rcapozzi / gex-python

Gamma Exposure Index (GEX) in Python w/ TDAmeritrade

This script calculates the total GEX for a given ticker. It utilizes tda-api to pull option chains from TDAmeritrade.

Interpreting the GEX (quoted from the GEX paper):
"A GEX figure that is positive implies that option market-makers will hedge their positions in a fashion that stikes volatility (buying into lows, selling into highs). A GEX figure that is negative implies the opposite (selling into lows, buying into highs), thus magnifying market volatility."

Formulas:

For a given strike:

Calls:
GEX = Г · OI · 100

Puts:
GEX = Г · OI · -100

where Г is gamma, OI is open interest, and 100 is for the contract to shares adjustment

To calculate total GEX for a given underlying we simply take the dot product of the series of Г and the series of OI for both calls and puts, multiply by 100 and -100 respectively, and then take the sum of the two.