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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) |
|---|---|---|---|---|---|---|---|---|
| $1650 | $0.13M | $-9.23M | $0.00M | $-0 | -0.76 | 0.70 | 1462.49 | 0.00 |
| $1700 | $2.48M | $-9.48M | $0.05M | $-10799 | -49.20 | 15.11 | 112793.53 | 0.02 |
| $1750 | $0.23M | $-1.98M | $0.00M | $-311 | -1.10 | 1.16 | 1902.42 | 0.00 |
| $1800 | $15.33M | $-0.08M | $0.06M | $-13542 | -55.85 | 19.00 | 116044.39 | 0.03 |
| $1850 | $2.54M | $-9.21M | $0.00M | $-1028 | -3.93 | 3.84 | 6320.20 | 0.01 |
| $1900 | $13.64M | $-17.21M | $0.07M | $-13770 | -53.95 | 15.79 | 102540.96 | 0.02 |
| $1950 | $1.57M | $-63.47M | $0.00M | $-1248 | -7.67 | 5.90 | 11571.20 | 0.01 |
| $2000 | $28.70M | $-0.11M | $0.10M | $-28994 | -100.66 | 48.32 | 158951.48 | 0.09 |
| $2050 | $0.94M | $-46.37M | $0.00M | $-1384 | -6.84 | 9.01 | 8904.99 | 0.04 |
| $2100 | $5.33M | $-0.18M | $0.04M | $-15802 | -47.78 | 35.38 | 63267.91 | 0.10 |
| $2150 | $1.48M | $-35.57M | $0.01M | $-6225 | -21.42 | 29.47 | 24007.38 | 0.11 |
| $2200 | $119.47M | $1.02M | $0.27M | $-81425 | -218.61 | 100.64 | 254826.46 | 0.15 |
| $2250 | $0.80M | $-8.76M | $0.01M | $-6787 | -16.11 | 31.15 | 14823.05 | 0.15 |
| $2300 | $14.18M | $-0.72M | $0.15M | $-59641 | -135.49 | 132.83 | 122791.31 | 0.47 |
| $2350 | $0.01M | $-34.24M | $0.01M | $-9601 | -21.61 | 38.33 | 16033.07 | 0.15 |
| $2400 | $28.07M | $-0.41M | $0.16M | $-73227 | -125.16 | 179.63 | 85474.56 | 0.78 |
| $2450 | $4.01M | $-0.39M | $0.02M | $-28624 | -47.01 | 158.74 | 24449.83 | 0.83 |
| $2460 | $-0.00M | $-0.00M | $0.00M | $-314 | -0.13 | 7.10 | 37.44 | 0.14 |
| $2480 | $-0.00M | $-0.02M | $0.00M | $-1039 | -1.14 | 12.82 | 439.00 | 0.11 |
| $2500 | $83.95M | $0.76M | $0.35M | $-124578 | -116.05 | 271.54 | 52881.06 | 0.71 |
| $2520 | $-0.02M | $-0.01M | $0.00M | $-482 | -0.39 | 9.92 | 117.05 | 0.18 |
| $2525 | $-0.01M | $-0.01M | $0.00M | $-269 | -0.27 | 4.33 | 84.29 | 0.04 |
| $2540 | $-0.10M | $-0.06M | $0.00M | $-2546 | -2.40 | 47.98 | 694.36 | 0.74 |
| $2550 | $4.88M | $-0.51M | $0.03M | $-42995 | -50.19 | 267.35 | 16299.46 | 1.45 |
| $2560 | $-0.09M | $-0.10M | $0.00M | $-3894 | -3.74 | 102.39 | 989.75 | 2.38 |
| $2575 | $-0.61M | $-540.49M | $0.00M | $-3764 | -11.32 | 169.05 | 2905.67 | 2.46 |
| $2580 | $-0.11M | $-0.10M | $0.00M | $-3517 | -3.34 | 81.75 | 786.15 | 1.54 |
| $2600 | $30.42M | $0.36M | $0.14M | $-80694 | -40.91 | 297.44 | 6930.12 | 1.63 |
| $2620 | $-0.48M | $-0.47M | $0.00M | $-12799 | -11.46 | 278.17 | 1954.15 | 3.06 |
| $2625 | $-0.54M | $-1704.11M | $0.00M | $-3473 | -18.80 | 406.26 | 3172.65 | 4.75 |
| $2630 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2640 | $-1.50M | $-1.30M | $0.00M | $-32130 | -25.56 | 572.45 | 3366.72 | 0.53 |
| $2650 | $14.08M | $0.85M | $0.04M | $-70010 | -39.28 | 703.05 | 4309.76 | -3.77 |
| $2660 | $1.79M | $0.25M | $0.00M | $-17917 | -10.48 | 228.86 | 898.65 | -4.26 |
| $2670 | $0.03M | $-0.23M | $0.00M | $-11788 | -7.04 | 158.14 | 430.40 | -5.59 |
| $2675 | $7.38M | $5921.14M | $0.00M | $-7227 | -26.56 | 561.22 | 1313.36 | -30.38 |
| $2680 | $0.28M | $-0.09M | $0.00M | $-19681 | -4.65 | 101.64 | 153.49 | -8.83 |
| $2690 | $0.74M | $0.23M | $0.00M | $-10189 | -0.24 | 5.12 | 1.16 | -5.56 |
| $2700 | $20.51M | $2.42M | $0.14M | $-120486 | 41.33 | -177.51 | -5130.21 | -17.09 |
| $2710 | $0.42M | $0.25M | $0.00M | $-5768 | 3.27 | -70.82 | 170.41 | -3.09 |
| $2720 | $1.12M | $0.71M | $0.00M | $-14124 | 8.29 | -179.35 | 629.35 | -3.53 |
| $2725 | $1.64M | $1424.94M | $0.00M | $-8498 | 11.61 | -168.50 | 984.39 | -2.41 |
| $2730 | $0.26M | $0.18M | $0.00M | $-4118 | 3.83 | -76.15 | 395.49 | -0.66 |
| $2740 | $0.90M | $0.54M | $0.00M | $-11332 | 9.46 | -180.47 | 1147.45 | -0.23 |
| $2750 | $7.37M | $0.98M | $0.03M | $-42389 | 33.88 | -145.60 | 3140.33 | -1.05 |
| $2760 | $0.27M | $0.44M | $0.00M | $-12375 | 12.32 | -269.19 | 1996.23 | 2.54 |
| $2770 | $0.14M | $0.07M | $0.00M | $-1669 | 1.93 | -22.52 | 361.60 | 0.01 |
| $2775 | $0.79M | $719.95M | $0.00M | $-4718 | 13.65 | -166.04 | 2604.62 | 1.05 |
| $2780 | $0.24M | $0.15M | $0.00M | $-4072 | 4.29 | -88.27 | 838.75 | 1.15 |
| $2800 | $28.99M | $1.73M | $0.20M | $-79484 | 108.61 | -417.82 | 5825.43 | 5.65 |
| $2820 | $0.17M | $0.08M | $0.00M | $-2455 | 3.22 | -38.45 | 868.57 | 0.38 |
| $2825 | $0.10M | $104.46M | $0.00M | $-5027 | 8.83 | -77.28 | 2454.07 | 0.57 |
| $2830 | $0.01M | $0.02M | $0.00M | $-721 | 1.06 | -21.36 | 305.45 | 0.49 |
| $2840 | $0.04M | $0.03M | $0.00M | $-972 | 1.22 | -20.88 | 358.07 | 0.31 |
| $2850 | $5.17M | $0.81M | $0.02M | $-27184 | 43.32 | -178.78 | 12726.42 | 0.47 |
| $2860 | $0.04M | $0.03M | $0.00M | $-1826 | 1.24 | -51.68 | 318.61 | 1.08 |
| $2875 | $-0.12M | $0.07M | $0.00M | $-2924 | 4.69 | -33.53 | 1693.59 | 0.21 |
| $2880 | $0.05M | $0.03M | $0.00M | $-1284 | 1.27 | -28.52 | 416.14 | 0.50 |
| $2900 | $14.44M | $1.14M | $0.10M | $-49346 | 95.95 | -245.07 | 27348.67 | 1.85 |
| $2920 | $-0.26M | $-0.00M | $0.00M | $-197 | 0.30 | -2.89 | 123.04 | 0.03 |
| $2950 | $0.20M | $0.16M | $0.01M | $-8716 | 19.30 | -41.67 | 8567.83 | 0.22 |
| $3000 | $36.17M | $1.78M | $0.22M | $-74639 | 192.78 | -260.08 | 75176.88 | 1.68 |
| $3050 | $1.06M | $12.98M | $0.00M | $-3274 | 10.90 | -12.65 | 6644.45 | 0.04 |
| $3100 | $9.06M | $0.51M | $0.05M | $-19662 | 63.62 | -47.83 | 37213.54 | 0.17 |
| $3150 | $0.04M | $0.00M | $0.00M | $-178 | 0.67 | -0.90 | 470.75 | 0.01 |
| $3200 | $71.40M | $3.39M | $0.42M | $-131168 | 491.43 | -207.00 | 353514.21 | 0.13 |
| $3250 | $0.00M | $0.00M | $0.00M | $-0 | 0.00 | -0.00 | 0.03 | 0.00 |
| $3300 | $8.35M | $0.32M | $0.06M | $-13312 | 58.15 | -20.32 | 44903.51 | 0.01 |
| $3350 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $3400 | $14.60M | $0.76M | $0.10M | $-30851 | 141.00 | -64.46 | 140628.72 | 0.11 |
| $3450 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $3500 | $23.41M | $1.11M | $0.18M | $-46588 | 236.15 | -69.87 | 258068.81 | 0.04 |
| $3600 | $7.93M | $0.38M | $0.07M | $-16474 | 88.00 | -35.19 | 103716.13 | 0.05 |
| $3700 | $1.46M | $0.04M | $0.01M | $-1807 | 11.17 | -1.61 | 12996.22 | -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