Tapeab

ROST

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
±$4.28 (±1.8%)
233.88 — 242.44
MonthlyJun 18
±$7.95 (±3.3%)
230.21 — 246.11
QuarterlySep 18
±$31.30 (±13.1%)
206.86 — 269.46
Spot
238.2
Call Wall
240
Put Wall
230
Zero Gamma
231.3
Net GEX ($M)
0.8

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 242.4
Near EM 233.9
1M EM 246.1
1M EM 230.2
3M EM 269.5
3M EM 206.9
Spot 238.2
270
265
260
257.5
255
252.5
250
247.5
245
0
242.5
0.2
240
0.4
Call Wall
237.5
0.1
235
0.2
232.5
0
230
0.1
0.1
Put Wall
227.5
225
0
222.5
220
217.5
215
212.5
210
207.5
205