Tapeab

CBOE

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$8.47 (±2.8%)
291.83 — 308.77
MonthlyJun 18
±$14.30 (±4.8%)
286.00 — 314.60
QuarterlySep 18
±$44.75 (±14.9%)
255.55 — 345.05
Spot
300.3
Call Wall
300
Put Wall
285
Zero Gamma
286.3
Net GEX ($M)
0.6

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 308.8
Near EM 291.8
1M EM 314.6
1M EM 286
Spot 300.3
345
342.5
340
337.5
335
330
325
320
315
0
310
0
305
0
300
0
0.2
Call Wall
297.5
0
295
0
0
292.5
0
290
0
0.2
287.5
0.1
285
0.1
0.1
Put Wall
282.5
280
0.1
0.1
277.5
275
272.5
0
270
267.5
265
262.5
260
257.5