Tapeab

IBKR

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
±$2.08 (±2.4%)
83.78 — 87.94
MonthlyJun 18
±$4.45 (±5.2%)
81.41 — 90.31
QuarterlySep 18
±$16.10 (±18.8%)
69.76 — 101.96
Spot
85.9
Call Wall
86
Put Wall
87
Zero Gamma
86.5
Net GEX ($M)
0

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 87.9
Near EM 83.8
1M EM 90.3
1M EM 81.4
Spot 85.9
98
97
96
95
94
93
0
92
91
0.1
90
0.1
89
0.1
88
0
0.1
87
0.4
0.2
Put Wall
86
0.1
0.2
Call Wall
85
0.2
0.2
84
0.1
0.2
83
0.3
82
0.1
81
0
80
0.1
79
78
77
76
75
74
73