OIPD v2.0.3

What's Changed

• Updated valuation_date and expiry date to accept timestamps, instead of just calendar dates
• This provides support for 0DTE options

Case study: spotting advanced knowledge trading 18min prior to Trump tweet

Trump announced a 90-day pause on most reciprocal tariffs on April 9, 2025. Reuters reports indications of advanced knowledge trading

• Trump announced tariffs at 1:18pm, moving the SPY price substantially
• we see abnormal implied distributions starting from 1pm, prior to his tweet

Notes:

• implied distributions of 0DTE April 9 2025 options
• 1m frequency SPY price downloaded using Alpaca free API
• free 1m options data from London Strategic

OIPD v2.0.2

Minor updates:

• Added DataFrame export methods for fitted results:
  • ProbCurve.density_results(domain=None, points=200)
  • ProbSurface.density_results(domain=None, points=200, start=None, end=None, step_days=1)
  • extended VolSurface.iv_results(domain=None, points=200, include_observed=True, start=None, end=None, step_days=1)

OIPD v2.0.1

OIPD v2: Overview of new capabilities

Previously in v1, OIPD generated the probability distribution of a future asset on a single future date.

OIPD has advanced in 2 directions:

1. It computes the market's expectations about the probable future prices of an asset, based on information contained in options data.

2. It provides an opinionated, end-to-end volatility surface fitting pipeline:

v2.0.1 Updates:

• Improved the theory of interpolating the probability surface. Probabilities can't be interpolated over time directly, only the volatility smiles can be interpolated linearly in total-variance space. So we've made the ProbSurface use the fitted VolSurface to directly
• Bug fixes: Made the t input consistent everywhere (same domain requirements and same type requirements)

Special thanks everyone who contributed to the development of v2:

Thanks to everyone who has contributed code:

And special thanks for support on theory, implementation, or advisory:

• integral-alpha.com
• Jannic H., Chun H. H., and Melanie C.
• and others who prefer to go unnamed

OIPD v2.0.0

OIPD v2: Overview of new capabilities

Previously in v1, OIPD generated the probability distribution of a future asset on a single future date.

OIPD has advanced in 2 directions:

1. It computes the market's expectations about the probable future prices of an asset, based on information contained in options data.

2. It provides an opinionated, end-to-end volatility surface fitting pipeline:

Special thanks everyone who contributed to the development of v2:

Thanks to everyone who has contributed code:

And special thanks for support on theory, implementation, or advisory:

• integral-alpha.com
• Jannic H., Chun H. H., and Melanie C.
• and others who prefer to go unnamed

1.0 release!

What's Changed

• Improve put-call parity preprocessing by @tyrneh in #64

New Contributors

• @elainechang362 made their first contribution in #63

Full Changelog: v0.0.6...v1.0.1