Tapeab

AON

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
±$12.30 (±3.7%)
324.03 — 348.63
MonthlyJun 18
±$12.30 (±3.7%)
324.03 — 348.63
QuarterlyAug 21
±$36.60 (±10.9%)
299.73 — 372.93
Spot
336.3
Call Wall
330
Put Wall
330
Zero Gamma
325
Net GEX ($M)
0.4

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 348.6
Near EM 324
1M EM 348.6
1M EM 324
3M EM 372.9
3M EM 299.7
Spot 336.3
380
370
0
360
0
350
0.1
340
0.1
330
0
0.2
Call WallPut Wall
320
0
0
310
0
300
290