Resolving liquidity matrix...
Loading listed desk
Observed listed chain only · expiry × strike research · no invented walls · hops to naive OI×γ GEX · not dealer inventory · not an OMS
Listed expiry × strike from the observed chain only — strategy mix, premium, open interest, mark greeks, and tape-reconstructed history. No invented walls. Strategy labels are public-tape heuristics — not private RFQ books. Copy exports are model/research snapshots (with asOf + data mode), not execution tickets. Naive OI×γ walls live on GEX / Chart. Not dealer inventory. Research terminal, not an OMS.
Most-used Block RFQ structure (heuristic), plus raw tape call/put buy vs sell volume.
Notional is size resting on this strike (per leg), matching the History chart's Block RFQ notional lane — not premium paid. Paradigm multi-venue blocks may clear without a single source id.
No structure inference: buy vs sell volume only.
Tape (signed by side) and Block RFQ premium kept separate — never blended into one total.
Contracts currently outstanding at this strike, by side.
Mark greeks from chain quotes · unit curves vs spot (BSM, r≈0) · not dealer inventory.
| Greek | Call | Put |
|---|---|---|
| Delta | 0.0000 | -1.0000 |
| Gamma | 0.000000 | 0.000000 |
| Theta | -0.2765 | -0.2765 |
| Vega | 0.0049 | 0.0049 |
directional exposure · per $1 spot
delta change · per $1 spot
time decay · per calendar day
IV sensitivity · per 1% IV
Hypothetical long ATM straddle (1 call + 1 put) opened at the start of the session history window, mark-to-model via BSM using each point’s spot and fixed current IV. Model re-pricing only — not a real position.
Tape-reconstructed series at this strike. OI is current snapshot (no durable strike OI history yet).