NVAX max pain, gamma exposure (GEX) & options open interest
As of close · rank #367 by open interest · 1,393 sessions of history since Dec 1, 2020
NVAX's nearest-expiration max pain is 10.00 for 2026-10-09, its GEX flip is 5.70, net GEX is 7,138,706, its put/call open-interest ratio is 0.59. 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: smile convexity 25.3 pp · IV rank 100 · 25Δ risk reversal 47.9 pp
NVAX closed 5.6% below its gamma max of 11.04. It is 31.3% above the delta neutral price of 7.19. Total open interest is 230,276, -5.2% versus the previous session. Its options catalyst-intensity score is 48.8 out of 100, led by smile convexity 25.3 pp, IV rank 100, 25Δ risk reversal 47.9 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 | -11,653 contracts · -7.5% |
| Put OI change, 1 session | -1,102 contracts · -1.3% |
| Call minus put OI growth, 1 session | -6.2 pp |
| Call OI change, 5 sessions | +3,984 contracts · +2.8% |
| Put OI change, 5 sessions | +812 contracts · +1.0% |
| Call minus put OI growth, 5 sessions | +1.9 pp |
| Daily call OI change surprise | -1.14σ (252 prior changes) |
| Daily put OI change surprise | -0.21σ (252 prior changes) |
| Daily call-minus-put growth surprise | -1.71σ (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 36 completed Day +10 paths · latest Sep 23, 2026
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 37 | -0.4% | -4.1% to +1.4% | 43% | -2.8% to +0.7% | 0.0% |
| Day +2 | 37 | -1.8% | -4.9% to +2.4% | 41% | -3.9% to +0.7% | 0.0% |
| Day +3 | 37 | -2.5% | -7.9% to +1.7% | 38% | -6.4% to +0.1% | 0.0% |
| Day +4 | 37 | -4.5% | -11.0% to +3.3% | 32% | -8.5% to -1.2% | -1.2% |
| Day +5 | 37 | -5.7% | -11.2% to +3.0% | 32% | -9.2% to -1.4% | -1.4% |
| Day +6 | 37 | -5.7% | -13.2% to +6.8% | 41% | -11.2% to +0.9% | 0.0% |
| Day +7 | 37 | -6.2% | -11.9% to +5.5% | 35% | -9.7% to -0.4% | -0.4% |
| Day +8 | 36 | -5.6% | -12.8% to +5.7% | 44% | -9.8% to +2.1% | 0.0% |
| Day +9 | 36 | -4.6% | -13.4% to +5.1% | 36% | -10.2% to +0.4% | 0.0% |
| Day +10 | 36 | -4.9% | -11.8% to +7.3% | 42% | -10.2% to +1.2% | 0.0% |
Crosses above gamma max 33 completed Day +10 paths · latest Sep 22, 2026
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 34 | -1.5% | -3.6% to +1.4% | 32% | -2.6% to -0.1% | -0.1% |
| Day +2 | 34 | -3.0% | -7.5% to -0.1% | 24% | -4.9% to -0.4% | -0.4% |
| Day +3 | 34 | -2.4% | -7.0% to +1.1% | 29% | -5.3% to -0.7% | -0.7% |
| Day +4 | 34 | -4.6% | -8.8% to +1.7% | 35% | -7.7% to +0.1% | 0.0% |
| Day +5 | 34 | -6.0% | -12.8% to +1.3% | 32% | -10.8% to -0.1% | -0.1% |
| Day +6 | 34 | -8.6% | -14.2% to +3.1% | 35% | -12.6% to +0.9% | 0.0% |
| Day +7 | 34 | -8.6% | -14.4% to +5.1% | 32% | -12.7% to -0.3% | -0.3% |
| Day +8 | 34 | -9.3% | -13.9% to +6.8% | 32% | -13.1% to -0.1% | -0.1% |
| Day +9 | 33 | -4.9% | -14.2% to +4.3% | 30% | -11.7% to -0.9% | -0.9% |
| Day +10 | 33 | -6.4% | -14.9% to +4.2% | 33% | -13.1% to -1.0% | -1.0% |
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 | 10% |
| Gamma max crosses | 30 |
| Delta neutral crosses | 6 |
| Prior-year sessions closer to gamma max | 40.5% of 252 |
| Prior-year sessions closer to delta neutral | 81.0% of 252 |
| Open interest percentile (1y) | 47th |
| Daily open interest change versus prior year | -0.90σ (-12,755 contracts; 252 prior changes) |
| Open interest change, 5 sessions | +2.1% |
| Open interest change, 21 sessions | -5.7% |
| History available | Dec 1, 2020 → Oct 2, 2026 |
Recent crosses
- closed below gamma max at 10.55 vs 10.72 (-1.6%)
- closed above gamma max at 10.83 vs 10.81 (+0.2%)
- closed below gamma max at 9.21 vs 9.32 (-1.2%)
- closed above gamma max at 9.44 vs 9.27 (+1.8%)
- closed below gamma max at 8.05 vs 9.75 (-21.1%)
- closed above gamma max at 8.14 vs 7.85 (+3.5%)
- closed below gamma max at 7.96 vs 8.83 (-10.9%)
- closed above gamma max at 7.95 vs 7.73 (+2.7%)
- closed below gamma max at 10.24 vs 10.89 (-6.3%)
- closed above gamma max at 10.97 vs 10.65 (+3.0%)
In today's screens
Neighbours by open interest
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Canonical source: https://halfonadouble.com/stock/NVAX
Questions people ask about NVAX
Where is NVAX's gamma max today?
As of Oct 2, 2026, the gamma max for NVAX is 11.04, +5.6% from the 10.46 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 NVAX above or below its delta neutral price?
NVAX closed above delta neutral: 10.46 against a delta neutral price of 7.19. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does NVAX have?
230,276 contracts of open interest across 211 listed contracts on Oct 2, 2026, -5.2% 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.