See homepage at http://www.excamera.com/sphinx/articles-openexr.html
To build from source, a C++ compiler and libraries and development headers for OpenEXR and zlib are required. In Ubuntu, the g++, libopenexr-dev and zlib1g-dev packages suffice all requirements. In OSX, the Homebrew packages openexr and zlib will suffice.
For the latest release, run:
pip install openexr
In case the PyPi package is not updated and you want to install from the master branch, you can do the following:
pip install git+https://github.com/jamesbowman/openexrpython.git
If you prefer, you can clone it and run the setup.py file as well. Use the following
commands to get a copy from Github and do the installation:
git clone https://github.com/jamesbowman/openexrpython
pip install ./openexrpython