Tapeab

CVS

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
±$1.62 (±1.6%)
97.47 — 100.71
MonthlyJun 18
±$3.50 (±3.5%)
95.59 — 102.59
QuarterlySep 18
±$14.00 (±14.1%)
85.09 — 113.09
Spot
99.1
Call Wall
98
Put Wall
97
Zero Gamma
97.5
Net GEX ($M)
10.4

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 100.7
Near EM 97.5
1M EM 102.6
1M EM 95.6
3M EM 85.1
Spot 99.1
110
109
108
107
106
105
104
103
102
101
100
2.5
99
1.2
98
6.5
Call Wall
97
1.6
0.9
Put Wall
96
0.4
95
0.4
94
93
92
91
90
89
88
87
86
85