Tapeab

CAT

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$20.35 (±2.3%)
859.61 — 900.31
MonthlyJun 18
±$45.20 (±5.1%)
834.76 — 925.16
QuarterlySep 18
±$166.00 (±18.9%)
713.96 — 1,045.96
Spot
880
Call Wall
920
Put Wall
885
Zero Gamma
890
Net GEX ($M)
-0.5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 900.3
Near EM 859.6
1M EM 925.2
1M EM 834.8
Spot 880
1,010
1,000
990
980
970
960
950
0
940
0
935
930
0.2
925
0
920
0.3
0.6
Call Wall
915
0.3
0.1
910
0
0.1
905
0.1
0.5
900
0.3
0.4
895
0.2
0.3
885
0.6
0.2
Put Wall
880
0.2
0.1
875
0.3
0.1
870
0.3
0.2
865
0.5
0.1
860
0.2
0.1
850
0.2
840
0.1
830
0.1
820
810
800
790
780
770
760
750