Volatility estimator and assignment statistics for SPX. Also Pulumi infrastructure to run volstats.com.
Just go to volstats.com.
Or you can clone and flask run. You will need to comment out the part related to assignment statistics, as it uses my own large processed dataset from CBOE intraday options data.
| Variable Name | Description |
|---|---|
MODE |
The mode in which the application runs. |
ITM_PICKLE_PATH |
Path to the pickle file for ITM data. |
QUOTES_API_KEY |
API key for accessing market quotes. |
| API Name | Description |
|---|---|
yahoo |
Free. Reliability is not great. |
twelvedata |
Has free tier but issues with indices since October. |
fmp |
My current choice. $20/mo, includes calendar. |
Setting this up on AWS was a fun weekend project. It runs as lambda container image updating static page on S3, which is then exposed with CloudFront and Route53. It costs less than $2/mo. Domain is another $10/yr.
For infra I used Pulumi and generally after this exercise can recommend it as a better alternative to Terraform. Pulumi AI was quite helpful to start and create boilerplate, although it does fail at some niche cases Don't know what LLM they are using, I found that in some cases the vanilla ChatGPT did a better job working with Pulumi documentation.