Tapeab

MS

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
±$4.55 (±2.2%)
203.20 — 212.30
MonthlyJun 18
±$9.12 (±4.4%)
198.63 — 216.87
QuarterlySep 18
±$30.45 (±14.7%)
177.30 — 238.20
Spot
207.8
Call Wall
215
Put Wall
207.5
Zero Gamma
211.3
Net GEX ($M)
-0.6

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 212.3
Near EM 203.2
1M EM 216.9
1M EM 198.6
Spot 207.8
237.5
235
232.5
230
227.5
225
222.5
220
0.2
217.5
0.1
0.2
215
0.1
1
Call Wall
212.5
0.1
0.3
210
0.6
0.5
207.5
1.4
0.2
Put Wall
205
0.3
0.2
202.5
0.4
200
0.2
0.1
197.5
195
0.2
0.1
192.5
190
0.1
187.5
185
182.5
180
177.5