Tapeab

IVZ

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
±$1.62 (±5.9%)
25.82 — 29.06
MonthlyJun 18
±$1.62 (±5.9%)
25.82 — 29.06
QuarterlySep 18
±$4.62 (±16.9%)
22.82 — 32.06
Spot
27.4
Call Wall
29
Put Wall
25
Zero Gamma
26.5
Net GEX ($M)
1.4

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 29.1
Near EM 25.8
1M EM 29.1
1M EM 25.8
Spot 27.4
31
30
0.6
29
0
0.7
Call Wall
28
0.3
27
0.1
0.2
26
25
0.2
Put Wall
24