Tapeab

CFG

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 18
±$2.62 (±4.0%)
62.87 — 68.11
MonthlyJun 18
±$2.62 (±4.0%)
62.87 — 68.11
QuarterlyOct 16
±$9.70 (±14.8%)
55.79 — 75.19
Spot
65.5
Call Wall
65
Put Wall
65
Zero Gamma
61.3
Net GEX ($M)
1.5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 68.1
Near EM 62.9
1M EM 68.1
1M EM 62.9
Spot 65.5
75
72.5
70
0.1
67.5
0.7
65
0.5
1.2
Call WallPut Wall
62.5
0.1
0.3
60
0.1
57.5