Tapeab

EXC

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
±$1.50 (±3.3%)
44.45 — 47.45
MonthlyJun 18
±$1.50 (±3.3%)
44.45 — 47.45
QuarterlySep 18
±$4.38 (±9.5%)
41.57 — 50.33
Spot
46
Call Wall
46
Put Wall
45
Zero Gamma
45.5
Net GEX ($M)
6.8

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 47.5
Near EM 44.5
1M EM 47.5
1M EM 44.5
3M EM 41.6
Spot 46
50
1.8
49
48
0.2
47
0.7
3.4
46
0.2
3.6
Call Wall
45
3
2.3
Put Wall
44
0.2
43
42
0.2
41
40
0.2