Tapeab

ACGL

Gamma exposure levels

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Expected Move

ATM-straddle implied move from delayed quotes — a market-implied range, not a forecast.

NearestJun 18
±$3.20 (±3.5%)
88.11 — 94.51
MonthlyJun 18
±$3.20 (±3.5%)
88.11 — 94.51
QuarterlySep 18
±$9.75 (±10.7%)
81.56 — 101.06
Spot
91.3
Call Wall
95
Put Wall
95
Zero Gamma
92.5
Net GEX ($M)
0

Gamma exposure by strike ($M, per 1% move)

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 94.5
Near EM 88.1
1M EM 94.5
1M EM 88.1
3M EM 101.1
3M EM 81.6
Spot 91.3
105
0.1
100
0.1
95
0.2
0.3
Call WallPut Wall
90
0.2
0
85
0.1
80