Tapeab

TFC

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
±$1.77 (±3.6%)
48.07 — 51.61
MonthlyJun 18
±$1.77 (±3.6%)
48.07 — 51.61
QuarterlySep 18
±$6.10 (±12.2%)
43.74 — 55.94
Spot
49.8
Call Wall
50
Put Wall
50
Zero Gamma
48.8
Net GEX ($M)
2.7

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 51.6
Near EM 48.1
1M EM 51.6
1M EM 48.1
3M EM 43.7
Spot 49.8
55
1.3
52.5
2.5
50
9.5
11.9
Call WallPut Wall
47.5
3.4
1
45
0.7
42.5