This paper analyzes Large Language Models (LLMs) with regard to their programming exercise generation capabilities. Through a survey study, we defined the state of the art, extracted their strengths and weaknesses and finally proposed an evaluation matrix, helping researchers and educators to decide which LLM is the best fitting for the programming exercise generation use case. We also found that multiple LLMs are capable of producing useful programming exercises. Nevertheless, there exist challenges like the ease with which LLMs might solve exercises generated by LLMs. This paper contributes to the ongoing discourse on the integration of LLMs in education.