ACGL· Arch Capital Group
Gamma exposure · dealer positioning
Expected Move
ATM-straddle implied move from delayed quotes — a market-implied range, not a forecast.
NearestAug 21
±$5.17 (±5.0%)
98.19 — 108.53
MonthlyAug 21
±$5.17 (±5.0%)
98.19 — 108.53
QuarterlyNov 20
±$12.30 (±11.9%)
91.06 — 115.66
Spot
103.4
Call Wall
105
Put Wall
90
Zero Gamma
92.5
Net GEX ($M)
0.3
Gamma exposure by strike ($M, per 1% move)
Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 108.5
Near EM 98.2
1M EM 108.5
1M EM 98.2
3M EM 91.1
Spot 103.4
115
110
0
105
0.2
Call Wall
100
0
0.1
95
0
0
90
0
Put Wall