Hi All,
Sorry for the delay in updates, been very busy with work and life.
v0.4 updates:
- Updated the GEX calculations to use the correct spot price. Also changed from LINE to HISTOGRAM as I think it is easier to read.
- Working on IV calculations using an approximation method from mobius
- Still working on expiration date code, minor updates and comments in code on how I think its working
I did try playing with a zero gamma data point, but I'm almost positive this is beyond the capability of the platform. It just requires too much calculations and crashes when I try to run it.
I think the plan is, once I figure out the date/strike code to be truly universal, I will split the script up into three scripts, one for each data type, to increase performance. Until then I will keep working on it as a single script. Also testing the performance is quite hard
