Tapeab

DVA

Gamma exposure levels

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Expected Move

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

NearestJun 18
±$9.30 (±4.7%)
189.24 — 207.84
MonthlyJun 18
±$9.30 (±4.7%)
189.24 — 207.84
QuarterlyOct 16
±$38.80 (±19.5%)
159.74 — 237.34
Spot
198.5
Call Wall
200
Put Wall
195
Zero Gamma
197.5
Net GEX ($M)
2.3

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 207.8
Near EM 189.2
1M EM 207.8
1M EM 189.2
Spot 198.5
220
210
1.1
200
1.7
Call Wall
195
0.3
Put Wall
190
0.1
0.1
185
0.2
180
175
170