Message

ScreenerGexState

Greek exposure metrics from two source paths. Before a live GEX update, open-interest fields 1 through 4 use daily aggregates calculated as Greek times open interest times 100. A live update replaces those fields with the price-scaled formulas below. Do not compare values from the two paths as if they used the same formula or scale. Volume and directional fields are absent until a live GEX update.

fields14 used byStockScreenerState

▶Proto definition.proto

message ScreenerGexState {
  Decimal gamma_per_one_percent_move_oi = 1;
  Decimal delta_per_one_percent_move_oi = 2;
  Decimal charm_per_one_percent_move_oi = 3;
  Decimal vanna_per_one_percent_move_oi = 4;
  Decimal gamma_per_one_percent_move_vol = 5;
  Decimal delta_per_one_percent_move_vol = 6;
  Decimal charm_per_one_percent_move_vol = 7;
  Decimal vanna_per_one_percent_move_vol = 8;
  Decimal gamma_per_one_percent_move_dir = 9;
  Decimal charm_per_one_percent_move_dir = 10;
  Decimal vanna_per_one_percent_move_dir = 11;
  Decimal net_change = 12;
  Decimal perc_change = 13;
  Decimal ratio = 14;
}

Fields

gamma_per_one_percent_move_oi Decimal 1

Before a live update, net gamma times open interest times 100, with put gamma negated. After a live update, sum(signed gamma * open interest) times the underlying price squared.

delta_per_one_percent_move_oi Decimal 2

Before a live update, source delta times open interest times 100. After a live update, sum(source delta * open interest) times the underlying price squared. Put delta retains its source sign.

charm_per_one_percent_move_oi Decimal 3

Before a live update, source charm times open interest times 100. After a live update, sum(signed charm * open interest) times the underlying price times 365. Put charm is negated in the live formula.

vanna_per_one_percent_move_oi Decimal 4

Before a live update, source vanna times open interest times 100. After a live update, sum(signed vanna * same-date 30-day IV * open interest) times the underlying price. Put vanna is negated in the live formula. The live value is zero when same-date implied volatility is unavailable.

gamma_per_one_percent_move_vol Decimal 5

Sum(signed gamma * session option volume) times the underlying price squared. Put gamma is negated.

delta_per_one_percent_move_vol Decimal 6

Sum(source delta * session option volume) times the underlying price squared. Put delta retains its source sign.

charm_per_one_percent_move_vol Decimal 7

Sum(signed charm * session option volume) times the underlying price times 365. Put charm is negated.

vanna_per_one_percent_move_vol Decimal 8

Sum(signed vanna * same-date 30-day IV * session option volume) times the underlying price. Put vanna is negated. The value is zero when same-date implied volatility is unavailable.

gamma_per_one_percent_move_dir Decimal 9

Dealer-view gamma aggregate with ask-side volume negative and bid-side volume positive, multiplied by the underlying price squared. Mid-side volume is excluded.

charm_per_one_percent_move_dir Decimal 10

Dealer-view charm aggregate with ask-side volume negative and bid-side volume positive, multiplied by the underlying price and 365. Mid-side volume is excluded.

vanna_per_one_percent_move_dir Decimal 11

Dealer-view vanna aggregate with ask-side volume negative and bid-side volume positive, scaled by same-date 30-day IV and the underlying price. Mid-side volume is excluded. The value is zero when same-date implied volatility is unavailable.

net_change Decimal 12

Difference between current and previous trading-date daily net gamma. Absent unless both values are available. Live GEX updates do not recalculate this field.

perc_change Decimal 13

Fractional daily net gamma change, calculated as (current - previous) / previous. Absent when the previous value is zero or either value is unavailable. Live GEX updates do not recalculate this field.

ratio Decimal 14

Absolute current daily put gamma divided by current daily call gamma. Absent when either side is unavailable or call gamma is zero. Live GEX updates do not recalculate this field.