MS· Morgan Stanley
Gamma exposure · dealer positioning
Expected Move
ATM-straddle implied move from delayed quotes — a market-implied range, not a forecast.
NearestJul 24
±$1.19 (±0.6%)
213.29 — 215.67
MonthlyAug 21
±$16.02 (±7.5%)
198.46 — 230.50
QuarterlyOct 16
±$28.80 (±13.4%)
185.68 — 243.28
Spot
214.5
Call Wall
215
Put Wall
215
Zero Gamma
213.8
Net GEX ($M)
-1.1
Gamma exposure by strike ($M, per 1% move)
Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 215.7
Near EM 213.3
1M EM 230.5
1M EM 198.5
3M EM 243.3
3M EM 185.7
Spot 214.5
245
242.5
240
237.5
235
232.5
230
227.5
225
222.5
220
217.5
0.3
0.2
215
2.2
2.5
Call WallPut Wall
212.5
1
0.1
210
0.5
207.5
205
202.5
200
197.5
195
192.5
190
187.5
185