brain-options

Options-trading alpha generation engine (implied vol, skew, term structure, breakeven) for WorldQuant BRAIN.

brain_options generates institutional quantitative alphas on WorldQuant BRAIN options datasets (option8, option9, ValueScore: 6.0). It codifies 30 mathematical archetypes across implied volatility surfaces, skew, term structure, and straddle breakevens into vector-neutral Fast Expressions with automated AST deduplication. For institutional literature citations and surface derivations, see the whitepaper.

Installation

pip install brain-options

Quickstart

from brain_options import OptionsAlphaEngine

engine = OptionsAlphaEngine()

# Generate 5 vector-neutral options alpha candidates
candidates = engine.generate_candidates(count=5)

for cand in candidates:
    print(f"[{cand.tags}] {cand.expression}\n")

Core Options Archetypes

Architecture

brain_options/
├── brain_options/
│   ├── __init__.py        # Public re-exports (OptionsAlphaEngine, OptionCandidate)
│   ├── data/
│   │   └── catalog.json   # Live BRAIN options field catalog
│   ├── catalog.py         # OptionsCatalog field groupings & loader
│   ├── archetypes.py      # Quantitative options strategy descriptors
│   ├── dedup.py           # AST expression deduplicator (delegates to brain_core)
│   ├── generator.py       # Candidate generation engine
│   ├── py.typed           # PEP 561 typing marker
│   └── strategies/        # Modular strategy families (skew, surface, term_structure)
├── tests/                 # Unit tests covering catalog, engine, filter, candidate
└── docs/
    ├── API.md             # Complete API specification
    └── whitepaper.md      # Quantitative options theory & surface formulations

Testing

pytest tests/ -v

Security

Report vulnerabilities per SECURITY.md.

Contributing

See CONTRIBUTING.md for contribution guidelines.

License

Released under the MIT License. Maintained by Xtley001.