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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) |
|---|---|---|---|---|---|---|---|---|
| $54 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $55 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $56 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $58 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $60 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $62 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $64 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $65 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.04 | 0.06 | 0.01 |
| $66 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $70 | $-0.01M | $-0.00M | $0.00M | $-1 | -3.24 | 46.16 | 60.47 | 8.01 |
| $72 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $72.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $74 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $75 | $-0.02M | $-0.00M | $0.00M | $-1 | -7.07 | 49.72 | 122.19 | 5.13 |
| $76 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $77.5 | $0.01M | $-0.00M | $0.00M | $-0 | -1.14 | 5.50 | 17.33 | 0.23 |
| $78 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $80 | $-0.01M | $-0.00M | $0.00M | $-1 | -3.52 | 24.34 | 39.42 | 0.33 |
| $82 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $82.5 | $-0.08M | $-0.01M | $0.00M | $-2 | -9.85 | 51.62 | 79.93 | -5.66 |
| $84 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $85 | $-0.39M | $-0.05M | $0.00M | $-9 | -23.34 | 168.17 | 93.59 | -69.01 |
| $86 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $87 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $87.5 | $2.17M | $0.26M | $0.00M | $-44 | 25.20 | -209.80 | 1.79 | -513.96 |
| $88 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $88.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $89 | $0.00M | $0.00M | $0.00M | $-0 | 0.03 | -1.54 | 0.09 | -0.48 |
| $89.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $90 | $0.54M | $0.05M | $0.00M | $-10 | 34.54 | -102.37 | 127.00 | -29.68 |
| $90.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $91 | $-0.04M | $-0.00M | $0.00M | $-1 | 2.37 | -22.41 | 12.36 | -3.12 |
| $91.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $92 | $0.01M | $0.00M | $0.00M | $-0 | 2.28 | -21.25 | 14.82 | -1.78 |
| $92.5 | $-0.04M | $0.00M | $0.00M | $-2 | 8.99 | -70.13 | 64.42 | -4.36 |
| $93 | $-0.00M | $0.00M | $0.00M | $-0 | 1.60 | -16.02 | 12.26 | -0.11 |
| $94 | $-0.01M | $0.00M | $0.00M | $-0 | 2.15 | -20.67 | 18.74 | 0.13 |
| $95 | $0.25M | $0.03M | $0.00M | $-8 | 51.89 | -191.92 | 554.17 | -4.98 |
| $96 | $0.14M | $0.03M | $0.00M | $-7 | 48.16 | -489.38 | 514.12 | 31.14 |
| $97 | $0.01M | $0.00M | $0.00M | $-1 | 5.12 | -53.43 | 59.19 | 4.63 |
| $97.5 | $0.71M | $0.16M | $0.00M | $-37 | 253.47 | -2674.59 | 3034.52 | 253.21 |
| $98 | $0.07M | $0.02M | $0.00M | $-4 | 28.04 | -299.80 | 347.05 | 31.25 |
| $99 | $0.00M | $0.00M | $0.00M | $-0 | 0.51 | -5.54 | 6.66 | 0.66 |
| $100 | $1.27M | $0.21M | $0.00M | $-50 | 438.75 | -2676.10 | 6792.08 | 260.08 |
| $102 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $102.5 | $0.44M | $0.07M | $0.00M | $-14 | 168.89 | -731.65 | 3098.56 | 61.31 |
| $104 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $105 | $0.08M | $0.02M | $0.00M | $-5 | 52.30 | -353.34 | 1016.77 | 50.26 |
| $107.5 | $0.00M | $0.00M | $0.00M | $-0 | 0.14 | -0.48 | 3.07 | 0.04 |
| $110 | $0.04M | $0.01M | $0.00M | $-10 | 24.86 | -322.99 | 496.08 | 65.96 |
| $115 | $0.02M | $0.01M | $0.00M | $-4 | 15.59 | -185.53 | 368.41 | 42.32 |
| $120 | $0.00M | $0.00M | $0.00M | $-5 | 2.80 | -25.77 | 80.62 | 6.80 |
−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