Gamma max: the price where the whole options chain has the most gamma
Gamma max is the underlying price at which the summed gamma of every open contract on a ticker is largest. It is recomputed after every trading day for every optionable US stock and ETF, and it is the red line on every ticker page and on the chart.
How it is computed
- Take every listed contract on the ticker, all strikes and all expiries, with its open interest.
- Back out each contract’s implied volatility from its closing mid price (gaps in illiquid strikes are interpolated).
- Treat the whole open interest as one portfolio. For a range of hypothetical underlying prices, re-price the portfolio and sum its gamma.
- The price that produces the largest summed gamma is gamma max. Gamma neutral is where the sum crosses zero.
The full set of assumptions is on the methodology page.
Why price reacts to it
Market makers are the largest net sellers of options and hedge in the underlying. Where the chain’s gamma is highest, a move in the stock forces the largest change in their hedges: crossing gamma max means their hedging obligations shift fastest. Their incentive is to keep the stock on the side it is on, so the level often acts as resistance or support, and a decisive move through it tends to be followed by a re-hedging wave and a change of regime. The gamma exposure explainer covers the mechanics.
How to read it
- Distance from close. Each ticker page shows the level and how far the close is from it. A stock sitting within a percent of gamma max is at the point where a cross is most likely; the nearest gamma max screen lists those each day.
- Crosses. A close that moves from one side of the level to the other is logged as an event on the ticker page, and the gamma max crosses screen lists all of them for the day.
- History. Full-history pages show what share of the last year’s sessions closed above the level and how many times it was crossed.
Descriptive, not predictive: these pages say where the level is and what happened at it, never what to buy.