Tapeab

COST

Gamma exposure levels

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Expected Move

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

NearestJun 12
±$13.12 (±1.3%)
966.04 — 992.28
MonthlyJun 18
±$26.62 (±2.7%)
952.54 — 1,005.78
QuarterlySep 18
±$94.88 (±9.7%)
884.28 — 1,074.04
Spot
979.2
Call Wall
1,000
Put Wall
975
Zero Gamma
972.5
Net GEX ($M)
1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 992.3
Near EM 966
1M EM 1,005.8
1M EM 952.5
3M EM 1,074
3M EM 884.3
Spot 979.2
1,125
1,120
1,110
1,100
1,090
1,080
1,070
1,060
1,050
0
1,040
1,030
0.1
1,020
0.2
1,015
0
0.2
1,010
0.1
0.2
1,005
0
0.3
1,000
0.1
0.8
Call Wall
995
0.2
0.5
985
0.2
0.6
975
0.5
0.7
Put Wall
970
0.3
0.3
965
0.3
0.1
960
0.4
0.1
955
0.2
0
950
0.2
945
0.4
935
0
925
0.1
915
905
895
885
875
865
855
845
835