Tapeab

KKR

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
±$3.27 (±3.5%)
91.75 — 98.29
MonthlyJun 18
±$5.50 (±5.8%)
89.52 — 100.52
QuarterlySep 18
±$17.50 (±18.4%)
77.52 — 112.52
Spot
95
Call Wall
97
Put Wall
93
Zero Gamma
93.5
Net GEX ($M)
-0.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 98.3
Near EM 91.8
1M EM 100.5
1M EM 89.5
Spot 95
109
108
107
106
105
104
103
102
101
0.1
100
0.1
99
0
98
0.1
97
0.1
0.3
Call Wall
96
0
95
0.2
0.2
94
0
0
93
0.5
0.2
Put Wall
92
0.1
0
91
0
90
0.4
89
88
87
86
85
84
83
82
81