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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
±$0.96 (±1.7%)
55.71 — 57.63
MonthlyJun 18
±$1.91 (±3.4%)
54.76 — 58.58
QuarterlySep 18
±$6.55 (±11.6%)
50.12 — 63.22
Spot
56.7
Call Wall
56
Put Wall
56
Zero Gamma
56.5
Net GEX ($M)
1.5

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 57.6
Near EM 55.7
1M EM 58.6
1M EM 54.8
3M EM 63.2
3M EM 50.1
Spot 56.7
65
64
63
62
61
60
59
58
1.2
57
1.2
56
1.5
1.4
Call WallPut Wall
55
0.2
0.2
54
0.6
53
0.1
52
51
0.1
50
49.5
49