Tapeab

AXP

Gamma exposure levels

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Expected Move

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

NearestJun 12
±$7.78 (±2.5%)
308.52 — 324.08
MonthlyJun 18
±$13.30 (±4.2%)
303.00 — 329.60
QuarterlySep 18
±$41.45 (±13.1%)
274.85 — 357.75
Spot
316.3
Call Wall
315
Put Wall
315
Zero Gamma
313.8
Net GEX ($M)
4.6

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 324.1
Near EM 308.5
1M EM 329.6
1M EM 303
3M EM 357.8
3M EM 274.9
Spot 316.3
360
355
352.5
350
347.5
345
342.5
340
337.5
335
332.5
330
0.2
327.5
325
0.2
322.5
0.2
320
0.5
317.5
0.2
315
0.6
2.6
Call WallPut Wall
312.5
0.2
0.1
310
0.2
2.1
307.5
0.1
305
0.2
302.5
0.1
300
0.2
297.5
295
292.5
290
287.5
285
282.5
280
277.5
275
272.5
270