Data through close

VRNS max pain, gamma exposure (GEX) & options open interest

As of close · rank #1135 by open interest · snapshot page

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VRNS's nearest-expiration max pain is 45.00 for 2026-10-16, its GEX flip is 42.84, net GEX is 1,268,971, its put/call open-interest ratio is 0.59. These are whole-chain derived aggregates as of Oct 2, 2026 close.

Close
47.57
prev 47.45
Gamma max
54.01
+13.5% from close
Delta neutral
42.60
-10.5% from close
Gamma neutral
42.84
-10.0% from close
Open interest
39,086
+2.1% vs prev
Contracts listed
81
68 calls · 43 puts

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.

Nearest max pain
45.00
-5.4% from close
2026-10-16
GEX flip
42.84
-10.0% from close
Net GEX
1,268,971
3,246,614 per 100k OI
Call wall
50.00
+5.1% from close
Put wall
45.00
-5.4% from close
Put/call OI
0.59
14,544 puts / 24,542 calls

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.

Catalyst intensity
–
cross-sectional score / 100
Directional score
–
IV rank
28.4
within trailing 52-week range
Front / back ATM IV
– / –
– pp front premium
Expected move
–
– DTE · one standard deviation
ATM straddle / spot
–
front-window midpoint premium
25Δ risk reversal
-29.8 pp
put IV minus call IV
IV butterfly
-5.0 pp
front-window smile convexity
Volume / open interest
0.01
558 contracts traded
Normalized net delta
0.209
option-holder convention
Modeled dealer delta
-0.209
opposite-side scenario
Vanna / 100k OI
3,288
volatility-sensitive delta
Charm / 100k OI
-91,718
time-decay-sensitive delta
IV surface range
77.1 pp
published contour maximum minus minimum

Download the complete dated analysis JSON .

VRNS closed 13.5% below its gamma max of 54.01. It is 10.5% above the delta neutral price of 42.60. Total open interest is 39,086, +2.1% versus the previous session. What gamma max means · What delta neutral means

History

Full history since 2020: drag to pan, scroll to zoom, hover for values. Open full-screen chart

Analysis visualizations

Derived from the 2026-10-02 options chain. Select an analysis to explore its chart.

Gamma walls

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In today's screens

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Neighbours by open interest

← WES (#1134) RRC (#1136) →

Questions people ask about VRNS

Where is VRNS's gamma max today?

As of Oct 2, 2026, the gamma max for VRNS is 54.01, +13.5% from the 47.57 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 VRNS above or below its delta neutral price?

VRNS closed above delta neutral: 47.57 against a delta neutral price of 42.60. The delta neutral price is where the summed delta of the whole chain is zero; the definition.

How much open interest does VRNS have?

39,086 contracts of open interest across 81 listed contracts on Oct 2, 2026, +2.1% 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.