SABR gamma max, delta neutral & open interest levels
As of close · rank #664 by open interest · 1,379 sessions of history since Dec 1, 2020
SABR closed 53.1% above its gamma max of 1.02. It is 56.5% above the delta neutral price of 0.94. Total open interest is 100,178, -9.1% versus the previous session. What gamma max means · What delta neutral means
One-year history
Last 252 sessions
| Sessions closed above gamma max | 47% |
| Gamma max crosses | 11 |
| Delta neutral crosses | 5 |
| Open interest percentile (1y) | 8th |
| Open interest change, 5 sessions | -7.6% |
| Open interest change, 21 sessions | -8.7% |
| History available | Dec 1, 2020 → Sep 11, 2026 |
Recent crosses
- closed above gamma max at 1.60 vs 0.50 (+68.7%)
- closed below gamma max at 1.58 vs 3.78 (-139.3%)
- closed above gamma max at 1.71 vs 0.50 (+70.8%)
- closed below gamma max at 1.76 vs 2.02 (-14.8%)
- closed above gamma max at 1.52 vs 1.50 (+1.4%)
- closed below gamma max at 1.50 vs 1.51 (-0.6%)
- closed above gamma max at 1.50 vs 1.49 (+0.7%)
- closed below gamma max at 1.47 vs 1.49 (-1.1%)
- closed above gamma max at 1.49 vs 1.46 (+2.0%)
- closed above delta neutral at 0.93 vs 0.91 (+1.9%)
In today's screens
Not in any screen today. See all screens.
Neighbours by open interest
Questions people ask about SABR
Where is SABR's gamma max today?
As of Sep 11, 2026, the gamma max for SABR is 1.02, -53.1% from the 2.17 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 SABR above or below its delta neutral price?
SABR closed above delta neutral: 2.17 against a delta neutral price of 0.94. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does SABR have?
100,178 contracts of open interest across 87 listed contracts on Sep 11, 2026, -9.1% 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.