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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) |
|---|---|---|---|---|---|---|---|---|
| $0.028 | $-0.00M | $-0.00M | $0.00M | $-6 | -481.26 | 637.35 | 14.40 | 91863.97 |
| $0.03 | $0.01M | $-0.00M | $0.00M | $-14 | -1337.58 | 2641.33 | 35.10 | 427761.52 |
| $0.031 | $-0.00M | $-0.00M | $0.00M | $-4 | -52.71 | 1219.50 | 0.60 | 300099.29 |
| $0.032 | $0.08M | $0.00M | $0.00M | $-60 | -4141.46 | 9878.60 | 94.11 | 1730896.00 |
| $0.033 | $0.04M | $0.00M | $0.00M | $-24 | -444.47 | 8956.55 | 4.92 | 2418391.85 |
| $0.034 | $0.16M | $0.00M | $0.00M | $-117 | -10534.36 | 21549.68 | 207.84 | 3295795.64 |
| $0.035 | $0.05M | $-0.00M | $0.00M | $-72 | -2718.41 | 16172.94 | 44.38 | 4122135.27 |
| $0.036 | $0.27M | $0.00M | $0.00M | $-271 | -18418.03 | 40737.91 | 304.39 | 6258941.73 |
| $0.037 | $0.06M | $0.00M | $0.00M | $-54 | -1419.94 | 21470.26 | 13.92 | 6417521.47 |
| $0.038 | $0.38M | $0.00M | $0.00M | $-463 | -23319.99 | 73756.59 | 306.50 | 13682460.77 |
| $0.039 | $0.22M | $0.00M | $0.00M | $-242 | -8831.07 | 94381.25 | 82.34 | 25056012.74 |
| $0.04 | $0.39M | $0.00M | $0.00M | $-647 | -25889.05 | 117222.09 | 257.87 | 21542114.63 |
| $0.041 | $0.16M | $0.00M | $0.00M | $-304 | -9539.49 | 99774.39 | 70.15 | 20218080.00 |
| $0.042 | $0.31M | $0.01M | $0.00M | $-740 | -21876.30 | 115386.44 | 155.93 | 9747464.99 |
| $0.043 | $0.11M | $0.00M | $0.00M | $-374 | -10134.65 | 99723.82 | 52.12 | 2592311.41 |
| $0.044 | $0.21M | $0.01M | $0.00M | $-706 | -11852.69 | 66733.93 | 51.65 | -13652211.49 |
| $0.045 | $0.16M | $0.00M | $0.00M | $-597 | -4640.58 | 28028.33 | 13.26 | -16719072.46 |
| $0.0455 | $-0.00M | $-0.00M | $0.00M | $-10 | -160.34 | 3829.15 | 0.29 | -1729805.05 |
| $0.046 | $0.12M | $0.01M | $0.00M | $-703 | -1594.95 | 46534.36 | 0.32 | -77856986.01 |
| $0.0465 | $0.00M | $-0.00M | $0.00M | $-51 | -55.82 | 1727.99 | 0.01 | -29192398.03 |
| $0.047 | $0.02M | $0.01M | $0.00M | $-530 | 4765.18 | -132119.79 | 3.15 | -263325024.18 |
| $0.0475 | $0.00M | $0.00M | $0.00M | $-206 | 5283.28 | -191546.50 | 8.34 | -83641161.79 |
| $0.048 | $0.11M | $0.01M | $0.00M | $-849 | 18903.24 | -285231.08 | 30.68 | 5441195.79 |
| $0.0485 | $-0.00M | $0.00M | $0.00M | $-42 | 2264.02 | -86457.94 | 6.70 | 44370218.22 |
| $0.049 | $0.01M | $0.00M | $0.00M | $-121 | 3842.95 | -69564.59 | 13.06 | 25909308.45 |
| $0.0495 | $-0.00M | $0.00M | $0.00M | $-8 | 502.17 | -25310.29 | 1.95 | 22932272.87 |
| $0.05 | $0.06M | $0.00M | $0.00M | $-353 | 13157.06 | -42984.99 | 41.54 | 2466550.94 |
| $0.0505 | $0.00M | $0.00M | $0.00M | $-1 | 144.56 | -8389.23 | 0.65 | 8353879.21 |
| $0.051 | $0.00M | $0.00M | $0.00M | $-32 | 1364.25 | -13780.99 | 7.84 | 2598597.65 |
| $0.052 | $0.01M | $0.00M | $0.00M | $-109 | 5615.25 | -14942.46 | 34.36 | -194023.07 |
| $0.053 | $0.00M | $0.00M | $0.00M | $-1 | 33.32 | -349.27 | 0.25 | 103883.13 |
| $0.054 | $0.00M | $0.00M | $0.00M | $-65 | 3837.14 | -6622.81 | 30.48 | -56575.22 |
| $0.055 | $0.01M | $0.00M | $0.00M | $-66 | 4845.44 | -5346.85 | 39.91 | -281112.18 |
| $0.056 | $0.01M | $0.00M | $0.00M | $-30 | 2315.80 | -2932.69 | 22.77 | -58843.22 |
| $0.058 | $0.00M | $0.00M | $0.00M | $-10 | 800.24 | -960.66 | 9.52 | -4372.79 |
| $0.06 | $0.00M | $0.00M | $0.00M | $-17 | 1627.37 | -1448.02 | 19.74 | 8775.98 |
| $0.065 | $0.00M | $0.00M | $0.00M | $-2 | 200.18 | -94.67 | 2.86 | -1654.63 |
−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