GEX Worker — Cloudflare Worker

Gamma Exposure (GEX) computation engine deployed as Cloudflare Worker. Fetches CBOE options chains, calculates GEX levels in real-time.

Architecture

Cron (every 15 min)
    │
    ▼
┌──────────────────┐
│  GEX Worker      │
│  (Cloudflare)    │
│                  │
│  1. CBOE Spot    │──→ cboe.com/education/tools/trade-optimizer/symbol-info/
│  2. CBOE Chain   │──→ cdn.cboe.com/api/global/delayed_quotes/options/_SPX.json
│  3. Compute GEX  │──→ Gamma × OI × Spot² / 100
│  4. Write to KV  │──→ Cloudflare KV Namespace
│  5. Alert if Δ   │──→ regime change detection
└──────────────────┘
    │
    ▼
┌──────────────────┐
│  KV Namespace    │
│  gex:SPX:latest  │
│  gex:SPX:previous│
│  gex:VIX:latest  │
│  gex:alerts      │
└──────────────────┘
    │
    ▼
┌──────────────────┐
│  HF Space        │
│  Volatility Vince│──→ Telegram @volatilityvincebot
│  /gex command    │
└──────────────────┘

API Endpoints

Method	Endpoint	Description
GET	/health	Worker status + version
GET	/latest?symbol=SPX	Latest GEX data
GET	/previous?symbol=SPX	Previous run
GET	/compare?symbol=SPX	Regime change detection
GET	/symbols	All configured symbols
GET	/alerts	Last 20 regime alerts
POST	/trigger?symbol=SPX	Manual trigger
POST	/webhook	TradingView Alert bridge
POST	/subscribe	Telegram subscription
POST	/unsubscribe	Remove subscription

Response Format

{
  "timestamp": "2026-06-03T20:00:00.000Z",
  "symbol": "SPX",
  "spot": 7553.68,
  "spotSource": "cboe",
  "iv30": 13.16,
  "regime": "NEGATIVE_GAMMA",
  "netGex": -290600000,
  "netGexFormatted": "-290.6M",
  "callWall": {"strike": 7555, "gex": "19.9M"},
  "putSupport": {"strike": 7555, "gex": "187.3M"},
  "hvl": 7555,
  "chainSource": "cboe",
  "strikeCount": 249,
  "frontExpiry": "2026-06-03",
  "dte": 0
}

GEX Formula

Standard (institutional): GEX = Gamma × OI × Spot² / 100

• Gamma: per $1 move (from CBOE or BSM approximation)
• OI: Open Interest
• Spot: Underlying price
• Result: Dollar exposure per 1% move

Gamma approximation (when CBOE gamma=0):

function bsmGamma(S, K, sigma, T) {
  const d1 = (Math.log(S/K) + 0.5*sigma*sigma*T) / (sigma*Math.sqrt(T));
  return Math.exp(-0.5*d1*d1) / (Math.sqrt(2*Math*S*sigma*Math.sqrt(T));
}

Data Sources (Priority Order)

1. CBOE — Primary for SPX, VIX, NDX, RUT (delayed 15min, no rate limit)
2. Yahoo Finance — Fallback for spot prices
3. BSM Synthetic — Last resort chain generation

Deployment

# Requires: CLOUDFLARE_API_TOKEN env var
cd ~/Documents/gex-worker
npx wrangler deploy

Configuration

wrangler.toml:

• KV Namespace: GEX_KV (id: bb9f6786bd5242bc8c89ac3c676916f3)
• Symbols: SPX,VIX (configurable via SYMBOLS env var)
• Cron: */15 * * * *

Files

gex-worker/
  wrangler.toml          -- Config + KV binding
  package.json           -- type: module, wrangler
  src/index.js           -- Main: Cron + HTTP endpoints (all phases inlined)
  pinescript/
    GEX_Levels_Regime.pine  -- TradingView PineScript indicator
  test-gex.mjs           -- Unit tests

Krupp Capital Quantitative Desk | Precision in Chaos, Alpha in Variance.

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⚠️ Disclaimer

Dient ausschließlich der Unterhaltung und Bildung. Keine Anlageberatung.