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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) |
|---|---|---|---|---|---|---|---|---|
| $1.2 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.4 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.6 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.7 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.8 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.9 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2.1 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2.2 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2.3 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2.4 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2.5 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2.6 | $0.00M | $0.00M | $0.00M | $-2 | 0.77 | -13.77 | 0.31 | 85.95 |
| $2.7 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 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