Tapeab

HRL

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
±$0.68 (±2.8%)
23.69 — 25.05
MonthlyJun 18
±$0.75 (±3.1%)
23.62 — 25.12
QuarterlySep 18
±$2.90 (±11.9%)
21.47 — 27.27
Spot
24.4
Call Wall
24
Put Wall
24
Zero Gamma
23.3
Net GEX ($M)
1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 25.1
Near EM 23.7
1M EM 25.1
1M EM 23.6
3M EM 27.3
3M EM 21.5
Spot 24.4
28
27
26
25
0
24.5
0.6
24
0.3
0.7
Call WallPut Wall
23.5
0.1
0.1
23
0.1
0
22.5
22
21.5
21