Tapeab

MCD

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
±$3.19 (±1.1%)
279.84 — 286.22
MonthlyJun 18
±$7.11 (±2.5%)
275.92 — 290.14
QuarterlySep 18
±$27.25 (±9.6%)
255.78 — 310.28
Spot
283
Call Wall
285
Put Wall
280
Zero Gamma
281.3
Net GEX ($M)
5.9

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 286.2
Near EM 279.8
1M EM 290.1
1M EM 275.9
3M EM 310.3
3M EM 255.8
Spot 283
325
320
315
310
307.5
305
302.5
300
297.5
295
0.2
292.5
0.2
290
0.2
1.7
287.5
0.8
285
0.6
2.6
Call Wall
282.5
0.5
2.3
280
1.7
1.3
Put Wall
277.5
0.6
0.7
275
0.3
0.3
272.5
0.1
0.2
270
0.3
267.5
265
262.5
260
257.5
255
252.5
250
247.5
245