Tapeab

PRU

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
±$3.42 (±3.2%)
102.77 — 109.61
MonthlyJun 18
±$3.42 (±3.2%)
102.77 — 109.61
QuarterlySep 18
±$12.35 (±11.6%)
93.84 — 118.54
Spot
106.2
Call Wall
105
Put Wall
100
Zero Gamma
102.5
Net GEX ($M)
0.6

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 109.6
Near EM 102.8
1M EM 109.6
1M EM 102.8
3M EM 118.5
3M EM 93.8
Spot 106.2
120
0.1
115
0.1
0.2
110
0.8
1.8
105
1.2
2.3
Call Wall
100
1.6
0.3
Put Wall
97.5
0.2
95
0.2
92.5
0.2