Tapeab

LII

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
±$28.35 (±5.6%)
476.45 — 533.15
MonthlyJun 18
±$28.35 (±5.6%)
476.45 — 533.15
QuarterlySep 18
±$83.85 (±16.6%)
420.95 — 588.65
Spot
504.8
Call Wall
550
Put Wall
480
Zero Gamma
495
Net GEX ($M)
0

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 533.2
Near EM 476.5
1M EM 533.2
1M EM 476.5
Spot 504.8
580
0
570
0
560
0
550
0
Call Wall
540
0
0
530
0
0
520
0
0
510
0
0
500
0
0
490
0
0
480
0
0
Put Wall
470
0
0
460
0
450
0
440
430