Tapeab

ICE

Gamma exposure levels

Back to GEX

Expected Move

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

NearestJun 12
±$3.03 (±2.2%)
136.23 — 142.29
MonthlyJun 18
±$5.00 (±3.6%)
134.26 — 144.26
QuarterlySep 18
±$17.55 (±12.6%)
121.71 — 156.81
Spot
139.3
Call Wall
142
Put Wall
137
Zero Gamma
141.5
Net GEX ($M)
-0

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 142.3
Near EM 136.2
1M EM 144.3
1M EM 134.3
3M EM 156.8
3M EM 121.7
Spot 139.3
160
157.5
155
152.5
150
149
148
147
146
145
144
143
0
142
0
0.9
Call Wall
141
140
139
0.1
138
137
0.7
Put Wall
136
0.1
135
0.1
0.1
134
133
0.3
132
131
130
129
128
127
126
125
120