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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) |
|---|---|---|---|---|---|---|---|---|
| $925 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.02 | 5.26 | 0.00 |
| $950 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.02 | 5.18 | 0.00 |
| $975 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.02 | 5.39 | 0.00 |
| $1000 | $-0.01M | $-0.00M | $0.00M | $-46 | -0.07 | 0.13 | 45.38 | 0.00 |
| $1025 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.02 | 0.50 | 6.37 | 0.00 |
| $1050 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.01 | 0.03 | 7.11 | -0.00 |
| $1075 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.01 | 0.42 | 0.00 |
| $1100 | $-0.01M | $-0.00M | $0.00M | $-0 | -0.03 | 0.08 | 16.06 | -0.00 |
| $1125 | $0.03M | $0.00M | $0.00M | $-0 | -0.01 | 0.33 | 3.92 | 0.00 |
| $1150 | $0.01M | $-0.00M | $0.00M | $-5 | -0.83 | 1.77 | 350.99 | -0.00 |
| $1175 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1200 | $-0.18M | $-0.01M | $0.00M | $-56 | -0.79 | 3.01 | 291.04 | 0.00 |
| $1225 | $-0.00M | $-0.00M | $0.00M | $-0 | -0.00 | 0.00 | 0.09 | -0.00 |
| $1250 | $0.02M | $0.00M | $0.00M | $-0 | -0.04 | 0.43 | 9.05 | 0.00 |
| $1275 | $0.09M | $0.00M | $0.00M | $-1 | -0.09 | 1.86 | 18.04 | 0.00 |
| $1300 | $-0.10M | $-0.01M | $0.00M | $-7 | -0.58 | 2.12 | 158.10 | -0.01 |
| $1350 | $-0.01M | $-0.00M | $0.00M | $-2 | -0.14 | 2.10 | 22.10 | -0.00 |
| $1400 | $-0.53M | $-0.02M | $0.00M | $-16 | -0.73 | 4.94 | 104.37 | -0.04 |
| $1450 | $0.55M | $0.01M | $0.00M | $-11 | -0.32 | 2.06 | 30.50 | -0.04 |
| $1500 | $0.79M | $0.03M | $0.00M | $-24 | -0.14 | 4.05 | -1.56 | -0.20 |
| $1525 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1550 | $0.07M | $0.00M | $0.00M | $-2 | 0.06 | -0.35 | -0.92 | -0.01 |
| $1575 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1600 | $-0.11M | $0.01M | $0.00M | $-22 | 1.31 | -11.98 | 5.57 | -0.13 |
| $1625 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1650 | $0.07M | $0.00M | $0.00M | $-1 | 0.13 | -0.45 | 5.41 | -0.00 |
| $1675 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1700 | $0.40M | $0.02M | $0.00M | $-12 | 1.22 | -12.46 | 98.05 | -0.03 |
| $1725 | $0.00M | $0.00M | $0.00M | $-0 | 0.00 | -0.01 | 0.16 | -0.00 |
| $1750 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1800 | $0.43M | $0.01M | $0.00M | $-9 | 1.45 | -6.92 | 183.97 | -0.00 |
| $1850 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $1900 | $0.05M | $0.00M | $0.00M | $-2 | 0.34 | -2.38 | 73.77 | 0.00 |
| $1950 | $0.00M | $0.00M | $0.00M | $0 | 0.00 | 0.00 | 0.00 | 0.00 |
| $2000 | $0.15M | $0.00M | $0.00M | $-3 | 0.75 | -1.96 | 175.68 | -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 | -0.18 | 2.48 | 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