GWR (Geographically Weighted Regression) is a widely-used tool for exploring spatial heterogeneity of processes over geographic space. It calibrates location-specific parameter estimates, which makes it computationally intensive. The maximum number of data points that can be handled by current open-source GWR software is approximately 15,000 observations on a standard desktop. In the era of big data, this places a severe limitation on the use of GWR. To overcome this limitation, we propose a highly scalable, open-source FastGWR implementation based on Python and the Message Passing Interface (MPI) that scales to the order of millions of observations. FastGWR optimizes memory usage along with parallelization to boost performance significantly. To illustrate the performance of FastGWR, a hedonic house price model is calibrated on approximately 1.3 million single family residential properties from a Zillow dataset for the city of Los Angeles, which is the first effort to apply GWR to a dataset of this size. The results show that FastGWR scales linearly as the number of cores within the High Performance Computing (HPC) environment increases. It also outperforms currently available open-sourced GWR software packages with drastic speed reductions – up to thousands of times faster – on a standard desktop.