Tapeab

CAG

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
±$0.30 (±2.2%)
13.08 — 13.68
MonthlyJun 18
±$0.60 (±4.5%)
12.78 — 13.98
QuarterlySep 18
±$2.20 (±16.4%)
11.18 — 15.58
Spot
13.4
Call Wall
13.5
Put Wall
13
Zero Gamma
12.8
Net GEX ($M)
3.5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 13.7
Near EM 13.1
1M EM 14
1M EM 12.8
Spot 13.4
15
14.5
0.3
14
0.7
13.5
0.6
3.4
Call Wall
13
0.6
0.7
Put Wall
12.5
0.3
12
11.5