Tapeab

CCI

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
±$3.75 (±4.0%)
89.63 — 97.13
MonthlyJun 18
±$3.75 (±4.0%)
89.63 — 97.13
QuarterlySep 18
±$11.75 (±12.6%)
81.63 — 105.13
Spot
93.4
Call Wall
92.5
Put Wall
85
Zero Gamma
86.3
Net GEX ($M)
5.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 97.1
Near EM 89.6
1M EM 97.1
1M EM 89.6
3M EM 81.6
Spot 93.4
105
100
0.4
97.5
0.4
95
1.5
92.5
2.4
Call Wall
90
0.1
0.6
87.5
0.3
85
0.1
0.1
Put Wall
82.5
80