Tapeab

PCAR

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
±$5.25 (±4.6%)
108.73 — 119.23
MonthlyJun 18
±$5.25 (±4.6%)
108.73 — 119.23
QuarterlySep 18
±$15.35 (±13.5%)
98.63 — 129.33
Spot
114
Call Wall
123.6
Put Wall
110
Zero Gamma
111.8
Net GEX ($M)
1.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 119.2
Near EM 108.7
1M EM 119.2
1M EM 108.7
3M EM 129.3
3M EM 98.6
Spot 114
130
0.1
128.6
125
0.2
123.6
0.5
Call Wall
120
0.1
118.6
0
0.2
115
0.1
0.4
113.6
0.1
0.1
110
0.1
0.1
Put Wall
108.6
0
0
105
0
103.6
100
98.6