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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 | -33.02 | 34.72 | 1.98 | 2265.64 |
| $0.065 | $0.00M | $-0.00M | $0.00M | $-1 | -40.66 | 48.67 | 2.05 | 2713.41 |
| $0.07 | $0.00M | $-0.00M | $0.00M | $-3 | -119.12 | 268.68 | 4.90 | 26195.46 |
| $0.072 | $0.00M | $-0.00M | $0.00M | $-1 | -7.85 | 133.01 | 0.17 | 21187.88 |
| $0.074 | $0.00M | $-0.00M | $0.00M | $-2 | -23.36 | 366.55 | 0.50 | 60444.68 |
| $0.075 | $0.00M | $0.00M | $0.00M | $-6 | -215.57 | 449.52 | 7.13 | 38553.47 |
| $0.076 | $0.00M | $-0.00M | $0.00M | $-2 | -22.41 | 325.25 | 0.46 | 54841.86 |
| $0.078 | $0.00M | $0.00M | $0.00M | $-5 | -75.17 | 1008.10 | 1.47 | 170764.78 |
| $0.08 | $0.02M | $0.00M | $0.00M | $-24 | -677.80 | 2445.48 | 16.41 | 287835.09 |
| $0.082 | $0.01M | $0.00M | $0.00M | $-10 | -177.33 | 2034.29 | 3.02 | 314348.36 |
| $0.084 | $0.01M | $0.00M | $0.00M | $-14 | -269.74 | 2824.43 | 4.15 | 373417.54 |
| $0.085 | $0.03M | $0.00M | $0.00M | $-46 | -953.41 | 1790.74 | 16.72 | 5058.38 |
| $0.086 | $0.02M | $0.00M | $0.00M | $-34 | -682.07 | 6469.20 | 9.14 | 604774.58 |
| $0.088 | $0.02M | $0.00M | $0.00M | $-50 | -914.31 | 8201.17 | 10.01 | 273581.50 |
| $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 | $-107 | -1012.43 | 3816.10 | 9.47 | -395895.70 |
| $0.091 | $0.00M | $0.00M | $0.00M | $-3 | -41.65 | 840.55 | 0.28 | 77205.44 |
| $0.092 | $0.01M | $0.00M | $0.00M | $-60 | -628.15 | 8597.11 | 3.24 | -147798.80 |
| $0.093 | $0.00M | $0.00M | $0.00M | $-8 | -86.44 | 1778.56 | 0.32 | -465667.09 |
| $0.094 | $0.02M | $0.00M | $0.00M | $-130 | -387.93 | 6253.91 | 0.73 | -6523072.76 |
| $0.095 | $0.04M | $0.00M | $0.00M | $-210 | 451.04 | -2202.35 | -0.78 | -10176576.48 |
| $0.096 | $0.01M | $0.00M | $0.00M | $-117 | 673.65 | -8837.42 | 1.05 | -5613628.56 |
| $0.097 | $-0.00M | $0.00M | $0.00M | $-7 | 199.98 | -7789.04 | 0.84 | 570949.25 |
| $0.098 | $0.01M | $0.00M | $0.00M | $-85 | 1079.28 | -11569.14 | 5.00 | 532279.16 |
| $0.099 | $-0.00M | $0.00M | $0.00M | $-1 | 62.30 | -2919.24 | 0.42 | 1422149.79 |
| $0.1 | $0.02M | $0.00M | $0.00M | $-155 | 2720.50 | -12489.55 | 16.83 | -400689.15 |
| $0.101 | $-0.00M | $-0.00M | $0.00M | $-0 | 6.81 | -387.62 | 0.06 | 218648.22 |
| $0.102 | $0.00M | $0.00M | $0.00M | $-34 | 767.96 | -5576.10 | 7.90 | 254285.15 |
| $0.104 | $-0.00M | $0.00M | $0.00M | $-23 | 595.28 | -4381.27 | 7.60 | 385576.83 |
| $0.105 | $0.01M | $0.00M | $0.00M | $-47 | 1363.92 | -4214.40 | 16.61 | 253190.49 |
| $0.106 | $-0.00M | $0.00M | $0.00M | $-9 | 219.48 | -1905.54 | 3.27 | 264870.24 |
| $0.108 | $-0.00M | $0.00M | $0.00M | $-5 | 143.29 | -1436.80 | 2.37 | 249373.83 |
| $0.11 | $0.00M | $0.00M | $0.00M | $-25 | 940.00 | -1725.69 | 16.00 | 117508.05 |
| $0.115 | $-0.00M | $0.00M | $0.00M | $-7 | 305.13 | -445.16 | 7.12 | 20964.52 |
| $0.12 | $-0.00M | $0.00M | $0.00M | $-6 | 301.20 | -559.89 | 8.42 | 56019.99 |
| $0.13 | $0.00M | $0.00M | $0.00M | $-2 | 162.81 | -110.69 | 5.48 | 2108.68 |
−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