SPY max pain, gamma exposure (GEX) & options open interest
As of close · rank #2 by open interest · 1,394 sessions of history since Dec 1, 2020
SPY's nearest-expiration max pain is 763.00 for 2026-10-05, its GEX flip is 769.48, net GEX is 25,884,964, its put/call open-interest ratio is 2.15. 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: volume/OI 0.79 · smile convexity 19.1 pp · front IV premium -0.3 pp
SPY closed 3.0% below its gamma max of 792.85. It is 0.8% above the delta neutral price of 763.77. Total open interest is 16,643,681, -1.5% versus the previous session. Its options catalyst-intensity score is 51.0 out of 100, led by volume/OI 0.79, smile convexity 19.1 pp, front IV premium -0.3 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 | -39,362 contracts · -0.7% |
| Put OI change, 1 session | -214,625 contracts · -1.9% |
| Call minus put OI growth, 1 session | +1.1 pp |
| Call OI change, 5 sessions | -24,194 contracts · -0.5% |
| Put OI change, 5 sessions | -656,114 contracts · -5.5% |
| Call minus put OI growth, 5 sessions | +5.0 pp |
| Daily call OI change surprise | -0.18σ (252 prior changes) |
| Daily put OI change surprise | -0.28σ (252 prior changes) |
| Daily call-minus-put growth surprise | +0.32σ (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 1 completed Day +10 paths · latest Feb 23, 2024
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 1 | -0.4% | -0.4% to -0.4% | 0% | – | – |
| Day +2 | 1 | -0.2% | -0.2% to -0.2% | 0% | – | – |
| Day +3 | 1 | -0.3% | -0.3% to -0.3% | 0% | – | – |
| Day +4 | 1 | -0.0% | -0.0% to -0.0% | 0% | – | – |
| Day +5 | 1 | +1.0% | +1.0% to +1.0% | 100% | – | – |
| Day +6 | 1 | +0.9% | +0.9% to +0.9% | 100% | – | – |
| Day +7 | 1 | -0.1% | -0.1% to -0.1% | 0% | – | – |
| Day +8 | 1 | +0.4% | +0.4% to +0.4% | 100% | – | – |
| Day +9 | 1 | +1.4% | +1.4% to +1.4% | 100% | – | – |
| Day +10 | 1 | +0.8% | +0.8% to +0.8% | 100% | – | – |
Crosses above gamma max 1 completed Day +10 paths · latest Feb 22, 2024
| Horizon | n | Median | Middle 50% | Above zero | Nominal ≥90% median interval | Confidence floor |
|---|---|---|---|---|---|---|
| Day +1 | 1 | +0.1% | +0.1% to +0.1% | 100% | – | – |
| Day +2 | 1 | -0.3% | -0.3% to -0.3% | 0% | – | – |
| Day +3 | 1 | -0.1% | -0.1% to -0.1% | 0% | – | – |
| Day +4 | 1 | -0.3% | -0.3% to -0.3% | 0% | – | – |
| Day +5 | 1 | +0.1% | +0.1% to +0.1% | 100% | – | – |
| Day +6 | 1 | +1.1% | +1.1% to +1.1% | 100% | – | – |
| Day +7 | 1 | +0.9% | +0.9% to +0.9% | 100% | – | – |
| Day +8 | 1 | -0.1% | -0.1% to -0.1% | 0% | – | – |
| Day +9 | 1 | +0.4% | +0.4% to +0.4% | 100% | – | – |
| Day +10 | 1 | +1.4% | +1.4% to +1.4% | 100% | – | – |
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 | 0% |
| Gamma max crosses | 0 |
| Delta neutral crosses | 36 |
| Prior-year sessions closer to gamma max | 57.9% of 252 |
| Prior-year sessions closer to delta neutral | 31.7% of 252 |
| Open interest percentile (1y) | 45th |
| Daily open interest change versus prior year | -0.27σ (-253,987 contracts; 252 prior changes) |
| Open interest change, 5 sessions | -3.9% |
| Open interest change, 21 sessions | -11.5% |
| History available | Dec 1, 2020 → Oct 2, 2026 |
Recent crosses
- closed above delta neutral at 764.04 vs 763.82 (+0.0%)
- closed below delta neutral at 762.63 vs 763.90 (-0.2%)
- closed above delta neutral at 762.60 vs 759.96 (+0.3%)
- closed below delta neutral at 760.88 vs 762.28 (-0.2%)
- closed above delta neutral at 764.20 vs 761.11 (+0.4%)
- closed below delta neutral at 757.83 vs 761.96 (-0.5%)
- closed above delta neutral at 741.69 vs 738.90 (+0.4%)
- closed below delta neutral at 738.18 vs 742.90 (-0.6%)
- closed above delta neutral at 748.28 vs 744.11 (+0.6%)
- closed below delta neutral at 743.29 vs 744.81 (-0.2%)
In today's screens
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Canonical source: https://halfonadouble.com/stock/SPY
Questions people ask about SPY
Where is SPY's gamma max today?
As of Oct 2, 2026, the gamma max for SPY is 792.85, +3.0% from the 769.64 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 SPY above or below its delta neutral price?
SPY closed above delta neutral: 769.64 against a delta neutral price of 763.77. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does SPY have?
16,643,681 contracts of open interest across 8,294 listed contracts on Oct 2, 2026, -1.5% 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.