spx-dealer-gamma

Computes SPX dealer gamma exposure (GEX) from free CBOE delayed option quotes (~15-minute delay, official open interest and implied volatility — no brokerage market-data entitlement required). Exposed as an MCP tool for Claude Desktop.

Why CBOE delayed quotes

CBOE lists SPX/SPXW natively, so this is a first-party source for OI and IV on the exact index most dealer-gamma analysis targets — not a proxy via SPY. The public endpoint (https://cdn.cboe.com/api/global/delayed_quotes/options/_SPX.json) also returns CBOE's own precomputed per-contract Greeks (delta, gamma, vega, theta), so the current-spot GEX snapshot uses their greeks directly rather than a re-derived model.

Method

• Current-spot net GEX: sign * gamma * open_interest * 100 * spot^2 * 0.01, summed over all contracts with open interest > 0. Calls contribute positively, puts negatively — the standard convention used by most public GEX calculators (dealers modeled as net long gamma via calls / net short via puts). This is a modeling assumption, not directly observable dealer positioning.
• Zero-gamma flip level: the current-spot GEX above is a single point. To find where dealer gamma flips sign, this recomputes Black-Scholes gamma for every contract with a valid IV across a scan of hypothetical spot prices (default ±15% band, 121 steps), holding each contract's own quoted IV/strike/expiry fixed, and finds where cumulative signed GEX crosses zero. This does not shift the vol surface with spot (no skew dynamics) — a known simplification shared by most open-source GEX trackers.
• Contracts with iv <= 0 (stale/no recent quote) are excluded from the flip scan but still included in the current-spot snapshot via CBOE's own gamma.

Files

• gamma.py — data fetch + calculation, runnable standalone (python gamma.py)
• server.py — MCP server wrapper exposing spx_dealer_gamma as a tool

Setup

python -m venv .venv
./.venv/Scripts/pip install -r requirements.txt   # Windows
# ./.venv/bin/pip install -r requirements.txt      # macOS/Linux

Claude Desktop

Add to claude_desktop_config.json:

"spx-dealer-gamma": {
  "command": "C:\\path\\to\\spx-dealer-gamma\\.venv\\Scripts\\python.exe",
  "args": ["C:\\path\\to\\spx-dealer-gamma\\server.py"]
}

Limitations

• 15-minute delayed data, not live.
• Aggregates all listed SPX/SPXW expiries (including LEAPS), not just the front-month/0DTE window some trackers restrict to — net GEX magnitude isn't directly comparable to trackers that scope differently.
• Dealer-side sign convention is an assumption, not observed fact.
• No vol-surface skew shift in the flip scan (see Method above).