Resolving liquidity matrix...
Loading listed desk
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) |
|---|---|---|---|---|---|---|---|---|
| $0.9 | $0.00M | $-0.00M | $0.00M | $-0 | -1.19 | 0.58 | 1.22 | 0.36 |
| $0.95 | $0.00M | $-0.00M | $0.00M | $-0 | -1.10 | 1.43 | 0.94 | 5.40 |
| $1 | $0.00M | $0.00M | $0.00M | $-0 | -0.40 | 0.92 | 0.33 | 12.53 |
| $1.05 | $0.00M | $-0.00M | $0.00M | $-3 | -5.01 | 15.18 | 3.33 | 90.41 |
| $1.1 | $0.00M | $0.00M | $0.00M | $-0 | -0.16 | 0.08 | 0.11 | -0.12 |
| $1.12 | $0.00M | $0.00M | $0.00M | $-2 | -1.03 | 18.17 | 0.34 | 162.52 |
| $1.14 | $0.00M | $-0.00M | $0.00M | $-1 | -0.49 | 8.22 | 0.16 | 74.91 |
| $1.15 | $0.00M | $0.00M | $0.00M | $-5 | -10.67 | 15.68 | 5.68 | 27.54 |
| $1.16 | $-0.00M | $-0.00M | $0.00M | $-2 | -1.04 | 16.67 | 0.33 | 154.05 |
| $1.18 | $0.00M | $0.00M | $0.00M | $-2 | -1.19 | 18.17 | 0.37 | 169.07 |
| $1.2 | $-0.00M | $-0.00M | $0.00M | $-37 | -15.80 | 89.72 | 5.07 | 532.67 |
| $1.22 | $0.00M | $0.00M | $0.00M | $-2 | -1.80 | 25.00 | 0.53 | 229.30 |
| $1.24 | $0.00M | $0.00M | $0.00M | $-3 | -2.47 | 32.70 | 0.69 | 292.01 |
| $1.25 | $-0.01M | $-0.00M | $0.00M | $-0 | -107.38 | 596.99 | 35.31 | 3003.16 |
| $1.26 | $0.00M | $0.00M | $0.00M | $-2 | -2.30 | 29.22 | 0.62 | 249.06 |
| $1.28 | $0.00M | $0.00M | $0.00M | $-0 | -0.19 | 2.61 | 0.04 | 14.47 |
| $1.3 | $-0.00M | $-0.00M | $0.00M | $-1 | -27.42 | 52.35 | 8.62 | -69.37 |
| $1.32 | $0.00M | $-0.00M | $0.00M | $-4 | -6.27 | 49.34 | 1.57 | 386.52 |
| $1.34 | $0.00M | $-0.00M | $0.00M | $-2 | -1.71 | 13.47 | 0.37 | 95.72 |
| $1.35 | $-0.00M | $-0.00M | $0.00M | $-3 | -18.71 | 76.96 | 4.03 | -106.86 |
| $1.36 | $-0.00M | $-0.00M | $0.00M | $-67 | -103.46 | 895.61 | 21.68 | 5889.72 |
| $1.38 | $0.00M | $0.00M | $0.00M | $-4 | -3.81 | 12.90 | 0.65 | -84.40 |
| $1.4 | $0.01M | $-0.00M | $0.00M | $-61 | -51.38 | 250.05 | 8.03 | -1200.86 |
| $1.41 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.42 | $0.00M | $-0.00M | $0.00M | $-2 | -1.60 | 40.20 | 0.17 | 716.39 |
| $1.43 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.44 | $-0.00M | $-0.00M | $0.00M | $-50 | -20.41 | 175.72 | 1.54 | -3176.50 |
| $1.45 | $-0.00M | $-0.00M | $0.00M | $-5 | -13.99 | 150.43 | 0.77 | -3517.89 |
| $1.46 | $0.00M | $0.00M | $0.00M | $-14 | -2.74 | 22.14 | 0.14 | -881.95 |
| $1.47 | $0.00M | $0.00M | $0.00M | $-3 | -0.83 | 25.13 | 0.03 | -1256.94 |
| $1.48 | $-0.00M | $-0.00M | $0.00M | $-81 | -2.93 | 50.96 | 0.04 | -10388.55 |
| $1.49 | $0.00M | $0.00M | $0.00M | $-13 | 0.93 | -30.82 | 0.00 | -9976.26 |
| $1.5 | $-0.02M | $-0.00M | $0.00M | $-292 | 58.63 | -524.50 | 0.27 | -31132.78 |
| $1.51 | $0.00M | $0.00M | $0.00M | $-9 | 4.63 | -169.00 | 0.17 | -4463.05 |
| $1.52 | $0.01M | $0.00M | $0.00M | $-58 | 22.96 | -226.57 | 0.88 | -4074.05 |
| $1.53 | $0.00M | $0.00M | $0.00M | $-4 | 4.79 | -185.73 | 0.32 | 526.41 |
| $1.54 | $0.01M | $0.00M | $0.00M | $-121 | 59.49 | -545.17 | 3.68 | -5135.66 |
| $1.55 | $0.08M | $0.01M | $0.00M | $-6 | 451.02 | -4582.09 | 33.51 | -47767.14 |
| $1.56 | $0.00M | $0.00M | $0.00M | $-47 | 30.68 | -228.10 | 2.70 | -1546.56 |
| $1.57 | $0.00M | $0.00M | $0.00M | $-0 | 0.23 | -11.64 | 0.03 | 269.04 |
| $1.58 | $0.00M | $0.00M | $0.00M | $-25 | 23.91 | -78.59 | 2.68 | -580.69 |
| $1.59 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.6 | $0.06M | $0.00M | $0.00M | $-178 | 345.00 | -1620.63 | 39.41 | -3247.62 |
| $1.61 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.62 | $0.00M | $0.00M | $0.00M | $-50 | 40.91 | -346.55 | 6.08 | -322.00 |
| $1.64 | $0.00M | $0.00M | $0.00M | $-29 | 45.10 | -353.44 | 9.21 | 2243.71 |
| $1.65 | $0.00M | $0.00M | $0.00M | $-11 | 17.52 | -19.05 | 2.70 | -78.23 |
| $1.66 | $0.01M | $0.00M | $0.00M | $-165 | 126.15 | -1482.42 | 22.07 | 3745.87 |
| $1.68 | $0.00M | $0.00M | $0.00M | $-46 | 56.60 | -576.96 | 12.61 | 3952.27 |
| $1.7 | $0.17M | $0.02M | $0.00M | $-73 | 2110.40 | -7693.89 | 489.11 | 5636.51 |
| $1.72 | $-0.00M | $0.00M | $0.00M | $-1 | 1.79 | -19.51 | 0.47 | 189.50 |
| $1.74 | $-0.00M | $-0.00M | $0.00M | $-1 | 1.39 | -15.54 | 0.38 | 160.89 |
| $1.75 | $0.02M | $0.00M | $0.00M | $-61 | 342.64 | -2870.23 | 87.40 | 19397.89 |
| $1.76 | $-0.00M | $0.00M | $0.00M | $-1 | 1.51 | -17.43 | 0.43 | 189.17 |
| $1.8 | $0.07M | $0.01M | $0.00M | $-593 | 764.03 | -4890.62 | 217.24 | 13059.47 |
| $1.85 | $-0.00M | $0.00M | $0.00M | $-6 | 14.96 | -20.97 | 5.66 | 20.64 |
| $1.9 | $0.06M | $0.00M | $0.00M | $-2 | 922.71 | -1366.87 | 375.53 | 2730.09 |
| $1.95 | $0.00M | $0.00M | $0.00M | $-14 | 35.49 | -46.29 | 15.37 | 22.46 |
| $2 | $0.05M | $0.00M | $0.00M | $-1 | 826.80 | -1509.68 | 395.52 | 5842.62 |
−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