EL gamma max, delta neutral & open interest levels
As of close · rank #464 by open interest · 1,379 sessions of history since Dec 1, 2020
EL closed 7.1% below its gamma max of 104.05. It is 10.5% above the delta neutral price of 86.90. Total open interest is 179,643, -1.4% versus the previous session. What gamma max means · What delta neutral means
One-year history
Last 252 sessions
| Sessions closed above gamma max | 1% |
| Gamma max crosses | 2 |
| Delta neutral crosses | 12 |
| Open interest percentile (1y) | 44th |
| Open interest change, 5 sessions | +1.2% |
| Open interest change, 21 sessions | +4.2% |
| History available | Dec 1, 2020 → Sep 11, 2026 |
Recent crosses
- closed above delta neutral at 82.43 vs 81.06 (+1.7%)
- closed below delta neutral at 79.37 vs 80.19 (-1.0%)
- closed above delta neutral at 84.87 vs 80.66 (+5.0%)
- closed below delta neutral at 82.43 vs 84.06 (-2.0%)
- closed above delta neutral at 83.64 vs 83.52 (+0.1%)
- closed below delta neutral at 83.07 vs 83.52 (-0.5%)
- closed above delta neutral at 88.32 vs 85.44 (+3.3%)
- closed below delta neutral at 80.28 vs 82.81 (-3.2%)
- closed above delta neutral at 81.33 vs 81.27 (+0.1%)
- closed below gamma max at 75.34 vs 75.50 (-0.2%)
In today's screens
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Neighbours by open interest
Questions people ask about EL
Where is EL's gamma max today?
As of Sep 11, 2026, the gamma max for EL is 104.05, +7.1% from the 97.12 close. Gamma max is the underlying price at which the summed gamma of every open contract is largest; how it is computed and why it matters.
Is EL above or below its delta neutral price?
EL closed above delta neutral: 97.12 against a delta neutral price of 86.90. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does EL have?
179,643 contracts of open interest across 531 listed contracts on Sep 11, 2026, -1.4% versus the previous session. What open interest measures.
Levels are recomputed after every trading day from end-of-day options data licensed from HistoricalOptionData.com; only derived aggregates are published. Methodology · Data and licence · Not investment advice.