FRO gamma max, delta neutral & open interest levels
As of close · rank #511 by open interest · 1,379 sessions of history since Dec 1, 2020
FRO closed 1.4% above its gamma max of 48.50. It is 9.0% above the delta neutral price of 44.78. Total open interest is 154,859, +2.6% versus the previous session. What gamma max means · What delta neutral means
One-year history
Last 252 sessions
| Sessions closed above gamma max | 28% |
| Gamma max crosses | 22 |
| Delta neutral crosses | 14 |
| Open interest percentile (1y) | 100th |
| Open interest change, 5 sessions | +13.9% |
| Open interest change, 21 sessions | +9.0% |
| History available | Dec 1, 2020 → Sep 11, 2026 |
Recent crosses
- closed above gamma max at 48.40 vs 47.93 (+1.0%)
- closed above delta neutral at 40.52 vs 39.81 (+1.7%)
- closed below delta neutral at 39.57 vs 39.81 (-0.6%)
- closed above delta neutral at 38.45 vs 38.14 (+0.8%)
- closed below delta neutral at 39.74 vs 39.76 (-0.1%)
- closed above delta neutral at 38.85 vs 37.86 (+2.5%)
- closed below delta neutral at 37.96 vs 38.06 (-0.3%)
- closed above delta neutral at 38.45 vs 38.13 (+0.8%)
- closed below delta neutral at 36.93 vs 37.68 (-2.0%)
- closed above delta neutral at 36.49 vs 35.08 (+3.9%)
In today's screens
Neighbours by open interest
Questions people ask about FRO
Where is FRO's gamma max today?
As of Sep 11, 2026, the gamma max for FRO is 48.50, -1.4% from the 49.21 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 FRO above or below its delta neutral price?
FRO closed above delta neutral: 49.21 against a delta neutral price of 44.78. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does FRO have?
154,859 contracts of open interest across 166 listed contracts on Sep 11, 2026, +2.6% 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.