Tapeab

SO

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
±$1.40 (±1.5%)
93.33 — 96.13
MonthlyJun 18
±$2.27 (±2.4%)
92.46 — 97.00
QuarterlySep 18
±$8.75 (±9.2%)
85.98 — 103.48
Spot
94.7
Call Wall
95
Put Wall
94
Zero Gamma
90.5
Net GEX ($M)
2.2

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 96.1
Near EM 93.3
1M EM 97
1M EM 92.5
3M EM 103.5
3M EM 86
Spot 94.7
108
107
106
105
104
103
102
101
100
99
98
97
0.4
96
0
0.2
95
0.1
0.9
Call Wall
94
0.2
0.6
Put Wall
93
0.1
0.4
92
0
0.2
91
90
89
88
87
86
85
84
83
82
81