Options Scanner — automated multi-strategy trade builder

Also packaged as an MCP server (7 tools: scan, build, position/roll checks) for Claude Desktop, Claude Code and Hermes — see MCP_SERVER.md for setup and an honest evaluation of the engine.

Automated options scanner: pulls option chains + stock quotes from free online sources (Nasdaq/NYSE listed underlyings via Yahoo Finance), builds multi-leg strategies with a defined-risk-first design, gates every candidate through a risk engine, and outputs ranked trades as JSON/CSV for the browser dashboard.

Data sources

Provider	Latency	Setup	Adapter
Alpaca (IEX)	real-time	`ALPACA_KEY_ID` + `ALPACA_SECRET_KEY` env vars (free)	`AlpacaProvider`
Tradier	real-time	`TRADIER_API_KEY` env var (free with brokerage account)	`TradierProvider`
Polygon.io	real-time	`POLYGON_API_KEY` env var (options plan)	`PolygonProvider`
Yahoo Finance	~15 min delayed	none (`pip install yfinance`)	`YFinanceProvider` (default)

The scanner auto-selects the best provider present: Tradier > Alpaca > Polygon > yfinance, or force one with --provider. All providers share one normalized Chain model, so switching feeds changes nothing else.

Alpaca's free IEX feed has no open interest and thin one-sided quotes on some contracts; the engine treats one-sided quotes as wide markets (penalized in scoring, never silent) and drops quotes with impossible implied vols.

Honest note: "real-time" free options data does not exist anywhere. Free feeds are delayed ~15 min. Plug in a Tradier key (free tier with a broker account) for real-time chains.

Strategies built

Defined-risk by default — every short leg is paired inside a spread:

Verticals: bull/bear credit spreads and bull/bear debit spreads
Calendars (call & put, same strike)
Diagonals (long theta, offset strikes across expirations)
Long butterflies and Iron butterflies
Iron condors
Call ratio backspreads (1x2)
Jade lizards (credit > call-spread width where available)
Double diagonals (the defined-risk "short strangle")
Short straddles/strangles: rejected by default (undefined risk); pass --allow-undefined-risk to admit them with a loud warning — the defined-risk equivalents (iron fly / double diagonal) are built instead

Risk engine

Payoff-grid max profit / max loss / breakevens at the shortest leg's expiry; back-month legs valued with Black-Scholes at that date (honest calendar and diagonal risk). Max loss is floored at the debit actually paid.
Gates: per-leg open interest, bid-ask spread vs mid, positive bids, defined risk, buying-power effect ≤ max % of account, earnings dates inside the trade window.
POP from lognormal distance of short strikes; composite score = expectancy (45%) + POP (25%) + credit efficiency (20%) + liquidity (10%).

Rolling mechanics

rolling.RollManager.check(position, chain, rules) marks open positions and returns concrete actions: close at profit target (default 50% of credit), stop at 2x credit, and rolls — out, out-and-down (tested put), out-and-up (tested call) — when DTE hits the management window or a short strike's delta breaches the tested threshold.

Quick start

pip install yfinance

# auto universe (40 large caps + high-IV names + ETFs), free delayed data
python -m options_scanner.scan --output results.json --csv results.csv

# your watchlist, real-time via Alpaca
export ALPACA_KEY_ID=... ALPACA_SECRET_KEY=...
python -m options_scanner.scan --symbols SPY,QQQ,NVDA --provider alpaca

Tune per-trade risk with --account-size and --risk-pct.

Output

results.json carries top_candidates (ranked by composite score, best 3 per symbol) with full leg lists, breakevens, BPE in dollars, POP, and the reasons each trade passed/failed gates; errors lists tickers that failed to load. The JSON is what the browser dashboard reads.

Disclaimer

Educational tooling, not financial advice. Option pricing uses delayed data unless a real-time key is configured; verify every structure in your broker before trading.