Introduction
Core Convexity streams live option chains over a WebSocket, at cadences from one minute down to 100 milliseconds.
Personal, non-commercial use only. API access is licensed for your own private use. You may not use it for a business or redistribute the data.
| Your question | Start here |
|---|---|
| How do I connect and subscribe? | Realtime API |
| How do I read the binary frames? | Chain frames |
Why our numbers can differ
gex uses the standard dollar gamma formula:
GEX = Γ × OI × 100 × Spot² × 0.01The 100 is the shares in one contract, and the 0.01 scales the result to a 1% move. They cancel, so this equals Γ × OI × Spot². Calls count as positive and puts as negative.
Our numbers can still differ from other tools and from earlier versions of Core Convexity:
- Scale: leaving out the 0.01 gives dollars per 100% move, which is 100 times larger. Earlier versions of Core Convexity did this, so divide those figures by 100 to compare.
- American exercise: stock and ETF options can be exercised early. We remove that early-exercise premium before solving implied volatility, using the Bjerksund-Stensland 2002 approximation. A plain Black-Scholes solve treats the premium as volatility.
- Forward: each expiry uses its own forward implied from the chain, so dividends come from option prices rather than a separate feed. Calls and puts at a strike get nearly the same gamma. Tools that solve each contract separately against a spot price can show very different call and put gamma, and that can flip the sign of net GEX near the money, where call and put open interest are close.
- Rates: we use the US Treasury's daily par yield curve, read at each option's time to expiry, rather than one flat rate.
- Timing: gamma moves through the day, so compare numbers from the same minute.