NLY gamma max, delta neutral & open interest levels
As of close · rank #542 by open interest · 1,378 sessions of history since Dec 1, 2020
NLY closed 9.1% below its gamma max of 23.88. It is 3.4% below the delta neutral price of 22.64. Total open interest is 141,232, +4.5% versus the previous session. What gamma max means · What delta neutral means
One-year history
Last 252 sessions
| Sessions closed above gamma max | 6% |
| Gamma max crosses | 24 |
| Delta neutral crosses | 19 |
| Open interest percentile (1y) | 73th |
| Open interest change, 5 sessions | +4.5% |
| Open interest change, 21 sessions | +4.1% |
| History available | Dec 1, 2020 → Sep 11, 2026 |
Recent crosses
- closed below delta neutral at 22.81 vs 22.83 (-0.1%)
- closed above delta neutral at 22.83 vs 22.79 (+0.2%)
- closed below delta neutral at 23.04 vs 23.08 (-0.2%)
- closed above delta neutral at 23.04 vs 22.90 (+0.6%)
- closed below delta neutral at 22.78 vs 22.78 (-0.0%)
- closed below gamma max at 23.05 vs 23.14 (-0.4%)
- closed above gamma max at 23.20 vs 23.18 (+0.1%)
- closed above delta neutral at 22.45 vs 22.35 (+0.4%)
- closed below delta neutral at 22.42 vs 22.56 (-0.6%)
- closed below gamma max at 23.01 vs 24.05 (-4.5%)
In today's screens
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Neighbours by open interest
Questions people ask about NLY
Where is NLY's gamma max today?
As of Sep 11, 2026, the gamma max for NLY is 23.88, +9.1% from the 21.90 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: 21.90 against a delta neutral price of 22.64. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does NLY have?
141,232 contracts of open interest across 238 listed contracts on Sep 11, 2026, +4.5% 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.