Tapeab

APD

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
±$10.95 (±3.9%)
269.18 — 291.08
MonthlyJun 18
±$10.95 (±3.9%)
269.18 — 291.08
QuarterlySep 18
±$33.05 (±11.8%)
247.08 — 313.18
Spot
280.1
Call Wall
290
Put Wall
280
Zero Gamma
285
Net GEX ($M)
0.5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 291.1
Near EM 269.2
1M EM 291.1
1M EM 269.2
3M EM 313.2
3M EM 247.1
Spot 280.1
320
0.1
310
0.3
300
0.1
0.2
290
0.3
0.6
Call Wall
280
0.5
0.4
Put Wall
270
0.2
0.1
260
0
250
240
0