Tapeab

VST

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
±$3.52 (±2.5%)
140.17 — 147.21
MonthlyJun 18
±$8.77 (±6.1%)
134.92 — 152.46
QuarterlySep 18
±$31.85 (±22.2%)
111.84 — 175.54
Spot
143.7
Call Wall
140
Put Wall
146
Zero Gamma
140.5
Net GEX ($M)
1.4

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 147.2
Near EM 140.2
1M EM 152.5
1M EM 134.9
Spot 143.7
165
162.5
0.1
160
0.4
157.5
155
0.2
152.5
150
0.4
0.3
149
148
147
146
0.7
0.2
Put Wall
145
0.3
0.3
144
0.2
143
0.3
0.1
142
0.6
141
0.3
140
0.5
3.1
Call Wall
139
138
137
136
135
0.2
134
133
132
131
130
125