Tapeab

CRL

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
±$12.30 (±6.6%)
173.99 — 198.59
MonthlyJun 18
±$12.30 (±6.6%)
173.99 — 198.59
QuarterlyAug 21
±$36.95 (±19.8%)
149.34 — 223.24
Spot
186.3
Call Wall
200
Put Wall
175
Zero Gamma
177.5
Net GEX ($M)
0.9

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 198.6
Near EM 174
1M EM 198.6
1M EM 174
Spot 186.3
210
200
0.3
Call Wall
195
0.2
190
0.2
185
0.1
180
0.1
0.2
175
0.1
0
Put Wall
170
0
0.1
165
160