LLY gamma max, delta neutral & open interest levels
As of close · rank #291 by open interest · 1,379 sessions of history since Dec 1, 2020
LLY closed 14.9% below its gamma max of 1,281.66. It is 4.3% above the delta neutral price of 1,067.82. Total open interest is 349,527, -5.4% versus the previous session. What gamma max means · What delta neutral means
One-year history
Last 252 sessions
| Sessions closed above gamma max | 0% |
| Gamma max crosses | 2 |
| Delta neutral crosses | 10 |
| Open interest percentile (1y) | 48th |
| Open interest change, 5 sessions | -7.8% |
| Open interest change, 21 sessions | -6.4% |
| History available | Dec 1, 2020 → Sep 11, 2026 |
Recent crosses
- closed above delta neutral at 934.31 vs 886.47 (+5.1%)
- closed below delta neutral at 883.96 vs 888.85 (-0.6%)
- closed above delta neutral at 927.03 vs 900.15 (+2.9%)
- closed below delta neutral at 905.03 vs 909.52 (-0.5%)
- closed above delta neutral at 919.77 vs 909.74 (+1.1%)
- closed below delta neutral at 906.70 vs 919.24 (-1.4%)
- closed above delta neutral at 917.50 vs 916.93 (+0.1%)
- closed below delta neutral at 918.05 vs 937.69 (-2.1%)
- closed below gamma max at 819.85 vs 842.06 (-2.7%)
- closed above gamma max at 825.42 vs 802.24 (+2.8%)
In today's screens
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Neighbours by open interest
Questions people ask about LLY
Where is LLY's gamma max today?
As of Sep 11, 2026, the gamma max for LLY is 1,281.66, +14.9% from the 1,115.70 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 LLY above or below its delta neutral price?
LLY closed above delta neutral: 1,115.70 against a delta neutral price of 1,067.82. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does LLY have?
349,527 contracts of open interest across 3,023 listed contracts on Sep 11, 2026, -5.4% 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.