Tapeab

AFL

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$1.65 (±1.4%)
115.46 — 118.76
MonthlyJun 18
±$2.92 (±2.5%)
114.19 — 120.03
QuarterlySep 18
±$10.65 (±9.1%)
106.46 — 127.76
Spot
117.1
Call Wall
117
Put Wall
116
Zero Gamma
116.5
Net GEX ($M)
0.7

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 118.8
Near EM 115.5
1M EM 120
1M EM 114.2
3M EM 127.8
3M EM 106.5
Spot 117.1
131
130
129
128
127
126
125
124
123
122
121
0.1
120
0
119
0.2
118
0.1
0.3
117
0.1
0.3
Call Wall
116
0.1
0.1
Put Wall
115
114
113
0
0.1
112
111
110
109
108
107
106
105
104
103
102
101
100