Tapeab

REGN

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
±$15.25 (±2.5%)
587.25 — 617.75
MonthlyJun 18
±$25.40 (±4.2%)
577.10 — 627.90
QuarterlySep 18
±$88.90 (±14.8%)
513.60 — 691.40
Spot
602.5
Call Wall
605
Put Wall
615
Zero Gamma
600
Net GEX ($M)
0.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 617.8
Near EM 587.3
1M EM 627.9
1M EM 577.1
Spot 602.5
690
680
670
660
655
650
645
640
635
630
625
620
0
615
0
0
Put Wall
610
605
0
0.3
Call Wall
595
585
0
575
565
555
545
535
520