Tapeab

UPS

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
±$1.94 (±1.8%)
103.59 — 107.47
MonthlyJun 18
±$3.60 (±3.4%)
101.93 — 109.13
QuarterlySep 18
±$14.30 (±13.6%)
91.23 — 119.83
Spot
105.5
Call Wall
107
Put Wall
106
Zero Gamma
105.5
Net GEX ($M)
1.7

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 107.5
Near EM 103.6
1M EM 109.1
1M EM 101.9
3M EM 119.8
3M EM 91.2
Spot 105.5
121
120
119
118
117
116
115
114
113
112
0.1
111
0.1
110
0.1
0.2
109
0
0.7
108
0.2
0.2
107
0.2
0.8
Call Wall
106
0.4
0.8
Put Wall
105
0.3
0.2
104
0.3
0.1
103
0.1
0.1
102
0.1
101
0
0.1
100
0
99
98
97
96
95
94
93
92
91
90