38 lines
1.4 KiB
Markdown
38 lines
1.4 KiB
Markdown
 | # Gamma Exposure (GEX)
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Dealer gamma exposure computed from an option chain and drawn on the chart in
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MQL5.
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Companion code for the MQL5 article: https://www.mql5.com/en/articles/23410
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## What it does
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Gamma exposure estimates how dealers have to hedge as spot moves. Where net
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gamma is positive, hedging leans against price and dampens it. Where it is
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negative, hedging pushes with price. The zero-gamma flip is the level between
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the two, and it is the number most of this is built to find.
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The Black-Scholes core prices options, inverts price to implied volatility, and
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returns gamma. `GexData` aggregates the chain into a profile per strike, and
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`GexMap.mq5` draws it beside the price axis.
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The chain can come from a CSV or from native MetaTrader 5 options, so the tool
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works whether or not your broker carries the instruments.
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## Layout
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```
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Include/GEX/BlackScholes.mqh pricing, IV inversion, greeks
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Include/GEX/GexData.mqh chain aggregation and the flip level
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Include/GEX/GexProviderNative.mqh native MT5 options feed
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Indicators/GEX/GexMap.mq5 the chart map
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Files/GEX/gex_chain_sample.csv sample chain, for running without a feed
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```
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The sample CSV lets you run the indicator before wiring up a live chain.
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## Disclaimer
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Educational code. Past behaviour of any model or dataset says nothing about
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future results. Test on your own data and broker conditions before drawing
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conclusions.
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