Tapeab

MOS

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
±$0.70 (±3.5%)
19.34 — 20.74
MonthlyJun 18
±$1.15 (±5.7%)
18.89 — 21.19
QuarterlySep 18
±$4.22 (±21.1%)
15.82 — 24.26
Spot
20
Call Wall
20
Put Wall
20
Zero Gamma
21.8
Net GEX ($M)
-0.8

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 20.7
Near EM 19.3
1M EM 21.2
1M EM 18.9
Spot 20
23
0.1
22.5
22
0.1
0.1
21.5
0.1
21
0.2
0.1
20.5
0.5
0
20
0.5
0.3
Call WallPut Wall
19.5
19
0
18