LLY max pain, gamma exposure (GEX) & options open interest
As of close · rank #305 by open interest · 1,394 sessions of history since Dec 1, 2020
LLY's nearest-expiration max pain is 1,160.00 for 2026-10-09, its GEX flip is 1,142.67, net GEX is 29,112, its put/call open-interest ratio is 1.19. These are whole-chain derived aggregates as of Oct 2, 2026 close.
Whole-chain analytics
Derived after the close from the same dated options chain. Signed gamma exposure uses calls positive and puts negative; it is a model convention, not observed dealer inventory.
Advanced options analysis
Complete derived analysis from the dated chain, normalized where possible for comparison across tickers. Catalyst intensity measures unusual pricing and activity; it does not identify an event, predict direction, or establish that an investment is attractive.
Strongest relative signals: volume/OI 0.09
LLY closed 12.5% below its gamma max of 1,285.89. It is 3.7% above the delta neutral price of 1,100.54. Total open interest is 302,104, -8.5% versus the previous session. Its options catalyst-intensity score is 46.6 out of 100, led by volume/OI 0.09. What gamma max means · What delta neutral means
Call versus put open interest changes
Growth compares outstanding contracts on each side. A positive growth gap favors calls; a negative gap favors puts. Standardized surprises compare each measure with its own prior history. These describe the OI balance, not IV skew or buying direction.
| Measure | Value |
|---|---|
| Call OI change, 1 session | -15,281 contracts · -10.0% |
| Put OI change, 1 session | -12,904 contracts · -7.3% |
| Call minus put OI growth, 1 session | -2.7 pp |
| Call OI change, 5 sessions | +3,660 contracts · +2.7% |
| Put OI change, 5 sessions | +906 contracts · +0.6% |
| Call minus put OI growth, 5 sessions | +2.2 pp |
| Daily call OI change surprise | -1.18σ (252 prior changes) |
| Daily put OI change surprise | -1.01σ (252 prior changes) |
| Daily call-minus-put growth surprise | -0.90σ (252 prior changes) |
History
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Analysis visualizations
Derived from the 2026-10-02 options chain. Select an analysis to explore its chart.
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Gamma walls
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What followed prior gamma-max crosses?
Each historical path starts at 0% on the cross date and follows the close for ten subsequent trading sessions. Cohorts use the same direction as labelled and require gamma max to be within 10% of the close on both crossing sessions.
Crosses below gamma max 20 completed Day +10 paths · latest Oct 2, 2025
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 20 | -0.2% | -1.1% to +0.8% | 40% | -0.9% to +0.6% | 0.0% |
| Day +2 | 20 | +0.3% | -1.3% to +1.1% | 55% | -1.1% to +1.0% | 0.0% |
| Day +3 | 20 | -0.3% | -1.6% to +1.6% | 30% | -1.4% to +1.4% | 0.0% |
| Day +4 | 20 | +1.0% | -1.4% to +3.3% | 65% | -0.9% to +3.2% | 0.0% |
| Day +5 | 20 | +1.5% | -2.9% to +4.1% | 60% | -2.9% to +4.0% | 0.0% |
| Day +6 | 20 | +1.6% | -2.6% to +2.6% | 65% | -2.5% to +2.3% | 0.0% |
| Day +7 | 20 | +0.9% | -2.8% to +4.3% | 60% | -2.7% to +4.1% | 0.0% |
| Day +8 | 20 | +1.6% | -1.5% to +4.6% | 60% | -1.4% to +4.5% | 0.0% |
| Day +9 | 20 | +2.1% | -2.6% to +5.3% | 65% | -2.6% to +5.2% | 0.0% |
| Day +10 | 20 | +1.5% | -1.7% to +5.2% | 55% | -1.6% to +5.2% | 0.0% |
Crosses above gamma max 20 completed Day +10 paths · latest Oct 1, 2025
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 20 | +0.9% | -0.6% to +1.6% | 55% | -0.6% to +1.6% | 0.0% |
| Day +2 | 20 | +1.0% | -0.6% to +2.0% | 60% | -0.5% to +1.9% | 0.0% |
| Day +3 | 20 | +1.1% | -0.3% to +2.4% | 65% | -0.1% to +2.4% | 0.0% |
| Day +4 | 20 | +0.7% | -0.9% to +2.3% | 70% | -0.7% to +2.2% | 0.0% |
| Day +5 | 20 | +1.4% | -0.8% to +4.2% | 60% | -0.8% to +4.1% | 0.0% |
| Day +6 | 20 | +1.0% | -1.2% to +4.8% | 65% | -1.2% to +4.7% | 0.0% |
| Day +7 | 20 | +1.0% | -1.1% to +3.7% | 60% | -0.8% to +3.1% | 0.0% |
| Day +8 | 20 | +0.6% | -1.3% to +5.3% | 60% | -0.7% to +4.8% | 0.0% |
| Day +9 | 20 | +1.5% | -1.9% to +5.5% | 60% | -1.8% to +5.5% | 0.0% |
| Day +10 | 20 | +1.2% | -0.7% to +5.8% | 70% | -0.3% to +5.6% | 0.0% |
Returns are close-to-close after the labelled number of subsequent trading sessions. The confidence floor is the closest-to-zero bound of the order-statistic median interval; it is zero when that interval spans zero. Its coverage is nominally at least 90% under independent observations. Historical paths can overlap, so the interval and floor are descriptive uncertainty guides rather than formal coverage guarantees. Historical, not a forecast.
Last 252 sessions
| Sessions closed above gamma max | 0% |
| Gamma max crosses | 0 |
| Delta neutral crosses | 6 |
| Prior-year sessions closer to gamma max | 82.9% of 252 |
| Prior-year sessions closer to delta neutral | 19.4% of 252 |
| Open interest percentile (1y) | 13th |
| Daily open interest change versus prior year | -1.13σ (-28,185 contracts; 252 prior changes) |
| Open interest change, 5 sessions | +1.5% |
| Open interest change, 21 sessions | -18.5% |
| History available | Dec 1, 2020 → Oct 2, 2026 |
Recent crosses
- closed above delta neutral at 934.31 vs 893.90 (+4.3%)
- closed below delta neutral at 883.96 vs 896.58 (-1.4%)
- closed above delta neutral at 927.03 vs 909.19 (+1.9%)
- closed below delta neutral at 905.03 vs 916.86 (-1.3%)
- closed above delta neutral at 919.77 vs 919.41 (+0.0%)
- closed below delta neutral at 930.35 vs 939.93 (-1.0%)
- closed below gamma max at 819.85 vs 843.62 (-2.9%)
- closed above gamma max at 825.42 vs 800.85 (+3.0%)
- closed above delta neutral at 726.51 vs 726.17 (+0.0%)
- closed below delta neutral at 714.59 vs 726.52 (-1.7%)
In today's screens
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Neighbours by open interest
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Canonical source: https://halfonadouble.com/stock/LLY
Questions people ask about LLY
Where is LLY's gamma max today?
As of Oct 2, 2026, the gamma max for LLY is 1,285.89, +12.5% from the 1,142.85 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: 1,142.85 against a delta neutral price of 1,100.54. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does LLY have?
302,104 contracts of open interest across 2,583 listed contracts on Oct 2, 2026, -8.5% versus the previous session. What open interest measures.
Levels are recomputed after every trading day from licensed end-of-day options data; only derived aggregates are published. Methodology · Data and licence · Not investment advice.