Options Data Application (OptionsNexus)

[Rusty_Banks]

Hi guys,

After posting screenshots my initial crude app here on this old thread (https://www.traderji.com/community/threads/historical-options-chain-greeks-and-iv.106299) I had pretty much abandoned its work and relied on manual data extraction and manipulation in Python/Excel etc. However, I had been working on another app focused on the UI side of things. I’ve completely revamped my API (that fetches FnO EOD data from free sources) and built a front end Angular UI to present that data. The information I present in this app is usually most sought for FnO instruments, like IV, IVR, IVP etc.

I’ve a full time job and it took over a year, but it was completely build on my own in the free time, and unlike the previous version, it is available online for everyone here Link. Although it’s free, the data is behind a registration system to prevent unnecessary crawling and increased server loads (I am using the free tier of AWS and GCP for hosting). There is also a demo login for those who does not wish to register. It’s more like a proof of concept that ways.

What can be viewed:
It presents the daily EOD options chain for all FnO instruments, their Greeks, IV/IVR/IVP data, upcoming earning (in the next 10 days). It also presents their historical movement of spot prices along with the IV/IVR/IVP movement.

Along with this, you can ghost the view to a previous day- what it means is view the chain as if a day in the past. There is also the ability to view the Greeks of a trade that you might be interested in, and does a Monte-Carlo simulation to show how long would 50% of profit would that trade take to reach. Probability of profit calculations comes by default and a calendar that shows all earnings data.

Upcoming Ideas:
Along with migrating to a paid plan to support several concurrent users, I’m working on building the “Detailed analysis” component of the app to simulate the PnL/Greeks movement in various scenarios as a way to visualize the risk associated with the strategy selected. This should prove helpful for new option traders who may not foresee the hidden risks associated with a strategy that may appear harmless.

The intention to build the app was to present information associated with FnO instruments that may be useful to someone in context building. Not sure how many would find this useful, but if anyone has any questions, feel free to let me know here. I have also included a forum link on the app to answer any questions/queries/feedback etc.

NOTE: Please access on a desktop/laptop only. It’s a heavy app and not optimized for mobile devices.

Thanks

 

[Rusty_Banks]

Screenshots:
Here is the screenshot of the main page and I’ve labelled some UI elements as follows:

• 0 - Quick Instrument Selection
• 1 - Instrument Snapshot
• 2 - 1SD Range, Days to Expiration and Lot Size
• 3 - Filter the number of visible strikes
• 4 - Choose the desired expiry
• 5 - Open symbol chart with historical IV/IVR/IVP chart
• 6 - 1SD movement markings
• 7 - Analyze the trade as per the selection
• 8 - Event Calendar
• 9 - Settings (Toggle Greeks, strikes and GHOST PREVIOUS DATES)
• 10 - Snapshot of all FnO instruments with upcoming earnings indicator
• 11 - Forum for discussion

Other UI element screenshots:

• Quick Analysis View

• Symbol Chart

• IVR IVP Chart

• Ghosting

• Earnings Calendar

 

[bpr]

looks good my first sugegstion
in the expiry drop down give the DTE in bracket in the end

 

[mohan.sic]

Screenshots:
Here is the screenshot of the main page and I’ve labelled some UI elements as follows:

• 0 - Quick Instrument Selection
• 1 - Instrument Snapshot
• 2 - 1SD Range, Days to Expiration and Lot Size
• 3 - Filter the number of visible strikes
• 4 - Choose the desired expiry
• 5 - Open symbol chart with historical IV/IVR/IVP chart
• 6 - 1SD movement markings
• 7 - Analyze the trade as per the selection
• 8 - Event Calendar
• 9 - Settings (Toggle Greeks, strikes and GHOST PREVIOUS DATES)
• 10 - Snapshot of all FnO instruments with upcoming earnings indicator
• 11 - Forum for discussion

View attachment 44899

Other UI element screenshots:

• Quick Analysis View

View attachment 44900

• Symbol Chart

View attachment 44901

• IVR IVP Chart

View attachment 44902

• Ghosting

View attachment 44903

• Earnings Calendar

View attachment 44904

Rusty Banks

This is another Excellent attempt. Keep it up..

I have a request - If you can make a video on the app and its features.. may be you can make a screen recording.
And I think there is no need to take care of the editing , just a rough work is enough or may be you can help with a online presentation for some interested people here like me...thanks.

 

[Rusty_Banks]

looks good my first sugegstion
in the expiry drop down give the DTE in bracket in the end

Done. The number of days now appear in the dropdown selector.

Rusty Banks

This is another Excellent attempt. Keep it up..

I have a request - If you can make a video on the app and its features.. may be you can make a screen recording.
And I think there is no need to take care of the editing , just a rough work is enough or may be you can help with a online presentation for some interested people here like me...thanks.

Sure! Will post it over the weekend.

Please do share your feedback and any improvement suggestions. Meanwhile, I will keep working on adding features that I think will be helpful in building context.

 

[bpr]

Done. The number of days now appear in the dropdown selector.

nice
my second suggestion the expiry drop down needs to come down next to the search field ...and then next we can also have the open symbol chart button
these two don't belong in the titile bar

 

[sanju005ind]

@Rusty_Banks Nice app keep up the good work. Just out of curiosity for the IV how are you calculating. Are pricking it straight from NSE option chain or are you using BS or Merton model. Also for calculating are you using ATM strikes or averages of certain strikes like Opstra does it.

 

[Rusty_Banks]

nice
my second suggestion the expiry drop down needs to come down next to the search field ...and then next we can also have the open symbol chart button
these two don't belong in the titile bar

@bpr I agree. This was my initial layout, but due to space constraints I had to move them to the header. I'll try to adjust both the elements again above the option chain over this weekend. Thanks

@Rusty_Banks Nice app keep up the good work. Just out of curiosity for the IV how are you calculating. Are pricking it straight from NSE option chain or are you using BS or Merton model. Also for calculating are you using ATM strikes or averages of certain strikes like Opstra does it.

Thank you @sanju005ind. Per strike IV calculation is done using the Black76 model.

I am not sure how “Opstra” does its calculation. The way my app calculates the symbol’s overall IV is from the calls and puts at the two exercise prices that bracket the spot price — essentially the ATM options. For the near expiration month, the call and put IVs at each exercise price are simple averaged, and these are then weighted by the difference between the exercise price and the spot price to yield an IV for that instrument.

Though you could take into consideration both the near and mid expiration months and further weight them to derive a final value, I only take the near month expiration. If there are less than 4 days left for expiration, the next month is considered for calculations.

Eg: Assume that the spot price is 524.60 and that the two exercise prices that bracket this price are 520 and 530. If the IVs for the 2 exercise prices are as follows:
CE | 21.16 (520) | 20.48 (530)
PE | 21.21 (520) | 20.44 (530)

then the average implied volatilities for each exercise price are:
520: (21.16 + 21.21)/2 = 21.185
530: (20.48 + 20.44)/2 = 20.46

The implied volatility in each month is the interpolated implied volatility between the two exercise prices - the implied volatilities weighted by their distance from the spot price. The closer the exercise price is to the spot, the greater is the weighting:

21.185 × (530 – 524.60)/10 + 20.46 × (524.60 – 520)/10 = 21.185 × 0.54 + 20.46 × 0.46 = 11.4399 + 9.4116 = 20.8515

 

[sanju005ind]

@bpr I agree. This was my initial layout, but due to space constraints I had to move them to the header. I'll try to adjust both the elements again above the option chain over this weekend. Thanks



Thank you @sanju005ind. Per strike IV calculation is done using the Black76 model.

I am not sure how “Opstra” does its calculation. The way my app calculates the symbol’s overall IV is from the calls and puts at the two exercise prices that bracket the spot price — essentially the ATM options. For the near expiration month, the call and put IVs at each exercise price are simple averaged, and these are then weighted by the difference between the exercise price and the spot price to yield an IV for that instrument.

Though you could take into consideration both the near and mid expiration months and further weight them to derive a final value, I only take the near month expiration. If there are less than 4 days left for expiration, the next month is considered for calculations.

Eg: Assume that the spot price is 524.60 and that the two exercise prices that bracket this price are 520 and 530. If the IVs for the 2 exercise prices are as follows:
CE | 21.16 (520) | 20.48 (530)
PE | 21.21 (520) | 20.44 (530)

then the average implied volatilities for each exercise price are:
520: (21.16 + 21.21)/2 = 21.185
530: (20.48 + 20.44)/2 = 20.46

The implied volatility in each month is the interpolated implied volatility between the two exercise prices - the implied volatilities weighted by their distance from the spot price. The closer the exercise price is to the spot, the greater is the weighting:

21.185 × (530 – 524.60)/10 + 20.46 × (524.60 – 520)/10 = 21.185 × 0.54 + 20.46 × 0.46 = 11.4399 + 9.4116 = 20.8515

Thank you very much for taking the time to explain.

 

[bpr]

@bpr I agree. This was my initial layout, but due to space constraints I had to move them to the header. I'll try to adjust both the elements again above the option chain over this weekend. Thanks

you can make multiple post if replying to multiple users ...makes life easier for everyone
multiquote in a single post is useful if they are on the eaxct same topic

I was the thinking the price volume IV IV rank all price lables which can all move to Title bar.
the third row with all analyze button is also unnecessary needs to be merged with the second row.

I have used many platforms in fact most platforms available all over the world.
the best platform for options for trading currently is Tastyworks these are the guys who built ThinkOrSwim and then sold it to TDameritrades and then devloped Tastyworks..
Tastyworks certainly has some features which are US market specific ...but for option platform there is lot of reasearch that has gone into it
so if u gonna take some inspiration then tastyworks certainly is the one

they don't have a demo yet ...but they do have lot of tutorial videos on youtube
if you are instreasted I can put some screenshots so u get some ideas...