APEX Gamma

Precision 0DTE SPY options scanner and execution engine built on real-time Greeks.

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Overview

APEX Gamma is a quantitative options trading system designed around the gamma arc lifecycle of 0DTE (same-day expiry) SPY contracts. The core thesis: near-expiry options experience a predictable gamma explosion as they approach ATM, creating a narrow, high-conviction entry window before rapid decay sets in. This system identifies that window in real time.

Built on Alpaca's options data API with a full Black-Scholes engine running in parallel — because broker-provided Greeks aren't always available, and when they are, diffing them against BS is signal in itself.

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Architecture

config.py          — Alpaca client setup, strategy constants, gamma arc parameters
greeks_engine.py   — Black-Scholes Greeks, implied vol solver, gamma arc signal logic
scanner.py         — Live SPY 0DTE chain scan, IV back-solve, contract ranking
dashboard.py       — Streamlit dashboard: gamma surface, IV smile, signal alerts

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How It Works

1. Greeks Engine (greeks_engine.py)

• Full Black-Scholes implementation: Δ, Γ, Θ, V, ρ
• Implied vol solver using Brent's method — back-solves IV from market price when broker doesn't provide it (common on paper accounts and off-hours)
• Gamma arc signal logic — call/put aware, uses moneyness thresholds to classify each contract as ENTRY, PEAK, EXIT, HOLD, or AVOID
• BS vs broker Greeks diff — positive diff on gamma = BS sees more convexity than the market is pricing

2. Scanner (scanner.py)

• Pulls the full SPY 0DTE chain via Alpaca OptionChainRequest
• Two-pass design: first pass finds the gamma peak per option type, second pass scores every contract against it
• Computes pricing edge (market mid vs BS fair value) for each contract
• Outputs a ranked DataFrame sorted by signal priority → gamma magnitude

3. Dashboard (dashboard.py)

• Streamlit UI with dark theme
• Gamma surface chart — BS gamma across all near-ATM strikes with live spot line
• IV smile chart — implied vol curve for calls and puts
• Pricing edge panel — market vs BS fair value by strike
• Signal alert panel — ENTRY / PEAK / EXIT contracts surfaced at a glance
• Sidebar controls for option type, signal filter, strike range, and auto-refresh

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Gamma Arc Signal Logic

Signal	Condition
ENTRY	Slightly OTM (within 0.3% of spot), gamma building
PEAK	At or just past ATM, gamma near maximum
EXIT	Past snipe threshold (0.5% ITM), gamma decaying >15% from peak
AVOID	Gamma collapsed below minimum threshold
HOLD	None of the above

Key parameters (tunable in config.py):

ENTRY_MONEYNESS_THRESHOLD  = 0.997   # how close to ATM before entry
GAMMA_PEAK_DECAY_TRIGGER   = 0.85    # exit when gamma drops to 85% of peak
SNIPE_EXIT_MONEYNESS_CALL  = 1.005   # exit call at 0.5% ITM
SNIPE_EXIT_MONEYNESS_PUT   = 0.995   # exit put at 0.5% ITM

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Setup

git clone https://github.com/mrose105/apex_gamma
cd apex_gamma
pip install alpaca-py pandas numpy scipy streamlit plotly

Set environment variables:

export APCA_API_KEY_ID="your_key"
export APCA_API_SECRET_KEY="your_secret"

Run the scanner:

python3 scanner.py

Launch the dashboard:

streamlit run dashboard.py

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Stack

• Alpaca Markets API — options chain data, order execution
• Black-Scholes / scipy — Greeks computation, IV back-solving
• Pandas / NumPy — chain processing and ranking
• Streamlit / Plotly — live dashboard

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Paper trading mode by default. Not financial advice.