syedpeer / gex-tracker

Dealers' gamma exposure (GEX) tracker

Gamma Exposure Tracker

Python script to scrape option data from CBOE website and track current dealers' notional gamma exposure (GEX).

To calculate the total exposure we assume that dealers are long calls and short puts, hence:

• Call gamma = spot price * gamma * open interest * contract size * spot price * 0.01
• Put gamma = - spot price * gamma * open interest * contract size * spot price * 0.01

How to run

1. Clone the repository or download it as ZIP file
2. Run pip install -r requirements.txt (optional)
3. Run main.py

Requirements

• pandas
• requests
• matplotlib

Examples

Input:

python main.py <ENTER>
Enter desired ticker: SPX <ENTER>

Output:

Total notional GEX: $-38.1193 Bn