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Message

Gex

Ticker-level greek exposures, expressed as the $ value of hedging required when the underlying moves one percent.

fields14 topiclive-gex
▶Proto definition.proto 
message Gex {
  string ticker = 1;
  int64 timestamp = 2;
  double gamma_per_one_percent_move_oi = 3;
  double delta_per_one_percent_move_oi = 4;
  double charm_per_one_percent_move_oi = 5;
  double vanna_per_one_percent_move_oi = 6;
  string price = 7;
  double gamma_per_one_percent_move_vol = 8;
  double delta_per_one_percent_move_vol = 9;
  double charm_per_one_percent_move_vol = 10;
  double vanna_per_one_percent_move_vol = 11;
  double gamma_per_one_percent_move_dir = 12;
  double charm_per_one_percent_move_dir = 13;
  double vanna_per_one_percent_move_dir = 14;
}
Fields
ticker string 1
The underlying ticker.
timestamp int64 2
Unix timestamp of the latest update of day.
gamma_per_one_percent_move_oi double 3
The sum of every call and put contract of (open interest * gamma * price * price), with put gamma negated.
delta_per_one_percent_move_oi double 4
The sum of every call and put contract of (open interest * delta * price * price).
charm_per_one_percent_move_oi double 5
The sum of every call and put contract of (open interest * charm * price * 365), with put charm negated.
vanna_per_one_percent_move_oi double 6
The sum of every call and put contract of (open interest * vanna * price * iv), with put vanna negated.
price string 7
The price of the underlying
gamma_per_one_percent_move_vol double 8
The sum of every call and put contract of (volume * gamma * price * price), with put gamma negated.
delta_per_one_percent_move_vol double 9
The sum of every call and put contract of (volume * delta * price * price).
charm_per_one_percent_move_vol double 10
The sum of every call and put contract of (volume * charm * price * 365), with put charm negated.
vanna_per_one_percent_move_vol double 11
The sum of every call and put contract of (volume * vanna * price), with put vanna negated.
gamma_per_one_percent_move_dir double 12
The directional (bid is negated) sum of every call and put contract of (volume * gamma * price * price).
charm_per_one_percent_move_dir double 13
The directional (bid is negated) sum of every call and put contract of (volume * charm * price * 365).
vanna_per_one_percent_move_dir double 14
The directional (bid is negated) sum of every call and put contract of (volume * vanna * price * iv).