Tapeab

CF

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$3.80 (±3.4%)
107.68 — 115.28
MonthlyJun 18
±$6.85 (±6.1%)
104.63 — 118.33
QuarterlySep 18
±$21.80 (±19.6%)
89.68 — 133.28
Spot
111.5
Call Wall
115
Put Wall
112
Zero Gamma
111.5
Net GEX ($M)
-0.6

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 115.3
Near EM 107.7
1M EM 118.3
1M EM 104.6
Spot 111.5
128
127
126
125
124
123
0.1
0
122
0
121
120
0
119
118
117
0.1
0
116
0.1
115
0
0.2
Call Wall
114
0.3
0.1
113
0
112
0.3
0.1
Put Wall
111
0
0
110
0.1
0.1
109
0.1
0
108
0.1
0.1
107
0.1
106
0.3
105
0.1
104
103
102
101
100
99
98
97
95