Python function: screenOptions()

Specification	Value
Delivery Frequency	continuous
Data Frequency	daily snapshot, real-time
Reporting Lag	Live: real-time; Historical: daily snapshots
Coverage	5,000+ U.S. equity options symbols, all strikes and expirations
Availability	Free

Product Overview

Overview

The Options Screener allows you to discover and filter option contracts for any underlying ticker. Given one or more underlying symbols, it returns all available option contracts with their Greeks, implied volatility, volume, and open interest — optionally filtered by contract type, days to expiry, strike range, expiry date range, and Greek/IV thresholds. The screener supports two modes:

Historical: Screen contracts as they existed on a specific past trading date.
Live: Screen today’s available contracts (falls back to the previous trading day if today’s data is not yet published).

Data Pipeline

Historical Screening

Historical option chain data is sourced from archived daily snapshots:

Daily chain snapshots: Each trading day, a snapshot of all active option contracts is captured with Greeks, IV, volume, and open interest.
Smoothed Greeks: Greeks and implied volatilities come from the same Smooth Market Value (SMV) pipeline described in the Options Greeks & Implied Volatility reference — ensuring consistent, non-arbitrageable values.

Live Screening

Live screening queries real-time option chain data:

Real-time chain: The current option chain is fetched from the live market data feed, including real-time Greeks computed from the latest 1-minute snapshots.
Pagination: For underlyings with large option chains (thousands of strikes × multiple expirations), results are paginated and assembled automatically.

Coverage

Underlying symbols: 5,000+ U.S. equities and ETFs with listed options.
Contract types: Calls, puts, or both.
Expirations: All standard and weekly expirations.
History: Daily snapshots available for historical screening.

Supported Modes

Mode	Trigger	Behavior
Historical	`trade_date` provided	Screens contracts for the given date.
Live	`trade_date` omitted	Uses today’s date; falls back to previous trading day if today’s data is not yet available.

Querying the Data

Basic Usage

from scalarlib import screenOptions

# All AAPL options on a given date
contracts = screenOptions(tickers=['AAPL'], trade_date='2026-02-06')
aapl_df = contracts['AAPL']

# Live screening (today's contracts)
contracts = screenOptions(tickers=['NVDA'])

# Filtered: short-dated calls with delta and IV constraints
contracts = screenOptions(
    tickers=['AAPL', 'MSFT'],
    trade_date='2026-02-06',
    contract_type='call',
    days_to_expiry=(5, 30),
    delta_range=(0.2, 0.8),
    iv_range=(0.1, 0.5)
)

# Extract symbols for use in getOptionsQuotes
symbols = contracts['AAPL']['symbol'].tolist()
quotes = getOptionsQuotes(tickers=symbols, start='2026-02-01', end='2026-02-06')

Parameters

Parameter	Type	Required	Description
`tickers`	list of str	Yes	Underlying ticker symbols (e.g., `['AAPL', 'NVDA']`).
`trade_date`	str	No	Date to screen (`'YYYY-MM-DD'`). Default: today (live mode).
`contract_type`	str	No	`'call'`, `'put'`, or `None` for both. Default: `None`.
`days_to_expiry`	tuple of float	No	`(min, max)` days to expiry filter.
`strike_range`	tuple of float	No	`(min, max)` strike price filter.
`expiry_date_range`	tuple of str	No	`('YYYY-MM-DD', 'YYYY-MM-DD')` earliest and latest expiry.
`delta_range`	tuple of float	No	`(min, max)` delta filter.
`gamma_range`	tuple of float	No	`(min, max)` gamma filter.
`theta_range`	tuple of float	No	`(min, max)` theta filter.
`vega_range`	tuple of float	No	`(min, max)` vega filter.
`iv_range`	tuple of float	No	`(min, max)` implied volatility filter (e.g., `(0.1, 0.5)` for 10%–50%).

Column Definitions

Screen Options Schema

Column	Type	Description
`symbol`	string	Option symbol in OPRA format (e.g., `AAPL260211C00275000`).
`ticker`	string	Underlying ticker (e.g., `AAPL`).
`contract_type`	string	`"call"` or `"put"`.
`expiry_date`	string	Expiration date.
`strike_price`	float64	Strike price.
`trade_date`	string	The screening date.
`delta`	float64	Option delta (consistent across call/put at the same strike).
`gamma`	float64	Option gamma.
`theta`	float64	Option theta (daily time decay).
`vega`	float64	Option vega.
`implied_vol`	float64	Smoothed mid implied volatility.
`days_to_expiry`	float64	Calendar days until expiration.
`volume`	float64	Daily trading volume.
`open_interest`	float64	Open interest.

Typical Workflow

The options screener is typically the first step in an options analysis workflow:

Screen: Use screenOptions to discover available contracts matching your criteria.
Quote: Pass the resulting symbols to getOptionsQuotes for detailed quote data with full Greeks.
Analyze: Use the quote data for pricing analysis, strategy construction, or risk management.

​Product Overview

​Overview

​Data Pipeline

​Historical Screening

​Live Screening

​Coverage

​Supported Modes

​Querying the Data

​Basic Usage

​Parameters

​Column Definitions

​Screen Options Schema

​Typical Workflow

Product Overview

Overview

Data Pipeline

Historical Screening

Live Screening

Coverage

Supported Modes

Querying the Data

Basic Usage

Parameters

Column Definitions

Screen Options Schema

Typical Workflow