Skip to content

README.md

Latest commit

 

History

History
380 lines (261 loc) · 38.5 KB

README.md

File metadata and controls

380 lines (261 loc) · 38.5 KB
Raw

Awesome Options Analytics Awesome

A curated list of tools, libraries, data providers, and resources for options analytics, volatility research, and derivatives trading. Inspired by the awesome project.

Options analytics spans a wide problem space: computing and interpreting options greeks (delta, gamma, theta, vega, vanna, charm), modeling the implied volatility surface and volatility smile, calculating gamma exposure (GEX) and dealer positioning to understand market microstructure, analyzing 0DTE and intraday options flow, fitting stochastic volatility models such as Heston and SABR, and applying systematic risk and position-sizing frameworks like the Kelly Criterion. This list collects the tools, data providers, libraries, papers, and communities relevant to each of these areas.

Contributions welcome. See Contributing.

Contents

APIs and Data Providers

  • FlashAlpha - Computed dealer-positioning analytics API: live options screener (filter/rank by GEX, VRP, IV, greeks, harvest scores, and custom formulas), GEX (gamma exposure), DEX (delta exposure), VEX (vanna exposure), CHEX (charm exposure), full greeks, open interest, 0DTE analytics, and AI-powered narrative analysis across equities and indices. Also exposes options strategy signals (flow-anomaly, expiry-positioning, zero-DTE, dealer-regime, vol-carry, yield-enhancement, surface-anomaly, skew, term-structure, tail-pricing with a uniform 0-100 decision-envelope score and ranked structures), earnings volatility analytics (calendar, expected-move decomposition, IV crush, VRP, dealer positioning, strategy suitability, screener), multi-leg structure P&L and aggregate greeks, dispersion/implied correlation, intraday 0DTE flow (snapshot, series, hedge-flow, heatmap, strike-flow), a macro VIX-state regime gauge, the SVI volatility surface, skew-term and spot-vol correlation, and expected move. The only public source of aggregate vanna and charm exposure, and point-in-time replay since 2017. REST endpoints and SDKs in Python, JavaScript, .NET, Java, Go, plus an MCP server.
  • CBOE DataShop - Historical and real-time options data directly from the exchange, including VIX data, settlement prices, and implied volatility indexes.
  • OptionMetrics - Academic and institutional-grade historical options data (IvyDB), widely used in finance research for implied volatility surfaces and standardized greeks.
  • ORATS - Options data API with earnings forecasts, volatility surface data, backtesting tools, and historical greeks.
  • Polygon.io - Real-time and historical options data REST and WebSocket API. Aggregates, trades, quotes, and snapshots for US equity options.
  • Tradier - Brokerage API with options chains, greeks, market data, and order management. Free sandbox tier available.
  • Schwab Developer (formerly TD Ameritrade) - Options chain API with greeks, implied volatility, and real-time quotes for TD/Schwab account holders.
  • Interactive Brokers API - TWS API and Client Portal API providing options data, greeks, and order routing for IB account holders.
  • Alpaca Markets - Options market data and trading API with free and paid tiers.
  • Market Data App - Options chain and historical data API with a generous free tier.

Python Libraries

  • flashalpha - Official Python client for the FlashAlpha API. Provides convenient access to GEX, DEX, VEX, greeks, OI data, and narrative analysis with pandas integration.
  • flashalpha-fill-simulator - Realistic limit-order fill simulator for options credit/debit spreads. Models post-and-wait limits, stale-quote guards, deterministic same-bar tiebreaks, and a patient-then-cross exit. Engine-agnostic with zero runtime dependencies.
  • QuantLib-Python - Python bindings for the QuantLib quantitative finance library. Covers a wide range of pricing models, term structures, and volatility surfaces.
  • py_vollib - Fast Black-Scholes, Black-76, and implied volatility calculations using LetsBeRational under the hood.
  • py_vollib_vectorized - Vectorized (NumPy-compatible) wrapper around py_vollib for high-throughput greeks computation.
  • mibian - Options pricing library for Black-Scholes, Merton, Garman-Kohlhagen, and related models.
  • options - Lightweight library for options pricing and greeks computation.
  • yfinance - Yahoo Finance market data downloader. Includes options chains with basic greeks and implied volatility.
  • pandas-ta - Technical analysis library built on pandas, useful for computing realized volatility and volatility-related indicators on underlying price series.
  • pydantic-settings - Commonly used for configuration management in options analytics pipelines.
  • arch - Autoregressive conditional heteroskedasticity (ARCH/GARCH) models for realized volatility and volatility forecasting.
  • scipy - Foundational scientific computing library used extensively for numerical options pricing and optimization.

Options Pricing and Greeks

Black-Scholes and Analytical Models

  • py_vollib - Implements Black-Scholes and Black-76 with fast implied volatility solving via LetsBeRational.
  • QuantLib - Comprehensive C++ library (with Python bindings) covering Black-Scholes-Merton, analytical barrier options, Asian options, and more.
  • black-scholes-rs - Rust implementation of Black-Scholes with Python bindings via PyO3, designed for performance-critical greeks computation.

Binomial and Lattice Models

  • QuantLib - Includes CRR (Cox-Ross-Rubinstein), Jarrow-Rudd, and other lattice models for American-style options pricing.

Monte Carlo Pricing

  • QuantLib - Provides Monte Carlo engines for path-dependent options and exotic derivatives.
  • finmc - Fast Monte Carlo simulation framework for financial derivatives pricing.

Implied Volatility Solvers

  • LetsBeRational - Peter Jaeckel's near-exact rational function approximation for Black-Scholes implied volatility (paper and reference implementation).
  • py_vollib - Wraps LetsBeRational for production-grade IV solving.

Volatility Analysis

Volatility Surface and Smile

  • QuantLib - Supports SVI parameterization, SABR model calibration, and volatility surface interpolation.
  • pysabr - Python implementation of the SABR (Stochastic Alpha Beta Rho) volatility model, widely used for vol smile interpolation.
  • ssvi - Surface SVI (SSVI) implementation for arbitrage-free volatility surface parameterization.
  • volatility-surface - Jupyter notebooks covering vol surface construction and SVI calibration from the book "Financial Models with Numerical Methods."
  • FlashAlpha SVI Surface - Fitted SVI (stochastic volatility inspired) surface parameters per symbol — raw SVI params by expiry slice for arbitrage-aware implied volatility surface modeling, smile/skew interpolation, and re-pricing off-grid strikes. Also exposes skew-term structure, spot-vol correlation, and expected-move analytics. REST API and SDKs in five languages plus an MCP server.

Skew, Term Structure, and Expected Move

  • FlashAlpha Skew-Term - Volatility skew and term-structure analytics: per-expiry skew slope and curvature, ATM vol term structure, contango/backwardation state, and skew-term signals for relative-value and calendar trades.
  • FlashAlpha Spot-Vol Correlation - Spot-vol correlation diagnostics quantifying the leverage effect (negative correlation between spot returns and implied volatility), useful for skew interpretation and vanna/charm hedging context.
  • FlashAlpha Expected Move - Options-implied expected move (one-standard-deviation range) by expiry, derived from ATM straddle pricing and the implied volatility surface for event and range trading.

Realized Volatility

  • arch - GARCH-family models for realized and forecasted volatility. Supports EGARCH, TARCH, and HAR-RV.
  • realized - Oxford-Man Institute Realized Library: daily realized volatility measures for major indices.
  • pandas-ta - Includes Garman-Klass, Parkinson, Rogers-Satchell, and Yang-Zhang realized volatility estimators.

VIX and Variance

Gamma Exposure (GEX)

Gamma Exposure (GEX) measures the aggregate gamma held by market makers on a given underlying, used to infer dealer hedging flows and potential pinning or amplification effects on price.

References and Methodology

  • gex-explained - Explains GEX from first principles: the formula, dealer hedging regimes (positive vs negative gamma), the gamma flip level, call wall, put wall, and how to compute GEX from a raw options chain. Includes runnable Python code and sample data.
  • SpotGamma - Commercial platform specializing in gamma exposure, charm, vanna, and options flow analysis. Publishes educational content on GEX methodology.
  • Squeezemetrics White Paper - "The Implied Order Book" — influential paper on dealer gamma positioning and market microstructure.

Academic Papers

Tools

  • FlashAlpha - Production API providing GEX, DEX (delta exposure), VEX (vanna exposure), and CHEX (charm exposure) by strike, expiration, and aggregate, plus narrative summaries. The only public source of aggregate vanna and charm exposure and point-in-time replay since 2017.
  • flashalpha-examples - Self-contained Python scripts and notebooks demonstrating GEX dashboards, IV rank scanning, 3D volatility surface visualization, dealer positioning analysis, and Kelly Criterion position sizing using the FlashAlpha API.
  • OpenBB - Open-source investment research platform with options flow and GEX visualization capabilities via community extensions.

Dealer Positioning and Market Microstructure

Dealer positioning analysis focuses on inferring how market makers' hedging obligations — driven by their options inventory — create predictable, measurable pressure on underlying prices. The key exposures tracked are GEX (gamma), DEX (delta), VEX (vanna), and CHEX (charm), each of which drives hedging flows under different market conditions.

References and Papers

Tools and Data

  • FlashAlpha - Provides GEX, DEX, VEX, and CHEX profiles by strike and expiration for equities and indices, along with aggregate positioning summaries and AI narrative analysis. The only public source of aggregate vanna and charm exposure and point-in-time replay since 2017. REST API and SDKs in five languages.
  • FlashAlpha Exposure Sheet - Full dealer-exposure sheet per symbol: GEX, DEX, VEX, and CHEX combined by strike and expiry in one call, with min-OI filtering — a single consolidated view of dealer positioning across all greeks.
  • FlashAlpha Exposure Term Structure - Dealer exposure aggregated across the expiry term structure, separating front-month from back-month gamma/delta/vanna/charm to reveal where hedging pressure concentrates along the curve.
  • FlashAlpha Exposure Basket - Weighted-basket dealer exposure across multiple symbols in a single request, for index proxies, sector baskets, and portfolio-level GEX/DEX/VEX/CHEX aggregation.
  • FlashAlpha OI-Diff - Day-over-day open-interest change by strike (top-N movers), surfacing fresh positioning and where new dealer inventory is being built.
  • gex-explained - Walkthrough of dealer hedging regimes, the gamma flip level, and the mechanics behind positive and negative gamma environments.
  • SpotGamma - Commercial platform tracking dealer gamma, charm, vanna, and options flow with a focus on SPX/SPY and major indices.

0DTE and Intraday Options

Zero-days-to-expiration (0DTE) options — contracts expiring the same day they are traded — have grown to represent a substantial and growing share of total SPX options volume. Their short lifespan creates distinct dynamics: rapid theta decay, concentrated gamma near the money, and large intraday hedging flows that can move the underlying.

Papers and Research

Tools and Data

  • CBOE DataShop - Source for historical SPX and SPXW intraday trade and quote data, including 0DTE contracts.
  • Thetadata - Tick-level historical options data provider with good coverage of short-dated and 0DTE contracts.
  • FlashAlpha - Exposure summaries include zero-DTE contribution breakdowns (DEX, GEX) to isolate 0DTE dealer hedging pressure from longer-dated positioning.
  • FlashAlpha 0DTE Flow - Intraday zero-DTE flow analytics: live snapshot, intrabar time series (30s/1m/5m/15m bars), dealer hedge-flow (calls/puts side), strike-by-time heatmaps (GEX/DEX/VEX/CHEX/OI/signed-flow, raw or delta mode), and per-strike signed-flow — purpose-built for monitoring same-day SPX/SPY 0DTE dealer hedging pressure and gamma pinning. REST API and SDKs in five languages plus an MCP server.
  • Polygon.io - Intraday and real-time options data via REST and WebSocket API, suitable for building 0DTE flow monitors.

Options Strategy Signals

Strategy signals turn raw dealer-positioning and volatility analytics into actionable, scored trade ideas. A good signal layer normalizes heterogeneous setups onto a common decision scale and proposes concrete option structures (verticals, condors, calendars, ratios) with strikes, widths, and credits.

Tools

  • FlashAlpha Strategy Signals - Ten options strategy-signal endpoints under a uniform decision envelope (0-100 conviction score plus ranked, ready-to-trade structures): flow-anomaly, expiry-positioning, zero-DTE, dealer-regime, vol-carry, yield-enhancement, surface-anomaly, skew, term-structure, and tail-pricing. Each returns a directional/neutral stance, rationale, and candidate spreads with strikes and widths. REST API and SDKs in Python, JavaScript, .NET, Java, Go, plus an MCP server.

Signal Families

  • Flow-anomaly - Detects unusual options order flow versus baseline and proposes structures aligned with the anomalous positioning.
  • Expiry-positioning - Scores how dealer/customer open interest is positioned into a given expiry; suggests verticals and condors around walls.
  • Zero-DTE - Same-day expiry signal combining 0DTE gamma, pin risk, and flow into intraday call/put-seller and spread setups.
  • Dealer-regime - Classifies the positive vs negative gamma regime and recommends trend-following or mean-reversion structures accordingly.
  • Vol-carry - Harvestable variance-risk-premium setups (short-vol verticals) calibrated by target short delta, max width, and minimum credit.
  • Yield-enhancement - Covered-call and put-write overlays by target delta and structure, with optional earnings exclusion.
  • Surface-anomaly - Flags mispricings in the implied volatility surface (rich/cheap slices) for relative-value spreads.
  • Skew - Scores put/call skew dislocations and suggests risk-reversals and skew trades.
  • Term-structure - Contango/backwardation signal for calendar and diagonal spreads across expiries.
  • Tail-pricing - Evaluates the richness/cheapness of tail (wing) options for convex hedges and tail trades.

Earnings Volatility Analytics

Earnings events drive a predictable implied-volatility ramp into the report and a sharp IV crush afterward. Earnings options analytics quantify the market-implied expected move, decompose it into diffusive vs jump components, measure the historical variance risk premium around prints, and surface which names offer the best short-vol or long-vol setups.

Tools

  • FlashAlpha Earnings Analytics - Earnings-driven volatility analytics: earnings calendar (by days/symbols/importance), expected-move decomposition (implied straddle move split into event jump vs baseline diffusion), historical earnings-move history, IV-crush profiling, earnings VRP, dealer positioning into the print, strategy-suitability scoring (straddle/strangle/iron-condor/calendar), and a cross-sectional earnings screener. REST API and SDKs in five languages plus an MCP server.

Concepts

  • Expected-move decomposition - Splits the options-implied move into the earnings jump component and the residual diffusive move, isolating the true event premium.
  • IV crush - Quantifies the post-earnings implied-volatility collapse to size short-premium straddle/strangle exits.
  • Earnings VRP - Compares implied earnings move to realized historical earnings moves to find persistently rich or cheap names.
  • Strategy suitability - Ranks straddles, strangles, iron condors, and calendars by fit for each upcoming print.

Multi-Leg Structures and Payoff Analysis

Multi-leg structure analytics evaluate arbitrary combinations of option legs — verticals, condors, butterflies, calendars, ratios — for their at-expiry payoff and aggregate risk. The core outputs are the P&L curve with breakevens, max profit/loss, and net position greeks.

Tools

  • FlashAlpha Structures P&L - At-expiry P&L engine for arbitrary multi-leg option structures: submit legs and get the payoff curve across an underlying range, plus breakevens, max profit, and max loss. Pure-math, no market data required. REST API (POST) and SDKs in five languages plus an MCP server.
  • FlashAlpha Structures Greeks - Aggregate position greeks for a multi-leg structure: net delta, gamma, theta, vega (and higher-order greeks) summed across legs given spot, expiries, implied vols, rate, and dividend yield. Pure-math Black-Scholes engine. REST API (POST) and SDKs in five languages.

Dispersion and Correlation Trading

Dispersion trading exploits the gap between index-implied volatility and the volatility of its constituents — equivalently, between implied and realized correlation. When index options are rich relative to single-name options, the implied correlation is elevated, motivating short-index / long-components (or the reverse) volatility structures.

Tools

  • FlashAlpha Dispersion - Implied vs realized correlation and dispersion analytics for an index against a weighted basket of constituents: implied correlation, realized correlation, dispersion spread, and horizon-scaled estimates for index-vs-components volatility-arbitrage trades. REST API and SDKs in five languages plus an MCP server.

Macro Volatility Regime and Universe

Macro regime analytics place a single name's volatility in the broader market context — whether the VIX is rich or cheap versus realized (overvixing/undervixing) — and provide a ranked universe of tradable symbols for screening and discovery.

Tools

  • FlashAlpha VIX-State - Macro volatility-regime gauge classifying the market as overvixing (VIX rich vs realized) or undervixing (VIX cheap vs realized), for top-down volatility timing and risk-on/risk-off context.
  • FlashAlpha Universe - Ranked, sortable universe of covered symbols (with limit/sort) for discovery, screening seeds, and building option-analytics watchlists.

Kelly Criterion and Position Sizing

The Kelly Criterion provides a mathematically optimal fraction of capital to allocate to a bet given an edge and a payoff distribution. Applied to options, it must account for the non-linear payoff structure, the role of implied vs realized volatility in defining edge, and the practical need for fractional Kelly to manage drawdown.

Papers and References

Tools

  • flashalpha-examples - Includes a Kelly Criterion position sizing notebook (06_kelly_sizing.py) that integrates greeks and IV data from the FlashAlpha API to compute optimal sizing fractions.
  • FlashAlpha fa.kelly() - API endpoint for Kelly-optimal position sizing given options greeks, implied volatility, and a realized volatility estimate.
  • Riskfolio-Lib - Portfolio optimization library covering Kelly and entropy-based risk measures applicable to options portfolios.

Options Screeners

Options screeners filter and rank contracts or underlyings by metrics like implied volatility, open interest, greeks, dealer exposure, or custom expressions. A good screener lets you compose filters on the stock, expiry, strike, and individual contract level in a single query.

APIs and Tools

  • FlashAlpha Live Screener - Live options screener API. Filter/rank symbols across your universe by gamma exposure (GEX), variance risk premium (VRP), IV, greeks, harvest scores, dealer flow risk, and custom formulas. Supports cascading filters on expiries, strikes, and contracts. Data refreshes every 5-10 seconds from an in-memory store. SDKs in Python, JavaScript, .NET, Java, Go, plus an MCP tool.
  • FlashAlpha Max Pain - Max pain analysis API with dealer alignment overlay (gamma flip, call/put walls), pain curve, OI breakdown by strike, expected move context, pin probability scoring, and multi-expiry calendar. Converging/diverging dealer alignment signals when max pain acts as a true price magnet vs. being overridden by directional flow.
  • FlashAlpha Screener Cookbook - Worked recipes: harvestable VRP scans, negative-gamma alerts, vol-scanner setups, 0DTE call-seller screens, and custom formula rankings.
  • flashalpha-examples 10_live_options_screener.py - Runnable Python examples: harvestable VRP setups, IV premium ranking, cascading strike/contract filters, risk-adjusted harvest scores.
  • MarketChameleon - Commercial options screener covering unusual activity, earnings, and IV rank.
  • Barchart Options Screener - Free options screener with filters for volume, OI, IV, delta, and more.
  • Cboe LiveVol - Professional options analytics platform with custom screening.

Screening Strategies

  • Harvestable VRP - Filter for positive-gamma names with vrp_regime = harvestable, dealer_flow_risk <= 40, harvest_score >= 65. Captures short-vol setups where implied richness is durable.
  • Negative gamma alert - Filter for regime = negative_gamma and dealer_flow_risk >= 50. Identifies names where hedging flows amplify price moves.
  • IV premium ranking - Rank by the formula atm_iv - rv_20d to find names where implied is richest vs trailing realized.
  • Cascading 0DTE call seller - Filter expiries.days_to_expiry = 0, contracts.type = C, contracts.delta >= 0.3, contracts.oi >= 1000 to surface high-probability short-call candidates.
  • Risk-adjusted harvest - Compute harvest_score / (dealer_flow_risk + 1) as a formula to rank setups by expected reward per unit of hedging-flow risk.

Open Source Projects

  • OpenBB - Open-source investment research platform. Includes options chain data, IV surface visualization, and extensible data connectors.
  • QuantLib - Industry-standard open-source quantitative finance library (C++ with Python, R, and Java wrappers).
  • Riskfolio-Lib - Portfolio optimization library that includes risk measures relevant to options portfolio management.
  • PyAlgoTrade - Python algorithmic trading library with backtesting support.
  • FinancePy - Python finance library covering options, bonds, credit derivatives, and more with a focus on practical implementation.
  • tf-quant-finance - Google's TensorFlow-based quantitative finance library with GPU-accelerated options pricing and calibration.
  • Volatility3 - Note: this is a memory forensics tool, not finance — included as a naming caution for researchers.
  • optopsy - Options backtesting library for Python, designed for systematic options strategy testing.
  • flashalpha-quantconnect - QuantConnect LEAN custom-data bars (C# + Python) for FlashAlpha options-flow data: GEX, DEX, VEX, vol surface, 0DTE, VRP, max-pain, narrative. Drop-in algo.AddData<FlashAlphaGexBar>("SPY").
  • flashalpha-fill-simulator - Realistic limit-order fill simulator for options credit/debit spreads. Models post-and-wait limits, stale-quote guards, deterministic same-bar tiebreaks, and a patient-then-cross exit. Embeds in QuantConnect, Backtrader, or custom backtesters as a per-bar primitive.

Educational Resources

Books

Courses and Lecture Notes

Papers

Communities

  • r/options - Reddit community for options trading discussion, strategies, and education.
  • r/algotrading - Algorithmic trading community covering systematic options strategies, backtesting, and quantitative research.
  • r/thetagang - Community focused on premium selling strategies: covered calls, cash-secured puts, spreads, and iron condors.
  • r/quant - Quantitative finance community including volatility modeling, derivatives research, and academic discussion.
  • Quantocracy - Curated aggregator of quantitative trading and research blog posts, including frequent options and volatility content.
  • QuantConnect Community - Algorithmic trading community centered around the QuantConnect backtesting platform. Options strategy forums and shared algorithms.
  • Wilmott Forums - Long-running quantitative finance forum covering derivatives pricing, volatility, and financial engineering.
  • Nuclear Phynance - Forum for quantitative finance practitioners focused on derivatives and risk.
  • Elitetrader Options - Practitioner forum with active options strategy and market microstructure discussion.

Market Data Sources

Free

  • Yahoo Finance Options - Free options chains with basic greeks via the website and yfinance Python library.
  • CBOE Free Data - CBOE publishes free daily market statistics including options volume, VIX, and put/call ratios.
  • Nasdaq Options - Options analytics and chain data from Nasdaq.
  • Barchart Options - Free options chains, IV rank, IV percentile, and skew data with limited historical depth.

Paid and Institutional

  • OptionMetrics IvyDB - Standardized end-of-day options data used widely in academic research.
  • ORATS - Historical and real-time options data with earnings history, IV surface, and backtesting API.
  • CBOE DataShop - Official exchange data including historical options trades, quotes, and settlement data.
  • Refinitiv (LSEG) - Institutional market data terminal and API with comprehensive options data.
  • Bloomberg - Industry-standard terminal with full options chains, vol surfaces, and derivatives analytics.
  • Intrinio - Options data API with end-of-day and real-time tiers.
  • Polygon.io - Real-time and historical US equity options data via REST and WebSocket API.
  • Thetadata - Historical options data provider focused on tick-level and end-of-day data for systematic traders.

Contributing

Contributions are welcome. To add a resource:

  1. Fork this repository.
  2. Add your resource to the appropriate section in alphabetical order within that section, or propose a new section if warranted.
  3. Follow the existing format: - [Name](url) - Description.
  4. Ensure the resource is real, maintained, and genuinely useful to the options analytics community.
  5. Submit a pull request with a brief explanation of why the resource belongs on the list.

Please do not submit self-promotional links without disclosure, broken links, or resources of marginal quality.

License

CC0

To the extent possible under law, the contributors have waived all copyright and related or neighboring rights to this work.