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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) |
|---|---|---|---|---|---|---|---|---|
| $0.95 | $0.00M | $-0.00M | $0.00M | $-0 | -1.03 | 1.35 | 0.91 | 5.34 |
| $1 | $0.00M | $0.00M | $0.00M | $-0 | -0.40 | 0.73 | 0.33 | 9.59 |
| $1.05 | $0.00M | $-0.00M | $0.00M | $-2 | -4.78 | 13.55 | 3.31 | 85.80 |
| $1.1 | $0.00M | $0.00M | $0.00M | $-0 | -0.17 | 0.08 | 0.12 | -0.11 |
| $1.12 | $0.00M | $0.00M | $0.00M | $-2 | -0.89 | 15.87 | 0.31 | 154.65 |
| $1.14 | $0.00M | $-0.00M | $0.00M | $-1 | -0.42 | 7.23 | 0.14 | 71.64 |
| $1.15 | $0.00M | $0.00M | $0.00M | $-4 | -10.47 | 14.98 | 5.84 | 30.06 |
| $1.16 | $-0.00M | $-0.00M | $0.00M | $-1 | -0.90 | 14.76 | 0.30 | 148.07 |
| $1.18 | $0.00M | $0.00M | $0.00M | $-1 | -1.03 | 16.19 | 0.34 | 163.35 |
| $1.2 | $-0.00M | $-0.00M | $0.00M | $-14 | -40.21 | 101.34 | 19.80 | 605.29 |
| $1.22 | $0.00M | $0.00M | $0.00M | $-2 | -1.67 | 23.84 | 0.51 | 237.51 |
| $1.24 | $0.00M | $0.00M | $0.00M | $-3 | -2.17 | 29.61 | 0.64 | 288.08 |
| $1.25 | $-0.01M | $-0.00M | $0.00M | $-0 | -102.50 | 563.26 | 35.76 | 3132.05 |
| $1.26 | $0.00M | $0.00M | $0.00M | $-2 | -2.04 | 26.61 | 0.57 | 248.55 |
| $1.28 | $0.00M | $0.00M | $0.00M | $-0 | -0.16 | 1.95 | 0.04 | 17.91 |
| $1.3 | $-0.00M | $-0.00M | $0.00M | $-1 | -28.48 | 53.38 | 9.64 | -32.92 |
| $1.32 | $0.00M | $-0.00M | $0.00M | $-5 | -6.06 | 54.22 | 1.50 | 327.87 |
| $1.34 | $0.00M | $-0.00M | $0.00M | $-1 | -1.63 | 9.15 | 0.40 | 99.92 |
| $1.35 | $-0.00M | $-0.00M | $0.00M | $-3 | -19.49 | 78.56 | 4.63 | -0.72 |
| $1.36 | $-0.00M | $-0.00M | $0.00M | $-92 | -89.41 | 963.02 | 17.18 | 4023.23 |
| $1.38 | $0.00M | $0.00M | $0.00M | $-4 | -4.20 | 14.15 | 0.80 | -72.70 |
| $1.4 | $0.01M | $-0.00M | $0.00M | $-26 | -74.69 | 330.00 | 13.69 | 546.02 |
| $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 | -1.75 | 36.44 | 0.22 | 794.33 |
| $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 | $-48 | -23.89 | 213.51 | 2.22 | -2240.94 |
| $1.45 | $-0.00M | $-0.00M | $0.00M | $-5 | -19.25 | 198.80 | 1.49 | -2735.82 |
| $1.46 | $0.00M | $0.00M | $0.00M | $-14 | -4.57 | 34.35 | 0.33 | -759.59 |
| $1.47 | $0.00M | $0.00M | $0.00M | $-8 | -4.58 | 156.58 | 0.26 | -2887.65 |
| $1.48 | $0.00M | $-0.00M | $0.00M | $-83 | -13.72 | 184.95 | 0.51 | -9191.98 |
| $1.49 | $0.00M | $0.00M | $0.00M | $-16 | -3.77 | 126.02 | 0.08 | -12133.74 |
| $1.5 | $-0.01M | $-0.00M | $0.00M | $-305 | 15.42 | -83.45 | -0.43 | -34730.19 |
| $1.51 | $0.00M | $0.00M | $0.00M | $-7 | 2.52 | -99.55 | 0.04 | -8185.61 |
| $1.52 | $0.01M | $0.00M | $0.00M | $-64 | 16.28 | -185.55 | 0.30 | -5831.13 |
| $1.53 | $0.00M | $0.00M | $0.00M | $-3 | 4.76 | -189.34 | 0.25 | -78.82 |
| $1.54 | $0.02M | $0.00M | $0.00M | $-129 | 50.55 | -488.69 | 2.30 | -6519.17 |
| $1.55 | $0.09M | $0.01M | $0.00M | $-6 | 376.62 | -3925.03 | 21.30 | -59167.76 |
| $1.56 | $0.00M | $0.00M | $0.00M | $-51 | 27.10 | -207.60 | 1.88 | -2139.61 |
| $1.57 | $0.00M | $0.00M | $0.00M | $-0 | 0.27 | -13.33 | 0.03 | 341.02 |
| $1.58 | $0.00M | $0.00M | $0.00M | $-26 | 21.80 | -71.69 | 2.06 | -642.59 |
| $1.59 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1.6 | $0.07M | $0.00M | $0.00M | $-193 | 329.42 | -1588.39 | 32.98 | -6310.07 |
| $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 | $-48 | 44.33 | -349.59 | 6.42 | -528.11 |
| $1.64 | $0.00M | $0.00M | $0.00M | $-48 | 45.04 | -411.11 | 7.45 | 495.73 |
| $1.65 | $0.01M | $0.00M | $0.00M | $-25 | 38.49 | -42.48 | 5.67 | -200.01 |
| $1.66 | $0.01M | $0.00M | $0.00M | $-178 | 132.11 | -1521.89 | 22.19 | 2283.43 |
| $1.68 | $0.00M | $0.00M | $0.00M | $-79 | 59.61 | -702.24 | 10.91 | 1826.83 |
| $1.7 | $0.19M | $0.02M | $0.00M | $-126 | 2102.84 | -7901.57 | 455.13 | -1577.45 |
| $1.72 | $-0.00M | $0.00M | $0.00M | $-1 | 1.94 | -20.87 | 0.49 | 198.75 |
| $1.74 | $-0.00M | $-0.00M | $0.00M | $-1 | 1.50 | -16.59 | 0.40 | 168.78 |
| $1.75 | $0.02M | $0.00M | $0.00M | $-62 | 361.20 | -3215.56 | 86.94 | 18524.08 |
| $1.76 | $-0.00M | $0.00M | $0.00M | $-1 | 1.63 | -18.56 | 0.46 | 198.07 |
| $1.8 | $0.06M | $0.00M | $0.00M | $-395 | 721.54 | -4174.34 | 205.66 | 18842.77 |
| $1.85 | $-0.00M | $0.00M | $0.00M | $-6 | 14.98 | -21.03 | 5.48 | 19.00 |
| $1.9 | $0.07M | $0.00M | $0.00M | $-2 | 932.09 | -1416.93 | 370.14 | 2823.74 |
| $1.95 | $0.00M | $0.00M | $0.00M | $-14 | 36.01 | -46.37 | 15.43 | 14.82 |
| $2 | $0.05M | $0.00M | $0.00M | $-1 | 845.39 | -1622.63 | 396.99 | 6436.86 |
| $2.1 | $-0.00M | $0.00M | $0.00M | $-1 | 4.08 | -1.93 | 1.87 | -1.05 |
−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