Tapeab

VTRS

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
±$0.93 (±5.8%)
15.14 — 17.00
MonthlyJun 18
±$0.93 (±5.8%)
15.14 — 17.00
QuarterlyOct 16
±$3.00 (±18.7%)
13.07 — 19.07
Spot
16.1
Call Wall
16
Put Wall
15
Zero Gamma
15.5
Net GEX ($M)
1

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 17
Near EM 15.1
1M EM 17
1M EM 15.1
Spot 16.1
18
0.2
17
0.9
1.3
16
2.1
4.5
Call Wall
15
2.3
0.6
Put Wall
14
0.2