Tapeab

BNY

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
±$5.80 (±4.2%)
133.95 — 145.55
MonthlyJun 18
±$5.80 (±4.2%)
133.95 — 145.55
QuarterlySep 18
±$18.20 (±13.0%)
121.55 — 157.95
Spot
139.8
Call Wall
150
Put Wall
125
Zero Gamma
137.5
Net GEX ($M)
-0

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 145.6
Near EM 134
1M EM 145.6
1M EM 134
3M EM 158
3M EM 121.6
Spot 139.8
160
155
0.1
150
2.2
Call Wall
145
0.7
140
1.5
0.9
135
0.5
0.6
130
1
0.4
125
2
Put Wall
120
0.2