It's not really a static Python .exe, but PyInstaller can create a single executable that embeds all of its dependencies in the file. Except for a small delay at startup it works really well.
For example, PyInstaller itself changes drastically from version-to-version, and I've previously had to spend hours picking away at why "compiled" Grow worked before but no longer works post-PyInstaller updates.
Overall happy though, and much happier to write in Python and distribute a single executable without requiring folks to muck around with Python versions, pip, dependencies, etc.
PS: I'm the original author of PyInstaller. I obviously love it but it's a gross hack around the fact that Python doesn't have a serious distribution story.