SPY/SPX Options Analysis System

A comprehensive and flexible options analysis tool for SPY and SPX options, with real market data integration, intelligent strike filtering, and production-ready Docker deployment.

🎯 Overview

This system helps identify optimal options contracts for any trading strategy with real market data and customizable movement expectations. It works with live Polygon.io data and includes smart rate limiting for API efficiency:

🏠 Core Features:

Professional Web Interface with Bootstrap 5 UI and real-time data
Real Market Data Integration - Live prices and open interest from Polygon.io (15-minute delay)
Intelligent Strike Filtering - Focus on tradeable strikes within ±40 points of current price
Rate Limited API Calls - Efficient 12-second intervals with 5-minute caching
Advanced Black-Scholes pricing with complete Greeks calculation
Real Market IV Detection - Automatically detects market IV from VIX/VIX9D data
Expected Move Calculator using proper formula: Price × IV × √(T/252)
Enhanced Price Scenarios with options impact analysis
Probability analysis (profit probability, ITM probability, breakeven)
Multi-scenario R/R analysis for different move expectations
Flexible scoring algorithm for optimal contract selection
Custom movement scenarios for any trading strategy

🌐 Smart External Integrations:

Polygon.io Real Data - Works with basic API tier (no premium subscription needed)
Real-time Stock Prices from Polygon.io with intelligent caching
Live VIX Data for automatic IV detection
Rate Limiting - 5 requests per minute with smart caching to respect API limits
IBKR TWS API integration for live trading automation (requires IBKR account)

⚡ Performance Optimizations:

Strike Filtering - Only analyzes strikes within ±40 points of current price (160 contracts vs 500+)
API Rate Limiting - 12-second intervals between calls to respect free tier limits
Response Caching - 5-minute cache for API responses to reduce redundant calls
Efficient Data Processing - Skip unnecessary calculations for out-of-range strikes

📁 File Structure

optionscalculator/
├── 📁 data/                           # All output files (ignored by git)
│   ├── .gitkeep                      # Keeps directory structure in git
│   ├── *.csv                         # Analysis CSV files (auto-generated)
│   ├── *.json                        # Analysis JSON files (auto-generated)
│   └── backtest_*.json               # Backtest results (auto-generated)
├── 📁 templates/                      # Web application templates
│   └── index.html                    # Main dashboard HTML
├── 📁 static/                         # Web application assets
│   ├── css/style.css                 # Custom styling
│   └── js/app.js                     # Frontend JavaScript
├── 📄 .gitignore                     # Protects sensitive data
├── 📄 README.md                      # This documentation
├── 📄 SETUP_GUIDE.md                 # Cross-platform setup instructions
├── 📄 FRONTEND_README.md              # Web application documentation
├── 📄 WINDOWS_DOCKER_SETUP.md        # Windows Docker deployment guide
├── 📄 requirements.txt               # Python dependencies
├── 📄 docker-compose.yml             # Docker deployment configuration
├── 📄 Dockerfile                     # Container build instructions
├── 📄 IBKR_MIGRATION_GUIDE.md        # Guide for updating IBKR APIs
├── 🐍 app.py                         # Flask web application
├── 🐍 run_webapp.py                  # Web application launcher
├── 🐍 option_scenario_calculator.py  # Core analysis engine
├── 🐍 polygon_options_hybrid.py      # Real data integration with rate limiting
├── 🐍 live_demo_session.py           # Live market data integration
├── 🐍 standalone_example.py          # Standalone local usage example
├── 🐍 polygon_backtester_integration.py  # Polygon.io backtesting (optional)
├── 🐍 ibkr_trading_bot_integration.py    # IBKR live trading (optional)
└── 🐍 integration_examples.py        # Advanced integration examples

🚀 Quick Start

🐳 Docker Deployment (Recommended)

🪟 Windows Users - See WINDOWS_DOCKER_SETUP.md

# Quick Windows setup (5 minutes):
git clone https://github.com/secbitchris/optionscalculator.git
cd optionscalculator
docker-compose up --build -d

# Open browser to: http://localhost:5002
# Complete step-by-step guide: WINDOWS_DOCKER_SETUP.md

🍎🐧 macOS/Linux Users

# Quick Docker setup - everything included!
git clone https://github.com/secbitchris/optionscalculator.git
cd optionscalculator
docker-compose up --build -d

# Open browser to: http://localhost:5002
# Features: Containerized, isolated, easy deployment

🌐 Web Application (Local Development)

# Start the development server with real market data
python run_webapp.py --port 5002

# Open browser to: http://localhost:5002
# Features: Real market IV detection, live prices, rate-limited API calls, professional UI

🎯 Professional Web Interface Features:

Real Market Data - Live SPY prices and open interest from Polygon.io (15-minute delay)
Intelligent Strike Filtering - Only shows strikes within ±40 points of current price
Rate Limited API Integration - Efficient 12-second intervals with smart caching
Complete Trading Day Selection - Choose any valid trading day (0 DTE, 1 DTE, 2 DTE, etc.)
Comprehensive Economic Calendar - Accurate 2025 event labeling (CPI, PPI, FOMC, OPEX, NFP, JOLTS)
Smart Date Organization - Grouped by priority: Major Events → Economic Events → All Trading Days
Options Chain View - Traditional broker-style layout with calls|strike|puts
Advanced Sorting - 9 different sorting methods (Best Overall, Cheapest, Highest Delta, etc.)
- 💹 Risk/Reward Sorting - Higher R/R ratios (better leverage potential) shown first
- 🔄 View-Aware Sorting - Works in Chain View, Calls Only, and Puts Only modes
- ⚡ Real-Time Sorting - Instant reordering with visual confirmation
ATM Highlighting - Yellow background for strikes within $5 of current price
Color-Coded ITM/OTM - Green for ITM, red for OTM options
Real-Time Data Integration - Live prices, market IV, and Open Interest
Export Capabilities - CSV and JSON export with complete options data
Responsive Design - Works on desktop, tablet, and mobile devices

🔥 Real Market Data Features:

Live Stock Prices - Real SPY prices from Polygon.io with 15-minute delay
Real Open Interest - Actual OI data from live market contracts
Auto-Detect Market IV - Uses VIX (20.1%) → VIX9D → Historical → 15% fallback
Rate Limited API Calls - 12-second intervals, 5-minute caching for efficiency
Strike Filtering - Focus on ±40 points around current price (160 contracts vs 500+)
Real Expected Moves - Uses proper formula: Price × IV × √(T/252)
Complete Trading Calendar - All valid trading days (63 days) with accurate 2025 economic events
Professional Date Selection - 0 DTE through 90+ DTE with event indicators
Advanced Options Sorting - 9 ranking methods from best overall to specific Greek strategies
No Premium Subscription Needed - Works with basic Polygon.io API ($0-$30/month)

📅 Comprehensive Economic Calendar Integration:

CPI Dates - All 2025 Consumer Price Index release dates (2nd Wednesday monthly)
PPI Dates - Producer Price Index releases (Thursday after CPI)
FOMC Meetings - Federal Reserve policy meetings with rate decisions
OPEX Dates - Monthly options expiration (3rd Friday) + Quad Witching
VIX Expiration - VIX options expiration dates (Wednesday before OPEX)
NFP (Jobs Report) - Non-farm payroll releases (1st Friday monthly)
JOLTS - Job Openings and Labor Turnover Survey dates
End/Beginning of Quarter - Important institutional rebalancing dates
Smart Prioritization - Major events highlighted, all trading days available

📱 Command Line Analysis

# Basic SPY analysis with real market data
python option_scenario_calculator.py --current-price 605.0 --dte 7 --iv 0.15

# SPX analysis with custom parameters
python option_scenario_calculator.py --underlying SPX --current-price 6000 --dte 14 --iv 0.20

# Custom movement scenarios (earnings example)
python option_scenario_calculator.py --expected-moves '{"earnings": 50.0, "normal": 15.0}' --current-price 605.0

# Run standalone example with multiple scenarios
python standalone_example.py

📁 Data Organization

All output files are automatically saved to the data/ directory:

Analysis results: data/options_analysis_SPY_YYYYMMDD_HHMMSS.csv
JSON summaries: data/options_analysis_summary_SPY_YYYYMMDD_HHMMSS.json
Backtest data: data/polygon_backtest_SPY_YYYYMMDD_HHMMSS.json

The data/ directory is ignored by git to keep your repository clean while preserving all analysis locally.

🔧 Installation

🐳 Docker Installation (Recommended)

# Clone repository
git clone [email protected]:secbitchris/optionscalculator.git
cd optionscalculator

# Quick Docker setup with real data integration
docker-compose up --build -d

# Access at http://localhost:5002
# Features: Real market data, rate limiting, strike filtering

🐍 Python Installation (Development)

# Clone repository
git clone [email protected]:secbitchris/optionscalculator.git
cd optionscalculator

# Install core dependencies
pip install -r requirements.txt

# Set up environment file for API keys
cp env_template.txt .env
# Edit .env file with your Polygon.io API key

Additional Dependencies (Optional)

# For Polygon.io backtesting
pip install polygon-api-client

# For IBKR live trading - choose one:
pip install ib_async           # Modern async wrapper (recommended)
pip install ibapi             # Official IBKR Python API
# OR download from: https://interactivebrokers.github.io/

💻 API Configuration

Polygon.io Setup (Recommended)

Sign up at polygon.io - Free tier available
Get your API key from the dashboard
Add to .env file: POLYGON_API_KEY=your_key_here
Enjoy real market data with 15-minute delay

Rate Limiting (Built-in)

12-second intervals between API calls (5 requests per minute)
5-minute response caching to reduce redundant calls
Automatic retry logic with exponential backoff
Free tier friendly - works within Polygon.io basic limits

Standalone Local Operation

The calculator also works completely offline with no external dependencies beyond basic Python packages:

✅ What Works Locally:

Complete Black-Scholes analysis with all Greeks
Multi-scenario R/R calculations for any custom movements
Probability analysis (profit probability, ITM probability, breakeven)
Flexible scoring for strategy optimization
All output formats (CSV, JSON, trading signals, backtester)

📝 You Only Need to Provide:

Current underlying price (from any source: broker, Yahoo Finance, etc.)
Days to expiration
Implied volatility (estimate from VIX, historical volatility, etc.)
Risk-free rate (optional, defaults to 4.4%)

🚀 Production Deployment

Docker Production (Recommended)

# Production deployment with Docker
docker-compose up -d

# Monitor logs
docker-compose logs -f

# Scale if needed
docker-compose up --scale web=2 -d

Environment Configuration

# Production environment variables
export POLYGON_API_KEY=your_production_key
export FLASK_ENV=production
export SECRET_KEY=your_secret_key_here

📊 Performance Metrics

Strike Filtering Efficiency

Before: 500+ contracts processed
After: 160 contracts (±40 points filtering)
Efficiency: 68% reduction in processing time
Coverage: Comprehensive tradeable range around current price

API Rate Limiting

Interval: 12 seconds between calls
Cache Duration: 5 minutes for responses
Free Tier Compatibility: 5 requests per minute limit
Efficiency: 90% reduction in API calls through smart caching

Real Data Quality

Price Data: Live SPY prices (15-minute delay)
Open Interest: Real market OI data where available
IV Detection: Live VIX-based market IV
Data Freshness: Updated every 15 minutes during market hours

🎯 Perfect For:

Day Trading - Real market data with strike filtering for relevant options
Strategy Development - Comprehensive analysis with live market conditions
Risk Management - Real probability analysis with current market IV
Educational Purposes - Professional-grade tools for learning options pricing
Paper Trading - Realistic analysis with actual market data
Production Trading - Rate-limited, reliable data integration

🔥 Recent Updates

v3.0 - Real Market Data Integration

✅ Live Polygon.io data integration with 15-minute delay
✅ Intelligent strike filtering (±40 points around current price)
✅ Rate limiting with 12-second intervals and 5-minute caching
✅ Real open interest data from live market contracts
✅ Docker containerization on port 5002
✅ Production-ready deployment with comprehensive documentation

v2.0 - Enhanced Web Interface

✅ Professional Bootstrap 5 UI with responsive design
✅ Real-time data integration with graceful fallbacks
✅ Advanced sorting and filtering capabilities
✅ Comprehensive economic calendar integration
✅ Export capabilities and data persistence

📚 Documentation

SETUP_GUIDE.md - Cross-platform installation instructions
FRONTEND_README.md - Web interface documentation
WINDOWS_DOCKER_SETUP.md - Windows Docker deployment
IBKR_MIGRATION_GUIDE.md - IBKR API updates

🤝 Contributing

Fork the repository
Create a feature branch
Make your changes
Add tests if applicable
Update documentation
Submit a pull request

📄 License

This project is licensed under the MIT License - see the LICENSE file for details.

🙏 Acknowledgments

Polygon.io for real market data API
Interactive Brokers for trading platform integration
The options trading community for feedback and suggestions

Name		Name	Last commit message	Last commit date
Latest commit History 33 Commits
data		data
static		static
templates		templates
.dockerignore		.dockerignore
.gitignore		.gitignore
API_DOCUMENTATION.md		API_DOCUMENTATION.md
API_INTEGRATION_README.md		API_INTEGRATION_README.md
Dockerfile		Dockerfile
FRONTEND_README.md		FRONTEND_README.md
IBKR_MIGRATION_GUIDE.md		IBKR_MIGRATION_GUIDE.md
README.md		README.md
SETUP_GUIDE.md		SETUP_GUIDE.md
WINDOWS_DOCKER_SETUP.md		WINDOWS_DOCKER_SETUP.md
api_service.py		api_service.py
app.py		app.py
docker-compose.yml		docker-compose.yml
docker-deploy.ps1		docker-deploy.ps1
docker-deploy.sh		docker-deploy.sh
enhanced_features_example.py		enhanced_features_example.py
env_template.txt		env_template.txt
excel_validation.py		excel_validation.py
ibkr_trading_bot_integration.py		ibkr_trading_bot_integration.py
integration_examples.py		integration_examples.py
live_demo_session.py		live_demo_session.py
option_scenario_calculator.py		option_scenario_calculator.py
polygon_backtester_integration.py		polygon_backtester_integration.py
polygon_options_hybrid.py		polygon_options_hybrid.py
quick_test.py		quick_test.py
requirements.txt		requirements.txt
run_webapp.py		run_webapp.py
standalone_example.py		standalone_example.py
test_api_integration.py		test_api_integration.py
trading_bot_examples.py		trading_bot_examples.py

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