GEX exposures by strike
Returns the most recent GEX exposures across all strikes for the given ticker on a given date. Calculated either with open interest or with volume.
GEX is the assumed $ value of the given greek (ie. gamma) exposure that market makers need to hedge per 1% change of the underlying stock’s price movement. A positive value is long and a negative value is short.
Investors and large funds lower risk and protect their money by selling calls and buying puts. Market makers provide the liquidity to facilitate these trades.
GEX assumes that market makers are part of every transaction and that the bulk of their transactions are buying calls and selling puts to investors hedging their portfolios.
If a market maker has one contract open with a gamma value of 0.05, then if the underlying stock price moves by 1%, that market maker is exposed to $[0.05 * 100 shares * 0.01 * stock price * underlying parameter of the greek variable (for gamma this variable is the stock price)]. The total market maker exposure is calculated by summing up the exposure of all open contracts determined by the daily open interest or by volume.
Market makers profit from the bid-ask spreads and as such, they constantly gamma hedge (they buy and sell shares to keep their positions delta neutral).
Long call positions are positive gamma - as the stock price increases and delta rises (approaches 1), market makers hedge by selling shares, and they buy shares if the stock price decreases and delta falls.
Short put positions are negative gamma - as the stock price increases and delta falls (approaches -1), market makers hedge by buying shares, and they sell shares if the stock price decreases and delta rises.
As such, in the event of large positive gamma, volatility is suppressed as market makers will hedge by buying as the stock price decreases and selling as the stock price increases. And in the event of large negative gamma, volatility is amplified as market makers will hedge by buying as the stock price increases and selling as the stock price decreases.
In the case of directionalized volume, the bid/ask spread is used when calculating the exposures. When a trade is made closer to the ask, the Market Maker would be selling the contract and when a trade is closer to the bid then the Market Maker would be buying the contract.
For example, the gamma exposure for directional volume is call_gamma_ask, and the value will be negative since a trade made at the ask means the market makers are selling/short the call.
To get the full directionalized exposure, just sum up the call ask, call bid, put ask and put bid of a greek and strike.
Summing every strike of a ticker reproduces the ticker level values of the GEX exposures per 1 min endpoint: oi = call_oi + put_oi, vol = call_vol + put_vol and directional = call_bid + call_ask + put_bid + put_ask.
Strikes are returned in ascending order, up to 500 per request. A ticker with a wider chain than that needs every page collected before the sums line up, so walk page from 0 until a page comes back empty. Narrowing with min_strike or max_strike leaves out the exposure of the excluded strikes.
Each strike carries its own time and price, recorded when the greek exposure is recalculated. Recalculation triggers on the daily open interest update, when a new transaction is observed on the strike, or the contract-level greeks change due to a significant move in price, volatility, or time. This occurs at most once every 30 seconds. Strikes within this response can differ in time, possibly by hours when a strike does not trade often and its greeks do not change much.
For real time streaming of the same data, subscribe to the gex_strike:{TICKER} websocket channel, see https://api.unusualwhales.com/docs/websocket/gex.
Authorizations
Bearer authentication header of the form Bearer <token>, where <token> is your auth token.
Path Parameters
A single ticker
"AAPL"
Query Parameters
A trading date in the format of YYYY-MM-DD. This is optional and by default the last trading date.
"2024-01-18T00:00:00.000Z"
The minimum strike. Min: 0.
x >= 0120.5
The maximum strike. Min: 0.
x >= 01200
How many items to return. Max: 500. Min: 1. Returns up to 500 when omitted.
1 <= x <= 50010
Page number (use with limit). Starts on page 0.
1
Response
The call charm exposure when Market Makers are selling contracts when a transactions is closer to the ask side.
"102382359.5786"
The call charm exposure when Market Makers are buying contracts when a transactions is closer to the bid side.
"102382359.5786"
The sum of the charm exposure values of all call transactions at a given strike.
"102382359.5786"
The sum of the charm exposure values of all call transactions at a given strike.
"102382359.5786"
The call delta exposure when Market Makers are selling contracts when a transactions is closer to the ask side.
"227549667.4651"
The call delta exposure when Market Makers are buying contracts when a transactions is closer to the bid side.
"227549667.4651"
The sum of the delta exposure values of all call transactions at a given strike.
"227549667.4651"
The sum of the delta exposure values of all call transactions at a given strike.
"227549667.4651"
The call gamma exposure when Market Makers are selling contracts when a transactions is closer to the ask side.
"-102382359.5786"
The call gamma exposure when Market Makers are buying contracts when a transactions is closer to the bid side.
"102382359.5786"
The sum of the gamma exposure values of all call transactions at a given strike.
"9356683.4241"
The sum of the gamma exposure values of all call transactions at a given strike.
"9356683.4241"
The call vanna exposure when Market Makers are selling contracts when a transactions is closer to the ask side.
"152099632406.9564"
The call vanna exposure when Market Makers are buying contracts when a transactions is closer to the bid side.
"102382359.5786"
The sum of the vanna exposure values of all call transactions at a given strike.
"152099632406.9564"
The sum of the vanna exposure values of all call transactions at a given strike.
"152099632406.9564"
The underlying price used in calculations. NOTE: For any index ticker this will be the current ATM strike.
"4650"
The put charm exposure when Market Makers are selling contracts when a transactions is closer to the ask side.
"102382359.5786"
The put charm exposure when Market Makers are buying contracts when a transactions is closer to the bid side.
"102382359.5786"
The sum of the charm exposure values of all put transactions at a given strike.
"102382359.5786"
The sum of the charm exposure values of all put transactions at a given strike.
"102382359.5786"
The put delta exposure when Market Makers are selling contracts when a transactions is closer to the ask side.
"-191893077.7193"
The put delta exposure when Market Makers are buying contracts when a transactions is closer to the bid side.
"-191893077.7193"
The sum of the delta exposure values of all put transactions at a given strike.
"-191893077.7193"
The sum of the delta exposure values of all put transactions at a given strike.
"-191893077.7193"
The put gamma exposure when Market Makers are selling contracts when a transactions is closer to the ask side.
"-102382359.5786"
The put gamma exposure when Market Makers are buying contracts when a transactions is closer to the bid side.
"102382359.5786"
The sum of the gamma exposure values of all put transactions at a given strike.
"9356683.4241"
The sum of the gamma exposure values of all put transactions at a given strike.
"9356683.4241"
The put vanna exposure when Market Makers are selling contracts when a transactions is closer to the ask side.
"102382359.5786"
The put charm exposure when Market Makers are buying contracts when a transactions is closer to the bid side.
"102382359.5786"
The sum of the vanna exposure values of all put transactions at a given strike.
"152099632406.9564"
The sum of the vanna exposure values of all put transactions at a given strike.
"152099632406.9564"
The strike price of an option contract.
"150.0"
The UTC timestamp of the calculation
"2023-12-13T05:00:41.481Z"
