Tapeab

C

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
±$2.80 (±2.1%)
132.15 — 137.75
MonthlyJun 18
±$5.78 (±4.3%)
129.17 — 140.73
QuarterlySep 18
±$19.22 (±14.3%)
115.73 — 154.17
Spot
135
Call Wall
134
Put Wall
130
Zero Gamma
132.5
Net GEX ($M)
7.8

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 137.8
Near EM 132.1
1M EM 140.7
1M EM 129.2
3M EM 154.2
3M EM 115.7
Spot 135
155
150
147
146
145
144
143
142
0.8
141
0.6
140
0.4
139
1.3
138
1.3
137
0.5
1.4
136
2.8
135
0.6
3.7
134
0.7
4.9
Call Wall
133
0.9
2.1
132
1.4
1.2
131
0.6
0.4
130
8.1
0.3
Put Wall
129
0.4
128
127
126
125
124
123
122
121
120
119
118
117
116
115