Tapeab

WM

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
±$8.60 (±3.8%)
215.33 — 232.53
MonthlyJun 18
±$8.60 (±3.8%)
215.33 — 232.53
QuarterlySep 18
±$24.25 (±10.8%)
199.68 — 248.18
Spot
223.9
Call Wall
220
Put Wall
220
Zero Gamma
215
Net GEX ($M)
3.3

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

Call gammaPut gammaSpotNear EM1M EM3M EM
Near EM 232.5
Near EM 215.3
1M EM 232.5
1M EM 215.3
3M EM 248.2
3M EM 199.7
Spot 223.9
250
0.4
240
0.5
230
0.4
2
220
0.9
2.1
Call WallPut Wall
210
0.5
200
195