Tapeab

NRG

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
±$4.88 (±4.0%)
116.77 — 126.53
MonthlyJun 18
±$8.38 (±6.9%)
113.27 — 130.03
QuarterlySep 18
±$26.55 (±21.8%)
95.10 — 148.20
Spot
121.7
Call Wall
139
Put Wall
130
Zero Gamma
122.5
Net GEX ($M)
0.1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 126.5
Near EM 116.8
1M EM 130
1M EM 113.3
Spot 121.7
139
0.2
Call Wall
138
137
136
135
134
0
133
132
131
130
0.2
Put Wall
129
128
127
0
126
0.1
125
0
0
124
0
123
0
122
0
0
121
0
0.1
120
0.1
119
0
118
117
0
116
115
114
113
112
111
110
109
105