Tapeab

CMS

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
±$2.80 (±3.8%)
70.66 — 76.26
MonthlyJun 18
±$2.80 (±3.8%)
70.66 — 76.26
QuarterlySep 18
±$6.38 (±8.7%)
67.08 — 79.84
Spot
73.5
Call Wall
75
Put Wall
75
Zero Gamma
72.5
Net GEX ($M)
0.4

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 76.3
Near EM 70.7
1M EM 76.3
1M EM 70.7
3M EM 79.8
3M EM 67.1
Spot 73.5
80
0.1
75
0.1
0.4
Call WallPut Wall
70
0
0
65