Expected Move
ATM-straddle implied move from delayed quotes — a market-implied range, not a forecast.
Gamma exposure by strike ($M, per 1% move)
VRTX, night by night.
Where the gamma levels, the net position and the priced move have sat on every recorded session. Readings are as captured that evening, not restated later.
Call wall, put wall and zero-gamma per session, with the spot they were computed against. Walls step between listed strikes. Spot is the session close as CBOE's delayed feed settled it.
Net gamma in $M across every listed expiry. The figures on the profile above are the nearest expiry only, so the two do not match. Dashed line marks zero.
ATM-straddle implied move to the monthly expiry, % of spot. The line breaks at each roll to a new expiry — either side of a break prices a different contract. Rolled 3×: 22 Jun, 20 Jul, 21 Aug.
One reading per session, captured nightly after the close, 10 Jun → 14 Sep, over CBOE delayed (~15-min) chains, computed across the full listed chain. Gaps are weekends, holidays and sessions a capture missed; any reading can be absent on a session that was captured, and the series is broken rather than drawn through it.