Tapeab

MSCI

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
±$23.75 (±3.9%)
580.50 — 628.00
MonthlyJun 18
±$23.75 (±3.9%)
580.50 — 628.00
QuarterlySep 18
±$79.90 (±13.2%)
524.35 — 684.15
Spot
604.3
Call Wall
610
Put Wall
610
Zero Gamma
605
Net GEX ($M)
0.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 628
Near EM 580.5
1M EM 628
1M EM 580.5
3M EM 684.2
3M EM 524.4
Spot 604.3
690
680
670
0
660
0
650
0
640
0
630
0.1
620
0
0.1
610
0.1
0.1
Call WallPut Wall
600
0.1
0.1
590
0
0
580
0
0
570
0
0
560
0
0
550
0
540
0
530
520
0