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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 | -520.30 | 693.96 | 15.02 | 96711.49 |
| $0.03 | $0.01M | $-0.00M | $0.00M | $-14 | -1418.64 | 2744.60 | 35.88 | 441789.55 |
| $0.031 | $-0.00M | $-0.00M | $0.00M | $-4 | -53.09 | 1220.68 | 0.60 | 315443.38 |
| $0.032 | $0.08M | $0.00M | $0.00M | $-60 | -4324.95 | 10210.89 | 94.39 | 1800017.08 |
| $0.033 | $0.04M | $0.00M | $0.00M | $-24 | -459.41 | 9211.34 | 4.98 | 2586449.29 |
| $0.034 | $0.16M | $0.00M | $0.00M | $-128 | -10825.34 | 22334.29 | 203.96 | 3422440.52 |
| $0.035 | $0.05M | $-0.00M | $0.00M | $-72 | -2790.04 | 16976.26 | 43.35 | 4446987.50 |
| $0.036 | $0.26M | $0.00M | $0.00M | $-271 | -18604.48 | 42271.57 | 291.51 | 6580366.70 |
| $0.037 | $0.05M | $0.00M | $0.00M | $-54 | -1538.54 | 23142.25 | 14.54 | 7009193.92 |
| $0.038 | $0.37M | $0.00M | $0.00M | $-464 | -23331.68 | 77684.52 | 287.65 | 14602439.21 |
| $0.039 | $0.22M | $0.00M | $0.00M | $-303 | -9607.69 | 102780.58 | 84.90 | 26823333.03 |
| $0.04 | $0.38M | $0.00M | $0.00M | $-700 | -25787.56 | 124954.62 | 237.01 | 22092206.28 |
| $0.041 | $0.15M | $0.00M | $0.00M | $-309 | -10374.40 | 108288.15 | 70.63 | 19466797.17 |
| $0.042 | $0.30M | $0.01M | $0.00M | $-784 | -21150.63 | 119746.54 | 135.06 | 5987483.61 |
| $0.043 | $0.10M | $0.00M | $0.00M | $-410 | -10341.59 | 101740.43 | 46.58 | -4404772.25 |
| $0.044 | $0.20M | $0.01M | $0.00M | $-743 | -9811.73 | 61336.16 | 35.03 | -20664987.87 |
| $0.045 | $0.15M | $0.00M | $0.00M | $-614 | -2219.16 | 21453.99 | 3.71 | -21256993.92 |
| $0.0455 | $0.00M | $0.00M | $0.00M | $-44 | -399.73 | 9832.27 | 0.41 | -14573939.71 |
| $0.046 | $0.11M | $0.01M | $0.00M | $-728 | 2275.51 | 4377.31 | -3.64 | -161110113.00 |
| $0.0465 | $0.00M | $0.00M | $0.00M | $-72 | 650.37 | -18770.32 | 0.44 | -37598741.50 |
| $0.047 | $0.01M | $0.01M | $0.00M | $-442 | 8312.14 | -246880.38 | 12.13 | -108049964.85 |
| $0.0475 | $-0.00M | $0.00M | $0.00M | $-127 | 5181.72 | -214984.28 | 11.85 | 55520419.77 |
| $0.048 | $0.10M | $0.01M | $0.00M | $-786 | 20854.52 | -288114.14 | 45.93 | 90180398.28 |
| $0.0485 | $-0.00M | $0.00M | $0.00M | $-34 | 1684.18 | -74542.49 | 5.71 | 55810085.03 |
| $0.049 | $0.00M | $0.00M | $0.00M | $-105 | 3644.73 | -65343.17 | 14.34 | 29491713.24 |
| $0.0495 | $-0.00M | $0.00M | $0.00M | $-5 | 349.88 | -21952.20 | 1.39 | 21339154.19 |
| $0.05 | $0.06M | $0.00M | $0.00M | $-352 | 14134.35 | -44483.03 | 52.69 | 3734597.66 |
| $0.0505 | $0.00M | $0.00M | $0.00M | $-1 | 109.74 | -7988.74 | 0.48 | 7781421.63 |
| $0.051 | $0.00M | $0.00M | $0.00M | $-32 | 1239.71 | -13220.77 | 7.64 | 3112201.94 |
| $0.052 | $0.01M | $0.00M | $0.00M | $-113 | 5985.21 | -15541.17 | 39.64 | 129926.19 |
| $0.053 | $0.00M | $0.00M | $0.00M | $-1 | 29.89 | -334.64 | 0.23 | 105967.18 |
| $0.054 | $0.00M | $0.00M | $0.00M | $-54 | 3875.87 | -6661.92 | 32.70 | 37746.65 |
| $0.055 | $0.01M | $0.00M | $0.00M | $-69 | 5163.04 | -5758.24 | 45.14 | -248655.82 |
| $0.056 | $0.01M | $0.00M | $0.00M | $-30 | 2330.17 | -2964.56 | 24.01 | -33898.73 |
| $0.058 | $0.00M | $0.00M | $0.00M | $-8 | 796.28 | -964.02 | 9.81 | 2699.68 |
| $0.06 | $0.00M | $0.00M | $0.00M | $-17 | 1622.05 | -1447.06 | 20.25 | 16494.50 |
−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