Volatility Regime Engine

A quantitative framework for detecting dealer gamma regimes, cross-asset fragility, and volatility surface shifts.

Features

• Dealer Gamma Detection
• Flow Amplification Modeling
• Cross-Asset Flip Risk
• Early Crash Warning Signals
• State Transition Modeling

Understanding Terminology

Regime_score

$$ Γ=∂^2v/ds^2 $$ Aggregate dealer gamma exposure (GEX): $$ GEX(S)=∑iΓi(S)⋅OIi⋅ContractSize $$ $$ GEX(S)= i ∑ ​

Γ i ​

(S)⋅OI i ​

⋅ContractSize

Your normalized gamma score likely resembles:

GammaScore=GEX∣GEX∣+λ GammaScore= ∣GEX∣+λ GEX ​

or a z-score of GEX.

Installation

git clone https://github.com/kncsolutions/vol_regime_engine.git
cd vol_regime_engine
pip install .