Tapeab

ETR

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
±$3.40 (±3.1%)
107.08 — 113.88
MonthlyJun 18
±$3.40 (±3.1%)
107.08 — 113.88
QuarterlySep 18
±$12.00 (±10.9%)
98.48 — 122.48
Spot
110.5
Call Wall
110
Put Wall
110
Zero Gamma
107.5
Net GEX ($M)
2.6

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 113.9
Near EM 107.1
1M EM 113.9
1M EM 107.1
3M EM 122.5
3M EM 98.5
Spot 110.5
125
120
0.6
115
0.2
1.2
110
0.8
1.9
Call WallPut Wall
105
0.2
0.1
100
95