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TROW

Gamma exposure levels

Back to GEX

Expected Move

ATM-straddle implied move from delayed quotes — a market-implied range, not a forecast.

NearestJun 18
±$4.03 (±3.8%)
102.40 — 110.46
MonthlyJun 18
±$4.03 (±3.8%)
102.40 — 110.46
QuarterlySep 18
±$12.45 (±11.7%)
93.98 — 118.88
Spot
106.4
Call Wall
105
Put Wall
100
Zero Gamma
97.5
Net GEX ($M)
1.9

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 110.5
Near EM 102.4
1M EM 110.5
1M EM 102.4
3M EM 118.9
Spot 106.4
120
0
115
0.2
110
0.1
0.6
105
0.1
1.2
Call Wall
100
0.2
0.4
Put Wall
95
0.1