Tapeab

MO

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
±$1.10 (±1.5%)
71.74 — 73.94
MonthlyJun 18
±$2.14 (±2.9%)
70.70 — 74.98
QuarterlySep 18
±$7.98 (±11.0%)
64.86 — 80.82
Spot
72.8
Call Wall
73
Put Wall
72
Zero Gamma
72.5
Net GEX ($M)
5.7

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 73.9
Near EM 71.7
1M EM 75
1M EM 70.7
3M EM 80.8
3M EM 64.9
Spot 72.8
83
82
81
80
79
78
77
76
75
1.2
74
1.4
73
1.1
7
Call Wall
72
3.1
3
Put Wall
71
2.8
0.4
70
0.3
69
68
67
66
65
64
63
62