drjohnelliott/gflows

View the exposures of four option greeks—delta, gamma, vanna, and charm—for stocks & indexes

G|Flows

G|Flows, or Greek Flows, provides 15-minute updates for the SPX, NDX, and RUT indexes every Monday-Friday from 9:00am-4:30pm ET.

Features

Measure by date & strike price:

• Delta, gamma, vanna, and charm exposure for stocks/indexes
• Implied volatility (IV) average

Expirations to choose:

• All expirations
• Current month
• Current monthly OPEX
• 0DTE, if available, otherwise the closest expiration

Guide:

• Need a refresh? View the meaning behind each greek and how their flows can be interpreted

Setup

This application is compatible with Python versions >=3.9

Virtual Environment (Recommended)

For an isolated package installation, create and activate a virtual environment:

# Create venv
$ python -m venv venv

Activation:

• Linux/Mac:

  $ source venv/bin/activate

• Windows:

  # Command Prompt
  $ venv\Scripts\activate.bat
  
  # PowerShell
  $ venv\Scripts\Activate.ps1

Install Required Packages

$ pip install -r requirements.txt

Configuration:

Create a .env file in the project's working directory to configure the app, otherwise the app will use default values:

# For downloading options data. If not set, the app defaults to a CBOE API — see ticker_dwn for info
API_URL=YOURAPIURL
# Auto-respond to prompt 'Download recent data? (y/n)'. If not set, user input is requested
AUTO_RESPONSE=y
# Default. Choose tickers from https://finance.yahoo.com/lookup (excluding futures)
TICKERS=^SPX,^NDX,^RUT

app.py:

G|Flows uses a scheduler to periodically redownload options data. To disable it, comment out this code

"""
# schedule when to redownload data
sched = BackgroundScheduler(daemon=True)
sched.add_job(
    sensor,
    combining.OrTrigger(
        [
            cron.CronTrigger.from_crontab(
                "0,15,30,45 9-15 * * 0-4", timezone=timezone("America/New_York")
            ),
            cron.CronTrigger.from_crontab(
                "0,15,30 16 * * 0-4", timezone=timezone("America/New_York")
            ),
        ]
    ),
)
sched.add_job(
    check_for_retry,
    combining.OrTrigger(
        [
            cron.CronTrigger(
                day_of_week="0-4",
                hour="9-15",
                second="*/5",
                timezone=timezone("America/New_York"),
            ),
            cron.CronTrigger(
                day_of_week="0-4",
                hour="16",
                minute="0-30",
                second="*/5",
                timezone=timezone("America/New_York"),
            ),
        ]  # during the specified times, check every 5 seconds for a retry condition
    ),
)
sched.start()
"""

To analyze CSV data, change the is_json value to False within the analyze_data function

def analyze_data(ticker, expir):
    # Analyze stored data of specified ticker and expiry
    # defaults: json format, timezone 'America/New_York'
    result = get_options_data(
        ticker,
        expir,
        is_json=True,  # False for CSV
        tz="America/New_York",
    )
    ...

For manual updates, CSV-formatted options data can be downloaded here then placed in the data/csv directory

---

Upon completion, run the Dash app (available at http://localhost:8050):

$ python app.py