Tapeab

ED

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
±$3.33 (±3.1%)
104.27 — 110.93
MonthlyJun 18
±$3.33 (±3.1%)
104.27 — 110.93
QuarterlyAug 21
±$8.55 (±8.0%)
99.05 — 116.15
Spot
107.6
Call Wall
110
Put Wall
105
Zero Gamma
102.5
Net GEX ($M)
2.3

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 110.9
Near EM 104.3
1M EM 110.9
1M EM 104.3
3M EM 116.1
3M EM 99.1
Spot 107.6
120
115
110
0.1
2.2
Call Wall
105
0.2
0.6
Put Wall
100
0.2
97.5
95