Tapeab

D

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
±$1.58 (±2.3%)
65.69 — 68.85
MonthlyJun 18
±$1.58 (±2.3%)
65.69 — 68.85
QuarterlySep 18
±$6.55 (±9.7%)
60.72 — 73.82
Spot
67.3
Call Wall
67.5
Put Wall
65
Zero Gamma
63.8
Net GEX ($M)
5.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 68.9
Near EM 65.7
1M EM 68.9
1M EM 65.7
3M EM 73.8
3M EM 60.7
Spot 67.3
75
72.5
70
2.7
67.5
0.3
3.5
Call Wall
65
1.4
1.9
Put Wall
62.5
0.8
60
0.4
57.5