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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) |
|---|---|---|---|---|---|---|---|---|
| $3000 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $3400 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $3500 | $0.00M | $0.00M | $0.00M | $-0 | -0.00 | 0.00 | 7.74 | 0.00 |
| $3600 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $3700 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $3800 | $0.01M | $0.00M | $0.00M | $-0 | -0.03 | 0.02 | 49.13 | 0.00 |
| $3900 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4000 | $-0.04M | $-0.02M | $0.00M | $-0 | -0.57 | 0.54 | 343.33 | -0.00 |
| $4040 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4050 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4060 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4080 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4100 | $-0.09M | $-0.02M | $0.00M | $-0 | -0.15 | 0.14 | 19.56 | -0.01 |
| $4120 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4130 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4140 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4150 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4160 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4170 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4180 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4200 | $-0.01M | $-0.00M | $0.00M | $-0 | 0.07 | -0.07 | 23.33 | -0.00 |
| $4220 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4240 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4250 | $-0.00M | $-0.00M | $0.00M | $-0 | 0.01 | -0.03 | 4.56 | 0.00 |
| $4260 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4280 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4300 | $0.03M | $0.01M | $0.00M | $-0 | 0.29 | -0.29 | 211.88 | 0.00 |
| $4320 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4340 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4350 | $0.00M | $0.00M | $0.00M | $-0 | 0.01 | -0.03 | 4.98 | 0.00 |
| $4360 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4400 | $-0.03M | $0.01M | $0.00M | $-0 | 1.31 | -0.53 | 1447.07 | 0.00 |
| $4450 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4500 | $-0.03M | $0.01M | $0.00M | $-0 | 1.06 | -0.41 | 1513.38 | 0.00 |
| $4550 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4600 | $0.00M | $0.00M | $0.00M | $-0 | 0.22 | -0.09 | 369.29 | 0.00 |
| $4700 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $4800 | $-0.10M | $0.01M | $0.00M | $-0 | 1.81 | -0.81 | 3861.89 | 0.00 |
| $5000 | $0.20M | $0.05M | $0.00M | $-2 | 7.28 | -3.58 | 18118.63 | 0.01 |
| $5200 | $0.01M | $0.00M | $0.00M | $-0 | 0.21 | -0.11 | 573.33 | 0.00 |
| $5500 | $0.01M | $0.00M | $0.00M | $-0 | 0.26 | -0.15 | 865.33 | 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