Tapeab

PEP

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
±$2.29 (±1.6%)
142.76 — 147.34
MonthlyJun 18
±$4.39 (±3.0%)
140.66 — 149.44
QuarterlySep 18
±$15.75 (±10.9%)
129.30 — 160.80
Spot
145.1
Call Wall
150
Put Wall
143
Zero Gamma
143.5
Net GEX ($M)
6.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 147.3
Near EM 142.8
1M EM 149.4
1M EM 140.7
3M EM 160.8
3M EM 129.3
Spot 145.1
165
162.5
160
157.5
155
152.5
150
3.3
Call Wall
149
148
0.2
0.4
147
1.2
146
1.3
145
0.4
2.1
144
0.2
1.4
143
2.5
0.9
Put Wall
142
0.6
0.6
141
0.7
140
0.4
0.3
139
138
137
136
135
134
133
132
131
130
129
128
125