Tapeab

CPB

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
±$0.52 (±2.3%)
22.60 — 23.64
MonthlyJun 18
±$1.02 (±4.4%)
22.10 — 24.14
QuarterlySep 18
±$3.80 (±16.4%)
19.32 — 26.92
Spot
23.1
Call Wall
23
Put Wall
22
Zero Gamma
21.3
Net GEX ($M)
4.9

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 23.6
Near EM 22.6
1M EM 24.1
1M EM 22.1
Spot 23.1
26.5
26
25.5
25
24.5
24
0.1
23.5
0.4
23
0.2
2.5
Call Wall
22.5
1.5
22
0.2
0.8
Put Wall
21.5
0.2
0.2
21
20.5
20