Tapeab

DECK

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$3.23 (±2.9%)
107.95 — 114.41
MonthlyJun 18
±$5.47 (±4.9%)
105.71 — 116.65
QuarterlySep 18
±$20.50 (±18.4%)
90.68 — 131.68
Spot
111.2
Call Wall
112
Put Wall
112
Zero Gamma
111.5
Net GEX ($M)
0.5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 114.4
Near EM 108
1M EM 116.7
1M EM 105.7
Spot 111.2
127
126
125
124
123
122
121
120
0
119
118
0.1
117
0.1
116
0
0
115
0
0.1
114
0
0.1
113
0
0
112
0.1
0.3
Call WallPut Wall
111
0.1
0
110
0.1
0
109
0.1
0.1
108
0
107
106
0
0
105
0
0
104
0
103
0
102
0
101
0
100
0
99
98
97
96
95