Tapeab

DAL

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
±$2.05 (±2.7%)
75.28 — 79.38
MonthlyJun 18
±$4.17 (±5.4%)
73.16 — 81.50
QuarterlySep 18
±$14.70 (±19.0%)
62.63 — 92.03
Spot
77.3
Call Wall
75
Put Wall
77
Zero Gamma
75.5
Net GEX ($M)
0.8

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 79.4
Near EM 75.3
1M EM 81.5
1M EM 73.2
Spot 77.3
88
87
86
85
84
0.4
83
0.1
82
0.1
1.5
81
0.1
0.3
80
0.6
0.4
79
0.7
0.3
78
0.7
0.3
77
0.8
0.3
Put Wall
76
0.7
0.3
75
0.5
1.6
Call Wall
74
0.5
73
0.2
72
0.1
71
70
69
68
67
66