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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 | $-9.46M | $0.00M | $-0 | -0.78 | 0.72 | 1479.70 | 0.00 |
| $1700 | $2.32M | $-9.74M | $0.05M | $-11121 | -50.16 | 15.48 | 112930.50 | 0.02 |
| $1750 | $0.23M | $-2.03M | $0.00M | $-309 | -1.12 | 1.17 | 1919.37 | 0.00 |
| $1800 | $14.93M | $-0.09M | $0.06M | $-13634 | -56.08 | 19.13 | 114541.91 | 0.03 |
| $1850 | $2.52M | $-9.43M | $0.00M | $-1032 | -4.02 | 3.90 | 6387.90 | 0.01 |
| $1900 | $13.41M | $-17.62M | $0.07M | $-13877 | -54.06 | 15.74 | 100847.39 | 0.02 |
| $1950 | $1.55M | $-64.91M | $0.00M | $-1242 | -7.82 | 5.97 | 11625.70 | 0.01 |
| $2000 | $28.24M | $-0.11M | $0.10M | $-29291 | -101.17 | 48.64 | 156454.92 | 0.09 |
| $2050 | $0.93M | $-47.67M | $0.00M | $-1388 | -7.02 | 9.02 | 8978.08 | 0.04 |
| $2100 | $5.17M | $-0.19M | $0.04M | $-15771 | -48.21 | 35.29 | 62559.79 | 0.10 |
| $2150 | $1.42M | $-35.67M | $0.01M | $-6278 | -21.93 | 29.70 | 24132.10 | 0.12 |
| $2200 | $117.72M | $1.04M | $0.27M | $-82293 | -216.55 | 100.91 | 245272.17 | 0.15 |
| $2250 | $0.42M | $-9.25M | $0.01M | $-8204 | -20.66 | 35.42 | 18738.92 | 0.16 |
| $2300 | $13.40M | $-0.75M | $0.15M | $-60307 | -135.04 | 133.82 | 118172.39 | 0.49 |
| $2350 | $-0.11M | $-35.91M | $0.01M | $-9880 | -21.87 | 39.87 | 15588.24 | 0.15 |
| $2400 | $26.82M | $-0.46M | $0.16M | $-75183 | -124.63 | 184.71 | 80934.84 | 0.80 |
| $2450 | $3.56M | $-0.46M | $0.02M | $-32502 | -49.64 | 205.63 | 24084.31 | 1.35 |
| $2460 | $-0.01M | $-0.00M | $0.00M | $-379 | -0.14 | 8.69 | 37.64 | 0.18 |
| $2480 | $-0.00M | $-0.02M | $0.00M | $-973 | -1.05 | 12.05 | 383.40 | 0.10 |
| $2500 | $80.27M | $0.53M | $0.36M | $-132957 | -117.34 | 298.10 | 48607.90 | 0.62 |
| $2520 | $-0.02M | $-0.01M | $0.00M | $-662 | -0.45 | 13.52 | 123.41 | 0.23 |
| $2525 | $-0.03M | $-0.02M | $0.00M | $-591 | -0.60 | 9.61 | 175.28 | 0.10 |
| $2540 | $-0.13M | $-0.08M | $0.00M | $-3348 | -2.79 | 63.35 | 730.44 | 0.90 |
| $2550 | $4.16M | $-0.58M | $0.03M | $-46002 | -49.80 | 293.29 | 14600.74 | 1.48 |
| $2560 | $-0.19M | $-0.18M | $0.00M | $-7703 | -5.20 | 179.83 | 1135.41 | 3.11 |
| $2575 | $-0.79M | $-687.02M | $0.00M | $-4171 | -12.49 | 211.20 | 2821.97 | 2.66 |
| $2580 | $-0.34M | $-0.21M | $0.00M | $-7184 | -5.78 | 134.22 | 1181.77 | 1.73 |
| $2600 | $27.83M | $-0.62M | $0.15M | $-112147 | -53.87 | 1003.09 | 6979.79 | 9.48 |
| $2620 | $-0.79M | $-0.69M | $0.00M | $-17721 | -13.30 | 362.44 | 1817.28 | 1.70 |
| $2625 | $-1.41M | $-3364.71M | $0.00M | $-3957 | -26.83 | 657.43 | 3590.64 | 3.16 |
| $2640 | $-2.45M | $-1.93M | $0.00M | $-41876 | -27.65 | 675.15 | 2701.69 | -7.37 |
| $2650 | $12.10M | $1.02M | $0.04M | $-73959 | -32.04 | 691.11 | 2260.84 | -16.83 |
| $2660 | $1.25M | $0.35M | $0.00M | $-20180 | -7.46 | 171.61 | 353.14 | -9.79 |
| $2670 | $-0.19M | $-0.15M | $0.00M | $-15078 | -3.31 | 75.35 | 63.09 | -13.16 |
| $2675 | $4.91M | $7307.40M | $0.00M | $-7345 | -1.20 | 30.54 | 3.77 | -48.06 |
| $2680 | $-0.25M | $0.02M | $0.00M | $-27953 | 3.08 | -62.99 | 31.63 | -13.76 |
| $2690 | $0.43M | $0.31M | $0.00M | $-9906 | 5.08 | -108.44 | 209.53 | -6.41 |
| $2700 | $16.92M | $2.79M | $0.15M | $-127571 | 73.42 | -624.37 | -2626.25 | -14.93 |
| $2710 | $0.19M | $1.75M | $0.00M | $-4674 | 5.39 | -126.68 | 521.16 | -0.95 |
| $2720 | $1.39M | $1.07M | $0.00M | $-20494 | 19.15 | -455.71 | 2251.33 | 1.53 |
| $2725 | $1.11M | $1122.53M | $0.00M | $-8205 | 14.32 | -213.41 | 1773.71 | 0.77 |
| $2730 | $0.11M | $0.12M | $0.00M | $-3095 | 3.91 | -85.74 | 546.14 | 0.64 |
| $2740 | $0.69M | $0.51M | $0.00M | $-10987 | 11.99 | -264.81 | 1894.28 | 3.28 |
| $2750 | $6.49M | $0.92M | $0.03M | $-40416 | 39.49 | -169.47 | 4990.75 | -0.28 |
| $2760 | $-0.02M | $0.29M | $0.00M | $-8387 | 10.05 | -227.99 | 1956.66 | 4.19 |
| $2770 | $0.10M | $0.06M | $0.00M | $-1394 | 1.79 | -22.65 | 387.33 | 0.12 |
| $2775 | $0.58M | $628.50M | $0.00M | $-4406 | 14.11 | -171.35 | 3129.97 | 1.77 |
| $2780 | $0.25M | $0.15M | $0.00M | $-4187 | 4.93 | -95.79 | 1106.54 | 1.60 |
| $2800 | $27.50M | $1.61M | $0.19M | $-76638 | 114.84 | -389.86 | 9497.91 | 5.77 |
| $2820 | $0.13M | $0.07M | $0.00M | $-1970 | 2.83 | -34.22 | 841.73 | 0.42 |
| $2825 | $-0.02M | $78.38M | $0.00M | $-4429 | 8.29 | -71.37 | 2526.25 | 0.65 |
| $2830 | $0.00M | $0.02M | $0.00M | $-667 | 0.94 | -21.63 | 281.10 | 0.49 |
| $2840 | $0.03M | $0.02M | $0.00M | $-872 | 1.03 | -20.30 | 318.67 | 0.33 |
| $2850 | $4.65M | $0.72M | $0.02M | $-24808 | 42.75 | -173.89 | 13672.99 | 0.70 |
| $2860 | $0.04M | $0.03M | $0.00M | $-2006 | 1.04 | -54.83 | 255.21 | 1.08 |
| $2875 | $-0.18M | $0.05M | $0.00M | $-2431 | 4.22 | -30.94 | 1627.49 | 0.24 |
| $2880 | $0.03M | $0.02M | $0.00M | $-1029 | 1.03 | -24.91 | 356.42 | 0.47 |
| $2900 | $13.55M | $1.05M | $0.09M | $-46397 | 96.50 | -229.02 | 29818.66 | 1.87 |
| $2920 | $-0.26M | $-0.00M | $0.00M | $-157 | 0.25 | -2.52 | 108.41 | 0.03 |
| $2950 | $0.04M | $0.14M | $0.01M | $-8031 | 19.17 | -38.30 | 9023.22 | 0.21 |
| $3000 | $34.82M | $1.69M | $0.21M | $-71268 | 193.94 | -239.49 | 80175.53 | 1.57 |
| $3050 | $0.98M | $12.14M | $0.00M | $-3156 | 10.93 | -12.02 | 6969.70 | 0.04 |
| $3100 | $8.66M | $0.49M | $0.05M | $-19001 | 64.18 | -45.97 | 39140.47 | 0.14 |
| $3150 | $0.03M | $0.00M | $0.00M | $-175 | 0.66 | -0.71 | 479.76 | 0.01 |
| $3200 | $68.92M | $3.30M | $0.41M | $-128141 | 495.71 | -207.54 | 368497.72 | 0.15 |
| $3250 | $0.00M | $0.00M | $0.00M | $-0 | 0.00 | -0.00 | 0.02 | 0.00 |
| $3300 | $8.09M | $0.31M | $0.06M | $-12945 | 58.19 | -19.71 | 46173.87 | 0.01 |
| $3350 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $3400 | $14.09M | $0.74M | $0.10M | $-29962 | 140.18 | -63.00 | 142481.93 | 0.10 |
| $3450 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $3500 | $22.69M | $1.08M | $0.18M | $-45670 | 235.68 | -68.33 | 261571.11 | 0.02 |
| $3600 | $7.67M | $0.36M | $0.07M | $-15969 | 87.21 | -34.51 | 104222.98 | 0.05 |
| $3700 | $1.43M | $0.04M | $0.01M | $-1784 | 11.21 | -1.62 | 13259.41 | -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