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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 | 0.02 | 0.03 | 0.01 |
| $66 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $70 | $-0.00M | $-0.00M | $0.00M | $-0 | -2.38 | 32.45 | 48.84 | 6.89 |
| $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 | -6.54 | 43.48 | 122.78 | 5.51 |
| $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 | -1.13 | 5.25 | 18.68 | 0.33 |
| $78 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $80 | $-0.01M | $-0.00M | $0.00M | $-0 | -3.75 | 25.96 | 46.80 | 1.20 |
| $82 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $82.5 | $-0.07M | $-0.01M | $0.00M | $-2 | -10.95 | 56.04 | 103.40 | -3.65 |
| $84 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $85 | $-0.35M | $-0.05M | $0.00M | $-8 | -30.54 | 218.73 | 160.16 | -56.65 |
| $86 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $86.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $87 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.28 | 0.02 | -0.28 |
| $87.5 | $2.37M | $0.27M | $0.00M | $-44 | -21.27 | 180.57 | 23.67 | -516.26 |
| $88 | $-0.00M | $-0.00M | $0.00M | $-0 | 0.00 | -0.02 | -0.00 | -1.21 |
| $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 | 0.02 | -1.14 | 0.03 | -0.95 |
| $89.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $90 | $0.57M | $0.05M | $0.00M | $-11 | 26.84 | -80.02 | 66.14 | -31.61 |
| $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 | 2.12 | -20.29 | 8.96 | -4.26 |
| $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 | 2.17 | -20.06 | 12.02 | -2.66 |
| $92.5 | $-0.04M | $0.00M | $0.00M | $-2 | 8.53 | -67.06 | 52.75 | -7.13 |
| $93 | $-0.00M | $0.00M | $0.00M | $-0 | 1.58 | -16.02 | 10.66 | -0.64 |
| $94 | $-0.01M | $0.00M | $0.00M | $-0 | 2.16 | -20.80 | 17.03 | -0.49 |
| $95 | $0.27M | $0.03M | $0.00M | $-9 | 49.49 | -187.56 | 471.61 | -8.71 |
| $96 | $0.16M | $0.04M | $0.00M | $-8 | 50.21 | -512.07 | 495.20 | 21.59 |
| $97 | $0.01M | $0.00M | $0.00M | $-1 | 5.41 | -56.74 | 58.18 | 3.76 |
| $97.5 | $0.81M | $0.18M | $0.00M | $-41 | 269.06 | -2859.14 | 3008.33 | 218.35 |
| $98 | $0.09M | $0.02M | $0.00M | $-4 | 29.93 | -322.50 | 346.87 | 27.46 |
| $99 | $0.00M | $0.00M | $0.00M | $-0 | 0.55 | -6.03 | 6.75 | 0.61 |
| $100 | $1.43M | $0.23M | $0.00M | $-56 | 456.06 | -2874.57 | 6605.83 | 238.00 |
| $102 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $102.5 | $0.49M | $0.07M | $0.00M | $-15 | 175.56 | -780.61 | 3049.48 | 57.42 |
| $104 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $105 | $0.09M | $0.02M | $0.00M | $-6 | 56.26 | -394.63 | 1043.11 | 51.62 |
| $107.5 | $0.00M | $0.00M | $0.00M | $-0 | 0.14 | -0.51 | 3.13 | 0.04 |
| $110 | $0.05M | $0.01M | $0.00M | $-11 | 28.77 | -383.38 | 551.49 | 72.82 |
| $115 | $0.03M | $0.01M | $0.00M | $-5 | 18.47 | -229.36 | 420.51 | 49.16 |
| $120 | $0.00M | $0.00M | $0.00M | $-6 | 3.29 | -32.98 | 91.38 | 8.32 |
−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