 | 998789.15 | 0.00 |
| $76000 | $63.73M | $-2.93M | $0.53M | $-173397 | -20.19 | 23.57 | 425006.61 | 0.00 |
| $77000 | $21.88M | $-2229.57M | $0.09M | $-78867 | -7.95 | 18.84 | 135280.32 | 0.00 |
| $77200 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 0.71 | -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 | 0.67 | -0.00 |
| $77450 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 0.66 | -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 | $81.06M | $-8.99M | $0.90M | $-414852 | -34.28 | 75.16 | 506702.19 | 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 | $20.46M | $-4.40M | $0.15M | $-193859 | -13.94 | 50.81 | 156929.09 | 0.01 |
| $80000 | $587.69M | $7.47M | $2.49M | $-911275 | -41.39 | 96.52 | 396264.88 | -0.00 |
| $80500 | $-0.07M | $-0.03M | $0.00M | $-639 | -0.03 | 0.23 | 234.76 | -0.00 |
| $81000 | $47.59M | $0.24M | $0.15M | $-182674 | -7.20 | 38.84 | 43171.84 | 0.00 |
| $81500 | $-8.14M | $-5.90M | $0.01M | $-97350 | -3.55 | 62.85 | 15163.84 | 0.00 |
| $82000 | $191.17M | $0.74M | $0.98M | $-800912 | -12.12 | 75.25 | 23350.11 | -0.07 |
| $82500 | $-2.97M | $-1.68M | $0.00M | $-23944 | -0.35 | 6.17 | 523.74 | -0.01 |
| $82750 | $-1.01M | $-0.53M | $0.00M | $-10677 | -0.10 | 1.88 | 68.08 | -0.01 |
| $82800 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $83000 | $-24.76M | $-10.11M | $0.23M | $-459751 | 2.04 | -8.40 | -1511.87 | -0.11 |
| $83250 | $-0.22M | $0.12M | $0.00M | $-17884 | 0.32 | -5.91 | 316.40 | -0.02 |
| $83300 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $83500 | $-1.19M | $2.61M | $0.01M | $-101029 | 2.23 | -43.05 | 4016.47 | -0.06 |
| $83700 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $83750 | $-0.16M | $0.42M | $0.00M | $-13107 | 0.51 | -8.60 | 1353.14 | -0.01 |
| $84000 | $25.17M | $-1.00M | $0.70M | $-667010 | 22.90 | -118.08 | 42241.07 | -0.07 |
| $84250 | $-0.87M | $0.25M | $0.00M | $-9218 | 0.55 | -10.37 | 2306.28 | 0.00 |
| $84500 | $0.18M | $2.98M | $0.00M | $-50639 | 2.71 | -56.02 | 13152.33 | 0.03 |
| $84750 | $-1.26M | $0.26M | $0.00M | $-8002 | 0.56 | -11.25 | 3084.36 | 0.01 |
| $85000 | $159.95M | $0.89M | $1.31M | $-882798 | 51.04 | -226.52 | 223697.51 | 0.05 |
| $85250 | $-0.33M | $0.22M | $0.00M | $-5070 | 0.36 | -6.62 | 2398.71 | 0.01 |
| $85500 | $1.87M | $2.70M | $0.00M | $-50145 | 3.21 | -41.79 | 22978.76 | 0.03 |
| $85750 | $0.27M | $0.26M | $0.00M | $-4534 | 0.33 | -5.62 | 2524.18 | 0.01 |
| $86000 | $-12.88M | $8.33M | $0.48M | $-483653 | 34.92 | -148.02 | 256650.77 | 0.05 |
| $86250 | $0.14M | $0.12M | $0.00M | $-2037 | 0.15 | -1.54 | 1302.62 | 0.00 |
| $86500 | $0.35M | $0.49M | $0.00M | $-10470 | 0.73 | -8.96 | 6647.17 | 0.01 |
| $86750 | $0.05M | $0.04M | $0.00M | $-794 | 0.06 | -0.64 | 571.60 | 0.00 |
| $87000 | $30.94M | $9.90M | $0.21M | $-240081 | 22.43 | -66.74 | 232077.34 | 0.02 |
| $87500 | $-2.10M | $0.18M | $0.00M | $-11048 | 0.70 | -3.79 | 8289.39 | 0.00 |
| $88000 | $58.64M | $11.73M | $1.24M | $-535029 | 62.19 | -85.84 | 712811.93 | 0.01 |
| $89000 | $33.92M | $4.43M | $0.14M | $-83776 | 11.46 | -14.68 | 171583.39 | 0.00 |
| $90000 | $579.44M | $62.25M | $2.78M | $-1154666 | 190.41 | -119.65 | 3237452.87 | 0.00 |
| $91000 | $31.09M | $2183.24M | $0.13M | $-68508 | 12.64 | -7.75 | 253825.59 | 0.00 |
| $91500 | $0.04M | $0.02M | $0.00M | $-613 | 0.06 | -0.34 | 988.93 | 0.00 |
| $92000 | $77.98M | $7.65M | $0.41M | $-146768 | 28.00 | -20.18 | 589890.23 | 0.00 |
| $93000 | $8.40M | $1.14M | $0.04M | $-20959 | 4.47 | -2.81 | 110702.38 | 0.00 |
| $94000 | $36.49M | $3.42M | $0.22M | $-67460 | 15.09 | -7.82 | 381279.70 | 0.00 |
| $95000 | $273.97M | $49.90M | $1.59M | $-770249 | 185.76 | -106.31 | 5393508.51 | 0.01 |
| $96000 | $49.22M | $3.47M | $0.34M | $-72710 | 18.33 | -5.38 | 516097.90 | 0.00 |
| $97000 | $0.48M | $0.05M | $0.00M | $-1358 | 0.25 | -0.26 | 7668.87 | 0.00 |
| $98000 | $29.19M | $437.14M | $0.21M | $-48652 | 13.44 | -4.32 | 437705.38 | 0.00 |
| $99000 | $0.15M | $0.02M | $0.00M | $-722 | 0.10 | -0.20 | 3374.00 | 0.00 |
| $100000 | $188.14M | $20.42M | $1.48M | $-439577 | 127.31 | -53.20 | 4755404.41 | 0.00 |
| $100500 | $0.02M | $0.01M | $0.00M | $-680 | 0.03 | -0.28 | 883.21 | 0.00 |
| $102000 | $16.09M | $1.35M | $0.13M | $-28940 | 9.07 | -2.71 | 365340.47 | 0.00 |
| $104000 | $11.36M | $0.58M | $0.10M | $-12762 | 4.44 | -0.91 | 180889.71 | 0.00 |
| $105000 | $16.71M | $1.83M | $0.22M | $-45491 | 15.19 | -4.69 | 682730.92 | 0.00 |
| $106000 | $9.25M | $0.70M | $0.08M | $-15085 | 5.38 | -1.17 | 254742.08 | 0.00 |
| $107000 | $0.00M | $0.00M | $0.00M | $-1 | 0.00 | -0.00 | 25.99 | -0.00 |
| $108000 | $5.19M | $0.35M | $0.05M | $-7690 | 2.89 | -0.58 | 143708.53 | 0.00 |
| $110000 | $49.15M | $3.89M | $0.53M | $-91892 | 35.00 | -7.89 | 1856306.98 | 0.00 |
| $112000 | $1.63M | $0.08M | $0.02M | $-1895 | 0.82 | -0.10 | 45107.41 | 0.00 |
| $114000 | $0.13M | $0.00M | $0.00M | $-106 | 0.05 | -0.00 | 2692.40 | -0.00 |
| $115000 | $23.45M | $3.34M | $0.27M | $-45846 | 19.07 | -3.70 | 1161114.23 | 0.00 |
| $116000 | $0.00M | $0.00M | $0.00M | $-2 | 0.00 | -0.00 | 61.50 | 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