Dealers' gamma exposure (GEX) 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:
pip install -r requirements.txt
(optional)main.py
pandas
requests
matplotlib
Input:
python main.py <ENTER>
Enter desired ticker: SPX <ENTER>
Output:
Total notional GEX: $-38.1193 Bn