get https://api.amberdata.com/markets/derivatives/analytics/trades-flow/gamma-exposures-snapshots
GEX aims to calculate the gamma exposure of Market Markers (MMs) and the resulting number of underlying contracts they must trade to keep their book delta-hedged. “Positive/long gamma” => more underlying stability because of “Buy low, sell high” “Negative/short gamma” => more underlying volatility because of “Sell low, buy high” Starting point is the direction of trades with our proprietary algorithm “AMBERDATA DIRECTION” composed of over 30 heuristics that estimate the “correct direction” = side of the initiator/aggressor of the trade at which other side there is "likely" a MMs. With this algorithm we are able to flag every trades by tracking the orderbook at millisecond level, to calculate and maintain a database of MMs gamma exposure
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].exchange | string | The exchange. |
| payload.data[index].currency | string | The underlying currency. |
| payload.data[index].snapshotTimestamp | number | This is the timestamp at the time of the observed GEX snapshot. |
| payload.data[index].expirationTimestamp | number | The is the underlying option contract expiration date and time. |
| payload.data[index].instrumentNormalized | number | This is the standardized option instrument name. |
| payload.data[index].putCall | number | The flag identifying whether the option instrument is a put or a call. |
| payload.data[index].dealerNetInventory | number | Total outstanding dealer inventory for the specific option instrument. This is the net number, reflecting the combines instrument buys and sells. |
| payload.data[index].dealerTotalInventory | number | This is the gross amount of option contracts dealers have outstanding, regardless of being bought or sold. |
| payload.data[index].gammaLevel | number | This is the gamma value. |
| payload.data[index].indexPrice | number | Spot price of the underlying currency. |