Tapeab

DIS

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$1.44 (±1.5%)
97.17 — 100.05
MonthlyJun 18
±$3.04 (±3.1%)
95.57 — 101.65
QuarterlySep 18
±$12.20 (±12.4%)
86.41 — 110.81
Spot
98.6
Call Wall
100
Put Wall
99
Zero Gamma
99.5
Net GEX ($M)
-2.9

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 100.1
Near EM 97.2
1M EM 101.7
1M EM 95.6
3M EM 110.8
3M EM 86.4
Spot 98.6
113
112
111
110
109
108
107
106
105
104
103
0.3
102
0.4
0.5
101
0.6
1.6
100
0.8
3.1
Call Wall
99
3.8
1.3
Put Wall
98
1.9
0.9
97
1.5
96
1.1
95
0.4
94
0.3
93
0.2
92
91
90
89
88
87
85