[wJubran]

What and why

Options Quant was the last page with no producer: it showed nothing out of the box. The terminal now writes {T}_options.json itself. The new module is backend/local_analysis/options.py, and it runs as a new options phase in the local runner. Files are rebuilt every 15 minutes while New York trades and every 2 hours otherwise.

Source and coverage

• Assets: US500, USTEC, XAUUSD, XAGUSD and XTIUSD, built from the SPY, QQQ, GLD, SLV and USO option chains.
• Chains come from Yahoo through yfinance. No key is needed; the quotes are delayed about 15 minutes.
• Expiries: today's 0-DTE until 16:00 New York, the next 8 expiries after today (the swing set), and the next 2 monthlies.

Implied vols

• Yahoo's IVs are cleaned first: out-of-range values are dropped, and so are its failed solves (exact powers of two such as 0.5).
• Each expiry then gets one smile, built from the out-of-the-money side.

What the file contains

• GEX: dealers are assumed long calls and short puts; units are $ per 1% move.
• Flip: the price where total swing GEX changes sign.
• Walls: the call wall is above spot and the put wall below.
• Other levels: HVL (the strike with the most gamma), max pain, and the expected move (ATM straddle).
• Volatility: 25-delta skew with its velocity, and 30-day IV compared with 30-day realized volatility.
• Ratios: put/call ratios.
• Dealer flows: dealer scenarios and the dealer-delta profile, in ETF shares.
• Ladders and entropy: the structural and gravity ladders, and the entropy card.
• 0-DTE: today's expiry gets its own blocks.
• History: the session history series reset at 09:30 New York.

Ladders. The structural and gravity ladders are the UI's own options_0dte_derivations.js, ported line for line, including JavaScript rounding.

Price space. The file uses levels_space: "broker". Every level is multiplied by feed price ÷ ETF price, both taken at the time of the ETF quote. The 5-minute bar at that time is used when the quote is older than 10 minutes, so overnight futures moves don't shift the levels. cfd_ratio_used carries the ratio, as the UI expects.

Not computed yet: the Heat Map surface (probfield), Retail Trap and Vanna/Charm. The READMEs say so.

Also in this PR

• The version moves to 1.2.0 in VERSION and both package.json files.
• The CHANGELOG section is now [1.2.0], so the release can be published after merge.

How it was tested

• python -m pytest in backend/: 215 passed on Python 3.13, 5 of them new (tests/test_options.py). The new tests use a synthetic SPY-like chain, a fake feed at 10× the ETF price, and no network calls. They check:
  • the New York clock and the expiry choice;
  • that walls, flip, spot and expected move land in feed prices;
  • that the stack's aggregate strikes stay in ETF strikes;
  • put skew above call skew;
  • the ±1% / ±0.5% scenarios;
  • the 21-level structural and 18-level gravity ladders, with the spot level flagged;
  • that 0-DTE blocks are present before the close and null after it, and that history is not extended after hours;
  • the cadence, another producer's file being left alone, and an offline download;
  • the route serving the file with _conversion_source: broker_native.
• A real bug was found and fixed by the tests: the 25-delta put strike lookup had the delta direction reversed.
• ruff check --select E9,F63,F7,F82 . is clean.
• Not done: a live yfinance download. Yahoo is blocked in this environment, so the chain format was taken from yfinance's source (Ticker.option_chain).
• Not done: the UI was not opened in a browser with these files.

Screenshots

None.

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