Tapeab

ES

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
±$2.17 (±3.1%)
67.01 — 71.35
MonthlyJun 18
±$2.17 (±3.1%)
67.01 — 71.35
QuarterlyOct 16
±$8.30 (±12.0%)
60.88 — 77.48
Spot
69.2
Call Wall
70
Put Wall
65
Zero Gamma
62.5
Net GEX ($M)
2.5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 71.4
Near EM 67
1M EM 71.4
1M EM 67
3M EM 60.9
Spot 69.2
75
70
0.1
2.6
Call Wall
65
0.3
0.3
Put Wall
60