OptionChainAnalytics documentation

OptionChainAnalytics is a source-neutral data-container layer for point-in-time option research. It normalises heterogeneous feeds into OptionsDataDFs, reconstructs complete chains at an exact historical observation time, and exposes expiry, strike, volatility, roll, and portfolio queries.

The fastest route is first success. It is deterministic, offline, and requires no provider account. Before mapping empirical data, read the schema contract, point-in-time rules, and data-source boundaries.

The repository’s supported examples state the data prerequisite, network behavior, and output of every runnable script. Cache-first SPY workflows make no request after the local ThetaData cache has been built.

User guide

• First success
• OptionsDataDFs schema
  • Option columns
  • Minimal validation
• Point-in-time reconstruction
  • No-look-ahead contract
• Chain and roll queries
• Data sources and access boundaries
  • Canonical data catalogue and storage
  • CBOE conventions
  • Standardized local EOD caches
  • ThetaData EOD conventions
  • Local layout
• Choosing an option-data tool