Tapeab

CME

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$5.53 (±2.1%)
259.10 — 270.16
MonthlyJun 18
±$9.80 (±3.7%)
254.83 — 274.43
QuarterlySep 18
±$31.85 (±12.0%)
232.78 — 296.48
Spot
264.6
Call Wall
265
Put Wall
262.5
Zero Gamma
263.8
Net GEX ($M)
0.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 270.2
Near EM 259.1
1M EM 274.4
1M EM 254.8
3M EM 296.5
3M EM 232.8
Spot 264.6
302.5
300
297.5
295
292.5
290
0
287.5
0
285
282.5
280
0
277.5
275
272.5
0
270
0.2
267.5
0.1
265
0
0.3
Call Wall
262.5
0.4
0.1
Put Wall
260
0
0.1
257.5
0
0.1
255
0.1
0
252.5
0.1
250
0
247.5
0.1
245
0
242.5
0
240
237.5
235
232.5
230
227.5
225