Tapeab

SPGI

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
±$9.85 (±2.4%)
402.08 — 421.78
MonthlyJun 18
±$15.05 (±3.7%)
396.88 — 426.98
QuarterlySep 18
±$55.05 (±13.4%)
356.88 — 466.98
Spot
411.9
Call Wall
430
Put Wall
417.5
Zero Gamma
411.3
Net GEX ($M)
0

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 421.8
Near EM 402.1
1M EM 427
1M EM 396.9
3M EM 467
3M EM 356.9
Spot 411.9
470
465
460
455
450
445
440
0
435
0
432.5
0
430
0.1
Call Wall
427.5
425
0
0
422.5
0
0.1
420
0
0.1
417.5
0.1
0
Put Wall
415
0
0
412.5
0
410
0
0
407.5
0
405
0
402.5
0
400
0.1
0
395
0
390
0
385
0
380
0
375
370
365
360
355