SABR Risk Protection Statistics & Wing Volume

Risk Protection Premiums·Downside Put Volume·Upside Call Volume

Change Single-Leg Trading Volume:

Call Volume

OTM Calls (< 25 Delta)

ATM Calls (25 to 75 Delta)

ITM Calls (> 75 Delta)

Upside Calls (5% - 10% Above ATM)

Wing Calls (10% + Above ATM)

Put Volume

OTM Puts (< 25 Delta)

ATM Puts (25 to 75 Delta)

ITM Puts (> 75 Delta)

Downside Puts (5% - 10% Below ATM)

Correction Puts (10% - 20% Below ATM)

Crash Puts (20% + Below ATM)

Calls, 5 Days or Less to Exp

OTM Calls (< 25 Delta)

ATM Calls (25 to 75 Delta)

ITM Calls (> 75 Delta)

Upside Calls (5% - 10% Above ATM)

Wing Calls (10% + Above ATM)

Puts, 5 Days or Less to Exp

OTM Puts (< 25 Delta)

ATM Puts (25 to 75 Delta)

ITM Puts (> 75 Delta)

Downside Puts (5% - 10% Below ATM)

Correction Puts (10% - 20% Below ATM)

Crash Puts (20% + Below ATM)

Calls, 10+ Days to Exp

OTM Calls (< 25 Delta)

ATM Calls (25 to 75 Delta)

ITM Calls (> 75 Delta)

Upside Calls (5% - 10% Above ATM)

Wing Calls (10% + Above ATM)

Puts, 10+ Days to Exp

OTM Puts (< 25 Delta)

ATM Puts (25 to 75 Delta)

ITM Puts (> 75 Delta)

Downside Puts (5% - 10% Below ATM)

Correction Puts (10% - 20% Below ATM)

Crash Puts (20% + Below ATM)

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