Tapeab

AIG

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$1.68 (±2.2%)
73.26 — 76.62
MonthlyJun 18
±$2.27 (±3.0%)
72.67 — 77.21
QuarterlySep 18
±$9.60 (±12.8%)
65.34 — 84.54
Spot
74.9
Call Wall
75
Put Wall
74
Zero Gamma
74.5
Net GEX ($M)
-0.7

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 76.6
Near EM 73.3
1M EM 77.2
1M EM 72.7
3M EM 84.5
3M EM 65.3
Spot 74.9
86
85
84
83
82
81
80
79
78
77
0.1
76
0.2
75
0.1
0.7
Call Wall
74
0.9
Put Wall
73
0.1
72
0
71
70
69
68
67
66
65
64