Tapeab

SJM

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
±$4.88 (±4.2%)
110.47 — 120.23
MonthlyJun 18
±$4.88 (±4.2%)
110.47 — 120.23
QuarterlySep 18
±$14.80 (±12.8%)
100.55 — 130.15
Spot
115.4
Call Wall
120
Put Wall
115
Zero Gamma
—
Net GEX ($M)
4.3

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 120.2
Near EM 110.5
1M EM 120.2
1M EM 110.5
3M EM 100.6
Spot 115.4
130
125
1
120
1.6
Call Wall
115
0.4
0.8
Put Wall
110
0.2
1.3
105
0.2
100