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awesome-options-analytics

A curated list of options analytics tools, APIs, libraries, papers, and educational resources for quantitative options trading
https://github.com/flashalpha-lab/awesome-options-analytics

Last synced: 10 days ago
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  • 0DTE and Intraday Options

    • Papers and Research

    • Tools and Data

      • Thetadata - Tick-level historical options data provider with good coverage of short-dated and 0DTE contracts.

  • 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. The only public source of **aggregate vanna and charm exposure**, and **point-in-time replay since 2018**. 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.
    • 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.
    • Market Data App - Options chain and historical data API with a generous free tier.

  • Communities

    • Papers

      • 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.
      • 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.

  • Dealer Positioning and Market Microstructure

  • Educational Resources

  • Gamma Exposure (GEX)

    • Academic Papers

    • 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.

    • Tools

      • 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.

  • Kelly Criterion and Position Sizing

  • 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

      • 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.

  • Open Source Projects

    • Screening Strategies

      • 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).
      • 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.

  • Options Pricing and Greeks

    • Implied Volatility Solvers

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

    • Monte Carlo Pricing

      • finmc - Fast Monte Carlo simulation framework for financial derivatives pricing.

  • Options Screeners

    • 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.
      • MarketChameleon - Commercial options screener covering unusual activity, earnings, and IV rank.
      • Cboe LiveVol - Professional options analytics platform with custom screening.

  • 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.
    • 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.

  • Volatility Analysis

    • Realized Volatility

      • realized - Oxford-Man Institute Realized Library: daily realized volatility measures for major indices.

    • VIX and Variance

      • vixcentral.com - VIX futures term structure visualization tool, updated daily.

    • Volatility Surface and Smile

      • pysabr - Python implementation of the SABR (Stochastic Alpha Beta Rho) volatility model, widely used for vol smile interpolation.
      • volatility-surface - Jupyter notebooks covering vol surface construction and SVI calibration from the book "Financial Models with Numerical Methods."
Programming Languages
Python 6 Jupyter Notebook 3 C++ 2 C# 1
Categories
Educational Resources 10 Python Libraries 9 Open Source Projects 9 APIs and Data Providers 8 Communities 7 Gamma Exposure (GEX) 7 Market Data Sources 6 Options Screeners 5 Kelly Criterion and Position Sizing 5 Volatility Analysis 4 0DTE and Intraday Options 3 Options Pricing and Greeks 2 Dealer Positioning and Market Microstructure 2 License 1
Sub Categories
Papers 11 Screening Strategies 9 APIs and Tools 5 Books 5 Papers and References 4 Free 4 Academic Papers 3 Paid and Institutional 3 References and Methodology 3 Papers and Research 2 Volatility Surface and Smile 2 References and Papers 2 Tools 2 Realized Volatility 1 Tools and Data 1 Monte Carlo Pricing 1 VIX and Variance 1 Courses and Lecture Notes 1 Implied Volatility Solvers 1
Keywords
python 7 trading 4 options 4 quantitative-finance 4 finance 3 backtesting 2 investment 2 algorithmic-trading 2 volatility 2 asset-allocation 2 gamma-exposure 2 option-pricing 2 gex 2 options-analytics 2 0dte 2 currency 1 credit 1 bonds 1 portfolio-management 1 portfolio-optimization 1 principal-components-regression 1 tensorflow 1 risk-contribution 1 risk-factors 1 quantlib 1 numerical-optimization 1 risk-parity 1 sharpe-ratio 1 stepwise-regression 1 numerical-methods 1 numerical-integration 1 high-performance-computing 1 high-performance 1 gpu 1 gpu-computing 1 econometrics 1 financial-engineering 1 financial-mathematics 1 fourier-inversion 1 heston-model 1 jump-diffusion-mertons-model 1 jupyter-notebooks 1 kalman-filter 1 levy-processes 1 linear-regression 1 linear-systems-equations 1 monte-carlo-methods 1 partial-differential-equations 1 brownian-motion 1 stochastic-differential-equations 1