Tapeab

IP

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
±$0.93 (±2.9%)
31.46 — 33.32
MonthlyJun 18
±$1.85 (±5.7%)
30.54 — 34.24
QuarterlySep 18
±$6.45 (±19.9%)
25.94 — 38.84
Spot
32.4
Call Wall
32
Put Wall
32
Zero Gamma
31.5
Net GEX ($M)
0.5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 33.3
Near EM 31.5
1M EM 34.2
1M EM 30.5
Spot 32.4
37
36
35
0.1
34
0.2
33
0.1
0.2
32
0.2
0.3
Call WallPut Wall
31
0.1
30
29
28