jensolson / spx-gamma-exposure Goto Github PK
View Code? Open in Web Editor NEWCalculates estimate of market maker gamma exposure derived from S&P 500 index options
Calculates estimate of market maker gamma exposure derived from S&P 500 index options
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.
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
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
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