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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) |
|---|---|---|---|---|---|---|---|---|
| $0.06 | $0.00M | $-0.00M | $0.00M | $-1 | -35.61 | 37.38 | 2.04 | 2411.82 |
| $0.065 | $0.00M | $-0.00M | $0.00M | $-1 | -44.27 | 52.39 | 2.12 | 2769.75 |
| $0.07 | $0.00M | $-0.00M | $0.00M | $-3 | -115.41 | 279.73 | 4.41 | 28178.00 |
| $0.072 | $0.00M | $-0.00M | $0.00M | $-1 | -9.37 | 150.88 | 0.20 | 24050.65 |
| $0.074 | $0.00M | $-0.00M | $0.00M | $-2 | -28.38 | 423.03 | 0.57 | 68907.23 |
| $0.075 | $0.00M | $0.00M | $0.00M | $-6 | -223.01 | 487.16 | 6.75 | 41498.52 |
| $0.076 | $0.00M | $-0.00M | $0.00M | $-2 | -27.67 | 381.57 | 0.53 | 62418.78 |
| $0.078 | $0.00M | $0.00M | $0.00M | $-6 | -94.01 | 1199.32 | 1.71 | 191944.13 |
| $0.08 | $0.02M | $0.00M | $0.00M | $-29 | -690.45 | 2776.25 | 14.76 | 305347.49 |
| $0.082 | $0.01M | $0.00M | $0.00M | $-12 | -221.69 | 2429.83 | 3.38 | 317258.27 |
| $0.084 | $0.01M | $0.00M | $0.00M | $-17 | -326.52 | 3290.09 | 4.36 | 316646.20 |
| $0.085 | $0.02M | $0.00M | $0.00M | $-48 | -824.82 | 1731.83 | 12.20 | -39077.77 |
| $0.086 | $0.02M | $0.00M | $0.00M | $-44 | -768.49 | 7094.63 | 8.52 | 283381.64 |
| $0.088 | $0.02M | $0.00M | $0.00M | $-63 | -916.21 | 8036.11 | 7.72 | -409641.25 |
| $0.089 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $0.09 | $0.04M | $0.00M | $0.00M | $-118 | -587.93 | 2784.71 | 3.79 | -765029.40 |
| $0.091 | $0.00M | $0.00M | $0.00M | $-4 | -37.39 | 752.60 | 0.15 | -160359.99 |
| $0.092 | $0.01M | $0.00M | $0.00M | $-71 | -319.40 | 5357.62 | 0.75 | -3585457.62 |
| $0.093 | $0.00M | $0.00M | $0.00M | $-10 | -9.00 | 202.43 | 0.00 | -1099151.94 |
| $0.094 | $0.02M | $0.00M | $0.00M | $-131 | 521.68 | -6061.85 | 0.46 | -6356366.60 |
| $0.095 | $0.03M | $0.00M | $0.00M | $-201 | 1630.53 | -14186.15 | 2.84 | -5008110.81 |
| $0.096 | $0.01M | $0.00M | $0.00M | $-105 | 1199.54 | -13047.95 | 4.83 | -890841.16 |
| $0.097 | $-0.00M | $0.00M | $0.00M | $-4 | 129.41 | -5795.56 | 0.78 | 2066271.99 |
| $0.098 | $0.01M | $0.00M | $0.00M | $-74 | 1261.63 | -11397.41 | 8.66 | 1005981.70 |
| $0.099 | $-0.00M | $0.00M | $0.00M | $-1 | 38.91 | -2070.89 | 0.30 | 1022259.56 |
| $0.1 | $0.02M | $0.00M | $0.00M | $-140 | 3011.84 | -12920.14 | 24.85 | 216941.74 |
| $0.101 | $0.00M | $0.00M | $0.00M | $-0 | 1.93 | -120.97 | 0.02 | 61883.37 |
| $0.102 | $0.00M | $0.00M | $0.00M | $-28 | 718.08 | -5181.60 | 8.73 | 447105.60 |
| $0.104 | $-0.00M | $0.00M | $0.00M | $-19 | 526.64 | -3887.27 | 7.59 | 459219.90 |
| $0.105 | $0.00M | $0.00M | $0.00M | $-45 | 1382.77 | -3936.02 | 19.34 | 294270.78 |
| $0.106 | $-0.00M | $0.00M | $0.00M | $-7 | 183.69 | -1638.35 | 2.97 | 261569.51 |
| $0.108 | $-0.00M | $0.00M | $0.00M | $-5 | 116.96 | -1227.51 | 2.04 | 229133.27 |
| $0.11 | $0.00M | $0.00M | $0.00M | $-23 | 953.20 | -1648.68 | 17.91 | 112954.13 |
| $0.115 | $-0.00M | $0.00M | $0.00M | $-6 | 301.95 | -431.90 | 7.56 | 21267.63 |
| $0.12 | $-0.00M | $0.00M | $0.00M | $-6 | 290.49 | -528.97 | 8.56 | 53142.72 |
| $0.13 | $-0.00M | $0.00M | $0.00M | $-2 | 160.11 | -107.41 | 5.60 | 2404.53 |
−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