Tapeab

MCO

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
±$17.55 (±3.9%)
433.14 — 468.24
MonthlyJun 18
±$17.55 (±3.9%)
433.14 — 468.24
QuarterlyAug 21
±$51.10 (±11.3%)
399.59 — 501.79
Spot
450.7
Call Wall
450
Put Wall
420
Zero Gamma
445
Net GEX ($M)
1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 468.2
Near EM 433.1
1M EM 468.2
1M EM 433.1
3M EM 501.8
3M EM 399.6
Spot 450.7
510
500
490
480
0.1
470
0
0.5
460
0.1
0.3
450
0
0.7
Call Wall
440
430
0.1
420
0.1
Put Wall
410
0.1
400
390