calculate_proxy_gamma
Calculate weighted proxy gamma exposure for ETF components to estimate options-driven hedging flows.
Instructions
Calculate weighted proxy GEX for an ETF with explicit components.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| components | Yes | ||
| expirations | No | ||
| target_symbol | Yes | ||
| dividend_yield | No | ||
| risk_free_rate | No | ||
| max_expirations | No | ||
| sign_convention | No | calls_positive_puts_negative |