Tapeab

NSC

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
±$9.75 (±3.2%)
299.18 — 318.68
MonthlyJun 18
±$9.75 (±3.2%)
299.18 — 318.68
QuarterlySep 18
±$33.35 (±10.8%)
275.58 — 342.28
Spot
308.9
Call Wall
320
Put Wall
300
Zero Gamma
305
Net GEX ($M)
0.6

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 318.7
Near EM 299.2
1M EM 318.7
1M EM 299.2
3M EM 342.3
3M EM 275.6
Spot 308.9
350
0.1
340
0
330
0.2
320
0.3
Call Wall
310
0.2
0.2
300
0.2
0.2
Put Wall
290
0.1
0.1
280
0
270