Tapeab

ADP

Gamma exposure levels

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Expected Move

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

NearestJun 12
±$6.18 (±2.7%)
225.04 — 237.40
MonthlyJun 18
±$7.85 (±3.4%)
223.37 — 239.07
QuarterlySep 18
±$29.95 (±13.0%)
201.27 — 261.17
Spot
231.2
Call Wall
235
Put Wall
227.5
Zero Gamma
228.8
Net GEX ($M)
1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 237.4
Near EM 225
1M EM 239.1
1M EM 223.4
3M EM 261.2
3M EM 201.3
Spot 231.2
265
260
255
252.5
250
247.5
245
242.5
240
0.7
237.5
235
0.9
Call Wall
232.5
0.1
230
0.1
0.3
227.5
0.5
0.1
Put Wall
225
0.1
222.5
220
217.5
215
0.3
212.5
210
207.5
205
202.5
200