Tapeab

VRTX

Gamma exposure levels

Back to GEX

Expected Move

ATM-straddle implied move from delayed quotes — a market-implied range, not a forecast.

NearestJun 12
±$9.50 (±2.2%)
425.50 — 444.50
MonthlyJun 18
±$16.20 (±3.7%)
418.80 — 451.20
QuarterlySep 18
±$59.90 (±13.8%)
375.10 — 494.90
Spot
435
Call Wall
435
Put Wall
425
Zero Gamma
426.3
Net GEX ($M)
0.1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 444.5
Near EM 425.5
1M EM 451.2
1M EM 418.8
3M EM 494.9
3M EM 375.1
Spot 435
500
495
490
485
480
475
470
465
460
0
457.5
455
0.1
452.5
450
0
0
447.5
0
0
445
0.1
0
442.5
0
440
0
0
437.5
0.1
435
0.1
0.1
Call Wall
432.5
0
0
430
0.1
0.1
427.5
0
0.1
425
0.1
Put Wall
422.5
0
420
0
417.5
0
415
0
410
0
405
0
400
0
395
390
385
380
375
370