Tapeab

CPT

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
±$3.10 (±2.7%)
112.21 — 118.41
MonthlyJun 18
±$3.10 (±2.7%)
112.21 — 118.41
QuarterlyAug 21
±$9.80 (±8.5%)
105.51 — 125.11
Spot
115.3
Call Wall
115
Put Wall
100
Zero Gamma
127.5
Net GEX ($M)
1.8

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 118.4
Near EM 112.2
1M EM 118.4
1M EM 112.2
3M EM 125.1
3M EM 105.5
Spot 115.3
130
125
120
0.3
115
1.2
Call Wall
110
0.2
105
100
Put Wall