Implement Gamma Exposure (GEX) Calculation and Curve Representation

[joaquinbejar]

Implement the Gamma Exposure (GEX) calculation for the option chain, along with a method to return a Curve representation of GEX. GEX represents the second-order price risk in the options market and is crucial for understanding potential market stability or instability.

The GEX calculation should:

• Consider both call and put options.
• Handle both long and short positions.
• Apply the appropriate contract multiplier.
• Aggregate results by strike price.
• Compute interpolated gamma exposure at the current spot price (spot GEX).
• Provide a Curve representation for visualization and analysis.

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Tasks

Implementation:

• Create a structure to hold GEX-related data, including total GEX, exposure by strike, and interpolated spot GEX.
• Implement a method to calculate GEX by iterating through the option chain, computing values for each position, and aggregating results by strike price.
• Implement interpolation to estimate the gamma exposure at the current spot price.
• Implement a method to transform the aggregated GEX data into a Curve representation, ensuring it captures key strike price points and their corresponding exposures.

Testing:

• Write unit tests to validate the correctness of GEX calculations across different market conditions.
• Include edge cases such as:
  • High and low volatility.
  • Strike prices very close to or far from the spot.
  • Long and short positions.
  • Effects of different contract multipliers.
  • Ensuring the curve representation properly handles empty or irregular data points.

Documentation:

• Document the structure and methods related to GEX calculations.
• Explain the purpose and expected output of the curve representation.
• Provide usage examples demonstrating how to use the implemented methods.

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Additional Notes

• The implementation should prioritize accuracy and computational efficiency.
• Ensure compatibility with the existing options system architecture.
• The Curve representation will be useful for visualizing GEX changes across different strike prices.

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Labels

enhancement, greeks, options-trading, visualization, testing, documentation