Tapeab

NTRS

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
±$6.30 (±3.8%)
159.83 — 172.43
MonthlyJun 18
±$6.30 (±3.8%)
159.83 — 172.43
QuarterlyOct 16
±$24.95 (±15.0%)
141.18 — 191.08
Spot
166.1
Call Wall
170
Put Wall
165
Zero Gamma
167.5
Net GEX ($M)
-0.1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 172.4
Near EM 159.8
1M EM 172.4
1M EM 159.8
Spot 166.1
190
185
0.1
180
0
175
0
170
0.1
Call Wall
165
0.3
0.1
Put Wall
160
0
0
155
0
150
0.1
145