Options Edge Scanner — From Option Chains to Research Shortlists

The Options Edge Scanner is a Python research tool I developed to turn a universe of option contracts into a structured, inspectable shortlist.

Rather than producing a ranking without explanation, the scanner preserves the evidence and limitations behind each candidate.

Its workflow includes:

  • Data validation: Checking option quotes, contract characteristics, and input quality.
  • Screening and ranking: Evaluating candidates against configurable research criteria.
  • Auditability: Preserving ranking drivers, execution assumptions, exclusions, and missing information.

The demonstration uses synthetic option data for a fictional underlying while running the scanner’s actual loading, validation, and ranking logic.

Four synthetic XYZ debit spreads ranked by the real scanner. Bear put 100/110 ranks first with score 3.910, followed by bull call 95/105, bear put 100/105 and bull call 95/100.
Synthetic XYZ demo: eight input quotes produce four ranked debit spreads. The 100/110 bear put ranks first with a score of 3.910. Probability and score are model outputs; no realized outcomes are included.
Top synthetic XYZ candidate: 100/110 bear put, 42 days to expiration, quoted debit 2.00 adjusted to 2.27, model probability 85.3%, expected value 5.10 and liquidity score 0.533.
Rank 1 evidence: quoted debit 2.00 becomes 2.27 after a 0.27 execution adjustment; model probability is 85.3% and liquidity score is 0.533. Execution and liquidity assumptions are heuristics, not observed fills or proof of profitability.

The resulting shortlist is intended for research and decision support—not automatic trading recommendations. A favorable ranking does not establish that a contract or strategy will be profitable.

GitHub: https://github.com/rossautomatedsolutions/options_edge_scanner

Research and demonstration purposes only. Not investment advice.

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