Tapeab

ROL

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
±$1.43 (±3.0%)
46.03 — 48.89
MonthlyJun 18
±$1.43 (±3.0%)
46.03 — 48.89
QuarterlyAug 21
±$5.88 (±12.4%)
41.58 — 53.34
Spot
47.5
Call Wall
50
Put Wall
47.5
Zero Gamma
48.8
Net GEX ($M)
2.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 48.9
Near EM 46
1M EM 48.9
1M EM 46
Spot 47.5
52.5
0.1
50
2.4
Call Wall
47.5
0.6
0.5
Put Wall
45
0.3
0.2
42.5