Tapeab

F

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$0.35 (±2.5%)
13.96 — 14.66
MonthlyJun 18
±$0.73 (±5.1%)
13.58 — 15.04
QuarterlySep 18
±$2.58 (±18.1%)
11.73 — 16.89
Spot
14.3
Call Wall
15
Put Wall
14.5
Zero Gamma
14.8
Net GEX ($M)
8.4

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 14.7
Near EM 14
1M EM 15
1M EM 13.6
Spot 14.3
16
1
15.5
2.2
15
1.6
13
Call Wall
14.5
7.6
3.4
Put Wall
14
3.3
2.6
13.5
0.9
13
12.5
0.6