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VRSK

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
±$9.70 (±5.3%)
175.10 — 194.50
MonthlyJun 18
±$9.70 (±5.3%)
175.10 — 194.50
QuarterlySep 18
±$31.80 (±17.2%)
153.00 — 216.60
Spot
184.8
Call Wall
190
Put Wall
200
Zero Gamma
197.5
Net GEX ($M)
3.3

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 194.5
Near EM 175.1
1M EM 194.5
1M EM 175.1
Spot 184.8
210
200
0.2
Put Wall
195
190
3.3
Call Wall
185
180
175
170
165
160