SPY gamma max, delta neutral & open interest levels
As of close · rank #1 by open interest · 1,379 sessions of history since Dec 1, 2020
SPY closed 4.0% below its gamma max of 794.74. It is right at the delta neutral price of 763.97. Total open interest is 19,376,492, +0.1% 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 | 34 |
| Open interest percentile (1y) | 93th |
| Open interest change, 5 sessions | +2.4% |
| Open interest change, 21 sessions | -3.4% |
| History available | Dec 1, 2020 → Sep 11, 2026 |
Recent crosses
- closed above delta neutral at 764.20 vs 763.97 (+0.0%)
- closed below delta neutral at 765.96 vs 766.23 (-0.0%)
- closed above delta neutral at 765.20 vs 762.74 (+0.3%)
- closed below delta neutral at 761.72 vs 764.02 (-0.3%)
- closed above delta neutral at 741.69 vs 741.37 (+0.0%)
- closed below delta neutral at 738.18 vs 744.99 (-0.9%)
- closed above delta neutral at 748.28 vs 745.45 (+0.4%)
- closed below delta neutral at 743.29 vs 746.83 (-0.5%)
- closed above delta neutral at 741.00 vs 737.08 (+0.5%)
- closed below delta neutral at 733.58 vs 739.98 (-0.9%)
In today's screens
Questions people ask about SPY
Where is SPY's gamma max today?
As of Sep 11, 2026, the gamma max for SPY is 794.74, +4.0% from the 764.20 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: 764.20 against a delta neutral price of 763.97. The delta neutral price is where the summed delta of the whole chain is zero; the definition.
How much open interest does SPY have?
19,376,492 contracts of open interest across 8,397 listed contracts on Sep 11, 2026, +0.1% 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.