Tapeab

ITW

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
±$8.73 (±3.5%)
241.44 — 258.90
MonthlyJun 18
±$8.73 (±3.5%)
241.44 — 258.90
QuarterlySep 18
±$24.90 (±10.0%)
225.27 — 275.07
Spot
250.2
Call Wall
260
Put Wall
250
Zero Gamma
255
Net GEX ($M)
0.4

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 258.9
Near EM 241.4
1M EM 258.9
1M EM 241.4
3M EM 275.1
3M EM 225.3
Spot 250.2
280
0.1
270
0
0.1
260
0.1
0.8
Call Wall
250
0.4
0.4
Put Wall
240
0.2
230
0.2
220