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

Compatible with Python versions >=3.9

Install the app's required packages:

$ pip install -r requirements.txt

(Recommended) To keep the package installation local/within a virtual environment, run these before the pip command:

$ python -m venv venv
$ source venv/bin/activate

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

my_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,
    CronTrigger.from_crontab(
        "0,15,30,45 9-15 * * 0-4", timezone=timezone("America/New_York")
    ),
)
sched.add_job(
    sensor,
    CronTrigger.from_crontab(
        "0,15,30 16 * * 0-4", timezone=timezone("America/New_York")
    ),
)
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 my_app.py

kxxg1 / gflows