Tapeab

PG

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
±$1.93 (±1.3%)
146.66 — 150.52
MonthlyJun 18
±$4.10 (±2.8%)
144.49 — 152.69
QuarterlySep 18
±$14.85 (±10.0%)
133.74 — 163.44
Spot
148.6
Call Wall
149
Put Wall
148
Zero Gamma
143.5
Net GEX ($M)
10.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 150.5
Near EM 146.7
1M EM 152.7
1M EM 144.5
3M EM 163.4
3M EM 133.7
Spot 148.6
170
167.5
165
162.5
160
157.5
155
0.3
152.5
0.9
150
0.4
2.8
149
0.2
5.2
Call Wall
148
0.9
1.2
Put Wall
147
0.7
1.7
146
0.2
1
145
0.7
0.8
144
143
0.2
142
141
140
139
138
137
136
135
134
133
132
131
130
129
128
127