SPX gamma max, delta neutral & open interest levels
As of close · rank #2 by open interest · 1,378 sessions of history since Dec 1, 2020
SPX closed 4.7% below its gamma max of 8,014.46. It is 1.6% above the delta neutral price of 7,532.07. Total open interest is 18,976,115, +0.8% versus the previous session. What gamma max means · What delta neutral means
One-year history
Last 252 sessions
| Sessions closed above gamma max | 0% |
| Gamma max crosses | 0 |
| Delta neutral crosses | 8 |
| Open interest percentile (1y) | 93th |
| Open interest change, 5 sessions | +4.7% |
| Open interest change, 21 sessions | +2.6% |
| History available | Dec 1, 2020 → Sep 11, 2026 |
Recent crosses
- closed above delta neutral at 6,616.85 vs 6,615.24 (+0.0%)
- closed below delta neutral at 6,624.70 vs 6,773.80 (-2.3%)
- closed above delta neutral at 6,699.38 vs 6,673.17 (+0.4%)
- closed below delta neutral at 6,632.19 vs 6,771.33 (-2.1%)
- closed above delta neutral at 6,672.62 vs 6,660.65 (+0.2%)
- closed below delta neutral at 6,775.80 vs 6,796.06 (-0.3%)
- closed above delta neutral at 6,932.30 vs 6,841.08 (+1.3%)
- closed below delta neutral at 6,798.40 vs 6,835.41 (-0.5%)
- closed below gamma max at 6,449.80 vs 6,808.03 (-5.6%)
- closed above gamma max at 6,468.54 vs 6,451.99 (+0.3%)
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Questions people ask about SPX
Where is SPX's gamma max today?
As of Sep 11, 2026, the gamma max for SPX is 8,014.46, +4.7% from the 7,656.98 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 SPX above or below its delta neutral price?
SPX closed above delta neutral: 7,656.98 against a delta neutral price of 7,532.07. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does SPX have?
18,976,115 contracts of open interest across 7,304 listed contracts on Sep 11, 2026, +0.8% 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.