Tapeab

FIS

Gamma exposure levels

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Expected Move

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

NearestJun 12
±$1.52 (±4.0%)
36.87 — 39.91
MonthlyJun 18
±$1.85 (±4.8%)
36.54 — 40.24
QuarterlySep 18
±$6.85 (±17.8%)
31.54 — 45.24
Spot
38.4
Call Wall
40
Put Wall
38
Zero Gamma
38.5
Net GEX ($M)
-0

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 39.9
Near EM 36.9
1M EM 40.2
1M EM 36.5
Spot 38.4
44
43
0
42
41
0
0.1
40
0
0.1
Call Wall
39
0.1
0.1
38
0.1
Put Wall
37
0
36
0
35
34
33