Tapeab

DG

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
±$3.29 (±2.9%)
109.24 — 115.82
MonthlyJun 18
±$5.09 (±4.5%)
107.44 — 117.62
QuarterlySep 18
±$20.28 (±18.0%)
92.25 — 132.81
Spot
112.5
Call Wall
115
Put Wall
107
Zero Gamma
104.5
Net GEX ($M)
2.8

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 115.8
Near EM 109.2
1M EM 117.6
1M EM 107.4
Spot 112.5
129
128
127
126
125
124
123
122
121
120
119
118
0
117
116
0
115
0.9
Call Wall
114
0
113
0.1
112
0.5
111
0.4
110
0
0.5
109
0.1
0.1
108
0.3
107
0.1
0.1
Put Wall
106
0
105
0.1
104
103
102
101
100
99
98
97
96