PEP gamma max, delta neutral & open interest levels
As of close · rank #273 by open interest · 1,379 sessions of history since Dec 1, 2020
PEP closed 12.7% below its gamma max of 153.60. It is 1.6% below the delta neutral price of 138.56. Total open interest is 381,248, -3.4% versus the previous session. What gamma max means · What delta neutral means
One-year history
Last 252 sessions
| Sessions closed above gamma max | 2% |
| Gamma max crosses | 4 |
| Delta neutral crosses | 26 |
| Open interest percentile (1y) | 46th |
| Open interest change, 5 sessions | -2.9% |
| Open interest change, 21 sessions | -5.6% |
| History available | Dec 1, 2020 → Sep 11, 2026 |
Recent crosses
- closed below delta neutral at 137.63 vs 139.05 (-1.0%)
- closed above delta neutral at 140.51 vs 139.87 (+0.5%)
- closed below delta neutral at 139.79 vs 139.96 (-0.1%)
- closed above delta neutral at 138.41 vs 138.29 (+0.1%)
- closed below delta neutral at 137.73 vs 137.85 (-0.1%)
- closed above delta neutral at 139.79 vs 137.21 (+1.8%)
- closed below delta neutral at 137.86 vs 141.29 (-2.5%)
- closed above delta neutral at 141.16 vs 139.57 (+1.1%)
- closed below delta neutral at 139.52 vs 141.27 (-1.3%)
- closed above delta neutral at 142.05 vs 141.85 (+0.1%)
In today's screens
Not in any screen today. See all screens.
Neighbours by open interest
Questions people ask about PEP
Where is PEP's gamma max today?
As of Sep 11, 2026, the gamma max for PEP is 153.60, +12.7% from the 136.32 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 PEP above or below its delta neutral price?
PEP closed below delta neutral: 136.32 against a delta neutral price of 138.56. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does PEP have?
381,248 contracts of open interest across 631 listed contracts on Sep 11, 2026, -3.4% 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.