Tapeab

NOC

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
±$20.15 (±3.7%)
524.85 — 565.15
MonthlyJun 18
±$20.15 (±3.7%)
524.85 — 565.15
QuarterlySep 18
±$70.05 (±12.9%)
474.95 — 615.05
Spot
545
Call Wall
550
Put Wall
525
Zero Gamma
542.5
Net GEX ($M)
-0.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 565.2
Near EM 524.9
1M EM 565.2
1M EM 524.9
3M EM 615.1
3M EM 475
Spot 545
625
620
615
610
605
600
0.1
595
590
0
585
0
580
0
0.1
575
0
570
0.1
0.1
565
0.1
560
0.1
0.1
555
0.1
0.1
550
0.2
0.7
Call Wall
545
0.2
0.3
540
0.2
0.1
535
0.1
530
0.1
525
0.8
Put Wall
520
0.1
515
510
0.2
505
500
495
490
485
480
475
470
465