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
- Clone the repository or download it as ZIP file
- Run
pip install -r requirements.txt
(optional) - Run
main.py
pandas
requests
matplotlib
Input:
python main.py <ENTER>
Enter desired ticker: SPX <ENTER>
Output:
Total notional GEX: $-38.1193 Bn