Tapeab

CBRE

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
±$6.60 (±4.9%)
127.46 — 140.66
MonthlyJun 18
±$6.60 (±4.9%)
127.46 — 140.66
QuarterlySep 18
±$21.75 (±16.2%)
112.31 — 155.81
Spot
134.1
Call Wall
135
Put Wall
140
Zero Gamma
132.5
Net GEX ($M)
0.8

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 140.7
Near EM 127.5
1M EM 140.7
1M EM 127.5
Spot 134.1
150
0.1
145
0.1
140
0.2
0.2
Put Wall
135
0.1
0.9
Call Wall
130
0.1
0.1
125
0.2
120
115
0.1