Tapeab

DE

Gamma exposure levels

Back to GEX

Expected Move

ATM-straddle implied move from delayed quotes — a market-implied range, not a forecast.

NearestJun 12
±$13.75 (±2.5%)
545.19 — 572.69
MonthlyJun 18
±$22.35 (±4.0%)
536.59 — 581.29
QuarterlySep 18
±$79.15 (±14.2%)
479.79 — 638.09
Spot
558.9
Call Wall
587.5
Put Wall
572.5
Zero Gamma
585
Net GEX ($M)
-0.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 572.7
Near EM 545.2
1M EM 581.3
1M EM 536.6
3M EM 638.1
3M EM 479.8
Spot 558.9
642.5
637.5
632.5
627.5
622.5
617.5
612.5
607.5
602.5
597.5
0
0
592.5
0
0
587.5
0
0
Call Wall
582.5
0
0
577.5
0
0
572.5
0
0
Put Wall
567.5
0
0
562.5
0
557.5
0
0
552.5
0
0
547.5
0
542.5
0
0
537.5
0
532.5
0
527.5
0
522.5
517.5
512.5
507.5
502.5
497.5
492.5
487.5
482.5
477.5