Tapeab

VLO

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
±$7.27 (±2.8%)
251.73 — 266.27
MonthlyJun 18
±$14.40 (±5.6%)
244.60 — 273.40
QuarterlySep 18
±$47.70 (±18.4%)
211.30 — 306.70
Spot
259
Call Wall
260
Put Wall
252.5
Zero Gamma
253.8
Net GEX ($M)
0.9

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 266.3
Near EM 251.7
1M EM 273.4
1M EM 244.6
Spot 259
297.5
295
292.5
290
287.5
285
282.5
280
0
277.5
275
0.1
272.5
0
270
0.2
267.5
0.2
265
0
0.1
262.5
0.1
0.2
260
0
0.3
Call Wall
257.5
0
0.2
255
0
0.1
252.5
0.1
0.1
Put Wall
250
0.1
0.1
247.5
0
245
0.1
0
242.5
0
240
0
0
237.5
235
0
232.5
230
0
227.5
225
222.5