Tapeab

FE

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 18
±$1.40 (±3.0%)
45.52 — 48.32
MonthlyJun 18
±$1.40 (±3.0%)
45.52 — 48.32
QuarterlySep 18
±$4.88 (±10.4%)
42.04 — 51.80
Spot
46.9
Call Wall
47
Put Wall
47
Zero Gamma
45.5
Net GEX ($M)
5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 48.3
Near EM 45.5
1M EM 48.3
1M EM 45.5
3M EM 42
Spot 46.9
50
0.4
49
48
47
0.9
3.6
Call WallPut Wall
46
45
0.8
2.7
44
43
42
40