Tapeab

PH

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
±$36.90 (±4.2%)
838.70 — 912.50
MonthlyJun 18
±$36.90 (±4.2%)
838.70 — 912.50
QuarterlyAug 21
±$107.45 (±12.3%)
768.15 — 983.05
Spot
875.6
Call Wall
900
Put Wall
830
Zero Gamma
885
Net GEX ($M)
-0.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 912.5
Near EM 838.7
1M EM 912.5
1M EM 838.7
3M EM 983.1
3M EM 768.2
Spot 875.6
1,000
0
990
980
970
960
0
950
0
940
930
0.1
920
0
910
0
900
0
0.2
Call Wall
890
0.1
0
880
0
0.1
870
0
0
860
0.1
0
850
0
0
840
0
830
0.2
Put Wall
820
0
810
800
0.2
790
0.1
780
770
760
750