Gamma Exposure (GEX) measurement of US stocks and options by Trading Volatility

Our proprietary Skew-Adjusted Gamma Exposure measurements make adjustments to Naive GEX calculations to more accurately reflect actual gamma positioning of Market Makers who employ delta-hedging strategies. When Market Makers carry substantial negative gamma a security will often "over-react" to fundamental news. Conversely, when MMs carry substantial positive gamma a security will often "under-react" to news. Our data includes a quantified segmentation of a security's gamma distribution across all option strikes as well as across relevant expiration dates. Our website provides numerical, graphical, and historical views of all gamma data in our database. Additionally, our API access allows for easy download of csv files or import into Excel for further analysis and custom applications.

搜集汇总

背景与挑战

背景概述

该数据集由Trading Volatility提供，专注于美国股票和期权的Gamma Exposure（GEX）测量，采用专有的Skew-Adjusted方法以更准确反映做市商的gamma头寸，并分析其对市场反应的影响。数据包括gamma分布按行权价和到期日的量化细分，支持数值、图形和历史视图，并通过API提供csv文件下载，便于进一步分析和应用。