Tapeab

L

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
±$3.92 (±3.6%)
104.13 — 111.97
MonthlyJun 18
±$3.92 (±3.6%)
104.13 — 111.97
QuarterlySep 18
±$10.45 (±9.7%)
97.60 — 118.50
Spot
108.1
Call Wall
115
Put Wall
105
Zero Gamma
107.5
Net GEX ($M)
0.9

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 112
Near EM 104.1
1M EM 112
1M EM 104.1
3M EM 118.5
3M EM 97.6
Spot 108.1
120
115
0.7
Call Wall
110
0.2
105
0
0
Put Wall
100
95