Tapeab

ALL

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
±$7.53 (±3.4%)
213.59 — 228.65
MonthlyJun 18
±$7.53 (±3.4%)
213.59 — 228.65
QuarterlySep 18
±$26.00 (±11.8%)
195.12 — 247.12
Spot
221.1
Call Wall
220
Put Wall
210
Zero Gamma
215
Net GEX ($M)
-0.1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 228.7
Near EM 213.6
1M EM 228.7
1M EM 213.6
3M EM 247.1
3M EM 195.1
Spot 221.1
250
0.2
240
0.2
230
0.5
220
0.6
0.9
Call Wall
210
1.2
0.2
Put Wall
200
0.1
195
190