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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
±$6.43 (±5.6%)
108.40 — 121.26
MonthlyJun 18
±$12.28 (±10.7%)
102.55 — 127.11
QuarterlySep 18
±$37.85 (±33.0%)
76.98 — 152.68
Spot
114.8
Call Wall
129
Put Wall
111
Zero Gamma
116.5
Net GEX ($M)
0

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 121.3
Near EM 108.4
1M EM 127.1
1M EM 102.6
Spot 114.8
132
0.2
131
130
0
129
0.4
Call Wall
128
0.1
127
126
0
125
0
124
123
0
122
121
120
0.1
0
119
0
118
0.1
0.1
117
0
116
0
0
115
0.1
0
114
0
113
0.1
112
0
111
0.2
Put Wall
110
0.1
0
109
0
108
0
107
0.1
106
0.1
105
0
104
0
103
0
0.1
102
101
100
0
99
98