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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) |
|---|---|---|---|---|---|---|---|---|
| $950 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.03 | 5.42 | 0.00 |
| $975 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.03 | 5.67 | 0.00 |
| $1000 | $-0.01M | $-0.00M | $0.00M | $-46 | -0.07 | 0.11 | 46.68 | 0.00 |
| $1025 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.26 | 4.47 | 0.00 |
| $1050 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.03 | 7.35 | -0.00 |
| $1075 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.01 | 0.40 | 0.00 |
| $1100 | $-0.01M | $-0.00M | $0.00M | $-0 | -0.03 | 0.08 | 17.05 | -0.00 |
| $1125 | $0.03M | $0.00M | $0.00M | $-0 | -0.01 | 0.24 | 3.54 | 0.00 |
| $1150 | $0.00M | $-0.01M | $0.00M | $-5 | -0.96 | 2.05 | 436.41 | -0.00 |
| $1175 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1200 | $-0.19M | $-0.01M | $0.00M | $-57 | -0.89 | 2.93 | 361.93 | 0.00 |
| $1225 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 0.10 | 0.00 |
| $1250 | $0.02M | $0.00M | $0.00M | $-0 | -0.04 | 0.39 | 10.41 | 0.00 |
| $1275 | $0.09M | $0.00M | $0.00M | $-1 | -0.09 | 1.68 | 19.92 | 0.00 |
| $1300 | $-0.08M | $-0.01M | $0.00M | $-6 | -0.70 | 2.28 | 214.49 | -0.00 |
| $1350 | $-0.01M | $-0.00M | $0.00M | $-1 | -0.15 | 2.12 | 27.61 | 0.00 |
| $1400 | $-0.50M | $-0.02M | $0.00M | $-15 | -1.05 | 6.23 | 187.55 | -0.03 |
| $1450 | $0.58M | $0.01M | $0.00M | $-11 | -0.51 | 3.15 | 62.71 | -0.03 |
| $1500 | $0.87M | $0.03M | $0.00M | $-23 | -0.54 | 9.65 | 29.70 | -0.17 |
| $1525 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1550 | $0.08M | $0.00M | $0.00M | $-2 | 0.02 | -0.13 | -0.93 | -0.01 |
| $1575 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1600 | $-0.05M | $0.01M | $0.00M | $-23 | 0.97 | -7.82 | -21.52 | -0.14 |
| $1625 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1650 | $0.08M | $0.00M | $0.00M | $-1 | 0.10 | -0.37 | 1.98 | -0.00 |
| $1675 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1700 | $0.44M | $0.02M | $0.00M | $-13 | 1.11 | -11.17 | 67.31 | -0.05 |
| $1725 | $0.00M | $0.00M | $0.00M | $-0 | 0.00 | -0.01 | 0.11 | -0.00 |
| $1750 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1800 | $0.45M | $0.01M | $0.00M | $-9 | 1.40 | -6.70 | 155.35 | -0.01 |
| $1850 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1900 | $0.05M | $0.00M | $0.00M | $-2 | 0.35 | -2.38 | 72.07 | -0.00 |
| $1950 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2000 | $0.16M | $0.00M | $0.00M | $-3 | 0.73 | -1.93 | 159.45 | -0.00 |
| $2050 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2100 | $0.00M | $0.00M | $0.00M | $-0 | 0.01 | -0.22 | 2.84 | 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