NLY max pain, gamma exposure (GEX) & options open interest
As of close · rank #449 by open interest · 1,393 sessions of history since Dec 1, 2020
NLY's nearest-expiration max pain is 19.00 for 2026-10-09, its GEX flip is 21.61, net GEX is -13,332,249, its put/call open-interest ratio is 1.24. 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: front IV premium 4.5 pp
NLY closed 30.1% below its gamma max of 24.07. It is 11.7% below the delta neutral price of 20.66. Total open interest is 171,732, -0.2% versus the previous session. Its options catalyst-intensity score is 60.6 out of 100, led by front IV premium 4.5 pp. 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 | -967 contracts · -1.2% |
| Put OI change, 1 session | +617 contracts · +0.7% |
| Call minus put OI growth, 1 session | -1.9 pp |
| Call OI change, 5 sessions | +10,107 contracts · +15.2% |
| Put OI change, 5 sessions | +10,905 contracts · +12.9% |
| Call minus put OI growth, 5 sessions | +2.3 pp |
| Daily call OI change surprise | -0.12σ (252 prior changes) |
| Daily put OI change surprise | +0.11σ (252 prior changes) |
| Daily call-minus-put growth surprise | -0.25σ (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 24 completed Day +10 paths · latest Jul 17, 2026
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 24 | +0.3% | -0.8% to +0.8% | 63% | -0.4% to +0.7% | 0.0% |
| Day +2 | 24 | +0.0% | -1.1% to +1.2% | 54% | -0.5% to +0.9% | 0.0% |
| Day +3 | 24 | -0.0% | -1.1% to +0.9% | 50% | -0.7% to +0.7% | 0.0% |
| Day +4 | 24 | -0.2% | -1.2% to +1.0% | 38% | -0.9% to +0.6% | 0.0% |
| Day +5 | 24 | +0.0% | -2.0% to +0.9% | 50% | -1.9% to +0.6% | 0.0% |
| Day +6 | 24 | +0.0% | -1.8% to +1.8% | 50% | -1.7% to +1.4% | 0.0% |
| Day +7 | 24 | +0.6% | -1.0% to +1.7% | 54% | -0.6% to +1.7% | 0.0% |
| Day +8 | 24 | +0.6% | -2.8% to +3.1% | 54% | -2.2% to +2.0% | 0.0% |
| Day +9 | 24 | +0.4% | -2.6% to +2.3% | 58% | -2.5% to +2.0% | 0.0% |
| Day +10 | 24 | +1.5% | -2.9% to +3.7% | 54% | -2.8% to +2.4% | 0.0% |
Crosses above gamma max 24 completed Day +10 paths · latest Jul 15, 2026
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 24 | +0.1% | -0.5% to +0.9% | 50% | -0.3% to +0.5% | 0.0% |
| Day +2 | 24 | -0.1% | -0.7% to +1.1% | 42% | -0.4% to +0.8% | 0.0% |
| Day +3 | 24 | +0.3% | -0.7% to +1.8% | 58% | -0.4% to +1.6% | 0.0% |
| Day +4 | 24 | +0.0% | -2.0% to +1.5% | 50% | -1.3% to +1.4% | 0.0% |
| Day +5 | 24 | -0.4% | -2.2% to +1.2% | 42% | -1.2% to +1.1% | 0.0% |
| Day +6 | 24 | -0.1% | -1.8% to +1.0% | 46% | -1.3% to +0.8% | 0.0% |
| Day +7 | 24 | +0.5% | -1.6% to +1.3% | 54% | -0.8% to +1.2% | 0.0% |
| Day +8 | 24 | +0.4% | -1.4% to +2.0% | 54% | -1.0% to +1.4% | 0.0% |
| Day +9 | 24 | +0.9% | -1.2% to +2.4% | 67% | -0.8% to +1.5% | 0.0% |
| Day +10 | 24 | +0.9% | -1.1% to +2.7% | 54% | -0.5% to +2.2% | 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 | 3% |
| Gamma max crosses | 10 |
| Delta neutral crosses | 21 |
| Prior-year sessions closer to gamma max | 100.0% of 252 |
| Prior-year sessions closer to delta neutral | 99.6% of 252 |
| Open interest percentile (1y) | 95th |
| Daily open interest change versus prior year | -0.03σ (-350 contracts; 252 prior changes) |
| Open interest change, 5 sessions | +13.9% |
| Open interest change, 21 sessions | +29.4% |
| History available | Dec 1, 2020 → Oct 2, 2026 |
Recent crosses
- closed below delta neutral at 22.92 vs 22.93 (-0.0%)
- closed above delta neutral at 23.04 vs 22.86 (+0.8%)
- closed below delta neutral at 22.78 vs 22.83 (-0.2%)
- closed above delta neutral at 22.45 vs 22.38 (+0.3%)
- closed below delta neutral at 22.31 vs 22.43 (-0.5%)
- closed below gamma max at 23.01 vs 24.03 (-4.4%)
- closed above gamma max at 23.16 vs 23.10 (+0.3%)
- closed above delta neutral at 22.53 vs 22.27 (+1.2%)
- closed below delta neutral at 22.16 vs 22.38 (-1.0%)
- closed above delta neutral at 22.25 vs 22.01 (+1.1%)
In today's screens
Neighbours by open interest
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Canonical source: https://halfonadouble.com/stock/NLY
Questions people ask about NLY
Where is NLY's gamma max today?
As of Oct 2, 2026, the gamma max for NLY is 24.07, +30.1% from the 18.50 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 NLY above or below its delta neutral price?
NLY closed below delta neutral: 18.50 against a delta neutral price of 20.66. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does NLY have?
171,732 contracts of open interest across 241 listed contracts on Oct 2, 2026, -0.2% 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.