jensolson/spx-gamma-exposure

Calculates estimate of market maker gamma exposure derived from S&P 500 index options

spx-gamma-exposure's Issues

"None of ['Trade Date'] are in the columns"

  File "pandas\core\frame.py", line 4555, in set_index
    raise KeyError(f"None of {missing} are in the columns")
KeyError: "None of ['Trade Date'] are in the columns"

Hi there, I am running into an issue. I think this issue might be a formatting issue from my CBOE download. Reviewing the data, it looks like several fields are missing. Here is a sample data.

Expiration Date,Calls,Last Sale,Net,Bid,Ask,Vol,IV,Delta,Gamma,Open Int,Strike,Puts,Last Sale,Net,Bid,Ask,Vol,IV,Delta,Gamma,Open Int
11/09/2020,SPXW201109C00900000,0,0,2625.5,2677,0,0.02,0.9999,0,0,900.000,SPXW201109P00900000,0,0,0,0.05,0,0.02,-0.0001,0,0

It could also be how I am reading the csv file into a pandas data frame, here is my main function.

  df = pd.read_csv("quotedata.csv")
   gex.TRTH_GEX(df)

Thanks for your contribution.

quote table format changed since...can u update please ?

how do i download the spx options chain csv file every minute

Hi,

is there any way to download the spx options chain csv file every minute ?
apparently it doenst take any KVP to request and download the csv file from python. Appreciate any pointers here
https://www.cboe.com/delayed_quotes/spx/quote_table

Unable to find pyVolLib

Hi there,

I'm unable to pip install pyVolLib and have been unable to find the package from Google searches.

Are you using py_vollib? http://vollib.org/documentation/python/1.0.2/
Simply replacing "pyVolLib" with "py_vollib" doesn't work though. The modules you reference aren't in py_vollib.

If you're using a custom package or one you wrote yourself, would love if you can share.

Sincerely,

Tom