Tapeab

INCY

Gamma exposure levels

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Expected Move

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

NearestJun 18
±$7.12 (±6.7%)
99.88 — 114.12
MonthlyJun 18
±$7.12 (±6.7%)
99.88 — 114.12
QuarterlySep 18
±$15.45 (±14.4%)
91.55 — 122.45
Spot
107
Call Wall
110
Put Wall
100
Zero Gamma
102.5
Net GEX ($M)
1.1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 114.1
Near EM 99.9
1M EM 114.1
1M EM 99.9
Spot 107
120
0.1
115
0.3
110
0.8
Call Wall
105
0.3
100
0.4
0.3
Put Wall
97.5
95
0.1
0
92.5