The data behind the number: Cboe, OPRA, and the NDX link

A GEX is worth what the data feeding it is worth. This is the driest lesson of the course, and the one that will keep you from trusting a number that does not deserve it.

Two sources, two qualities

Cboe participant data. Cboe is the exchange where SPX options trade. It publishes data that distinguishes the nature of participants (market makers, customers, firms) and the direction of transactions. With it, a provider no longer has to guess who carries what by convention: it observes the positioning. It is rare and expensive data, and it is what DeepGamma builds the SPX GEX on, at a resolution of about one minute, with nine months of replayable history.

OPRA data. OPRA is the consolidated feed of options quotes and trades across all US exchanges. It says what traded and at what price. It does not say who, nor in which direction. A GEX built on OPRA therefore rests entirely on a sign convention and a proprietary formula.