{
  "schema": "options-convexity-market-sizing-v1",
  "analysis_date": "2026-09-07",
  "scope": "NVDA and MU ATM/OTM CALL open interest across every returned expiry",
  "option_source": "Retained full Schwab API CALL captures, captured September 5, 2026, with September 4 quotes",
  "filter": "putCall == CALL and strikePrice >= underlyingPrice; no liquidity or maturity screen",
  "multiplier_shares": 100,
  "formulas": {
    "premium_market_value_usd": "sum(openInterest * multiplier * (bid + ask) / 2)",
    "underlying_notional_usd": "sum(openInterest * multiplier * underlyingPrice)",
    "delta_adjusted_notional_usd": "sum(openInterest * multiplier * underlyingPrice * delta)",
    "perp_oi_usd": "Sum of available vendor-reported market OI in USD",
    "hyperliquid_oi_usd": "openInterest * markPx"
  },
  "rows": [
    {
      "symbol": "NVDA",
      "oi_contracts": 3689370,
      "stock_reference_usd": 230.36,
      "minimum_included_strike_usd": 232.5,
      "call_underlying_notional_usd": 84988327320.0,
      "call_strike_notional_usd": 107545745750.0,
      "call_premium_mid_usd": 3625984092.0,
      "call_premium_bid_usd": 3569252717.0,
      "call_premium_ask_usd": 3682715467.0,
      "call_delta_adjusted_notional_usd": 20593437587.528,
      "perp_reported_tracked_venue_oi_usd": 359265176.8998318,
      "perp_hyperliquid_oi_usd": 125977119.43968,
      "call_notional_to_reported_perp_oi": 236.56155058884528,
      "call_premium_to_reported_perp_oi": 10.09277916465301,
      "schwab_captured_at": "2026-09-05T20:46:04.029871+00:00",
      "schwab_option_quote_date": "2026-09-04",
      "perp_aggregate_retrieved_at": "2026-09-07T14:35:43.804081+00:00",
      "hyperliquid_retrieved_at": "2026-09-07T14:31:23.023984+00:00",
      "included_series": 657,
      "included_expirations": 21,
      "expiry_start": "2026-09-09",
      "expiry_end": "2028-12-15",
      "oi_valuation_coverage_pct": 100.0,
      "perp_markets_with_oi": 26,
      "perp_listed_markets": 33,
      "oi_weighted_mid_per_share_usd": 9.82819313866595,
      "oi_weighted_mid_as_pct_of_spot": 4.266449530589491,
      "premium_share_expiring_after_2026_pct": 84.65489300607776
    },
    {
      "symbol": "MU",
      "oi_contracts": 563602,
      "stock_reference_usd": 1016.59,
      "minimum_included_strike_usd": 1020.0,
      "call_underlying_notional_usd": 57295215718.0,
      "call_strike_notional_usd": 84317425000.0,
      "call_premium_mid_usd": 4419333769.5,
      "call_premium_bid_usd": 4249403311.0,
      "call_premium_ask_usd": 4589264228.0,
      "call_delta_adjusted_notional_usd": 15945341427.068,
      "perp_reported_tracked_venue_oi_usd": 428279336.47239196,
      "perp_hyperliquid_oi_usd": 131173364.2342,
      "call_notional_to_reported_perp_oi": 133.78001420737095,
      "call_premium_to_reported_perp_oi": 10.318811563267849,
      "schwab_captured_at": "2026-09-05T20:45:59.078238+00:00",
      "schwab_option_quote_date": "2026-09-04",
      "perp_aggregate_retrieved_at": "2026-09-07T14:35:45.289098+00:00",
      "hyperliquid_retrieved_at": "2026-09-07T14:31:23.023984+00:00",
      "included_series": 2342,
      "included_expirations": 20,
      "expiry_start": "2026-09-09",
      "expiry_end": "2028-12-15",
      "oi_valuation_coverage_pct": 100.0,
      "perp_markets_with_oi": 25,
      "perp_listed_markets": 30,
      "oi_weighted_mid_per_share_usd": 78.41231524196152,
      "oi_weighted_mid_as_pct_of_spot": 7.71326840141665,
      "premium_share_expiring_after_2026_pct": 82.70328828124508
    }
  ],
  "totals": {
    "call_underlying_notional_usd": 142283543038.0,
    "call_strike_notional_usd": 191863170750.0,
    "call_premium_mid_usd": 8045317861.5,
    "call_premium_bid_usd": 7818656028.0,
    "call_premium_ask_usd": 8271979695.0,
    "call_delta_adjusted_notional_usd": 36538779014.596,
    "perp_reported_tracked_venue_oi_usd": 787544513.3722237,
    "perp_hyperliquid_oi_usd": 257150483.67388,
    "oi_contracts": 4252972,
    "call_notional_to_reported_perp_oi": 180.66730276457574,
    "call_premium_to_reported_perp_oi": 10.215699207972863
  },
  "source_notes": [
    "Premium is the current midpoint valuation of outstanding long calls, including hedges and spreads; it is distinct from historical premiums paid and incremental buying.",
    "Call notional represents referenced underlying value; delta-adjusted notional describes local directional sensitivity.",
    "Options and perpetual observations have different timestamps. Open interest clearing-effective dates were not separately supplied.",
    "Perp coverage is incomplete and venue one-sided/two-sided OI counting conventions vary; aggregate ratios are indicative.",
    "An independent September 7 aggregate recheck against the retained authenticated captures reconciled stock reference prices, open interest, underlying notional and midpoint premium exactly. Weighted average premiums and maturity shares are descriptive diagnostics of the same unfiltered ATM/OTM selection."
  ],
  "sources": {
    "nvda_perps": "https://perpequities.com/stocks/nvda-perp",
    "mu_perps": "https://perpequities.com/stocks/mu-perp",
    "perp_methodology": "https://perpequities.com/methodology",
    "hyperliquid_api": "https://api.hyperliquid.xyz/info",
    "occ_2025_volume": "https://www.theocc.com/newsroom/views/2026/01-05-occ-annual-2025-and-december-2025-volume"
  }
}