Traders Edge MCP

A consolidated 0DTE-focused options cockpit for SPX / SPXW, exposed as a Model Context Protocol server. It pulls free, key-less market data and turns it into the dealer-positioning, volatility, and event signals an index-options scalper actually watches — chain & Greeks, gamma exposure (GEX), the zero-gamma flip, call/put walls, max-pain, 0DTE expected move, dealer DEX / vanna / charm, the full VIX term structure, and an economic-event clock.

Greeks are recomputed analytically (vectorized Black–Scholes via numpy) from open interest and implied vol, with proper Eastern-time time-to-expiry so 0DTE gamma stays realistic into the bell.

Data is ~15 minutes delayed (CBOE delayed quotes). That is fine for positioning and regime. Overlay a live broker quote (e.g. Robinhood/E*TRADE/Alpaca MCP) for execution pricing.

Tools (12)

Chain & Greeks

Dealer positioning

Vol complex

Event clock

Plus traders_edge_status (health check / current spot).

Related MCP server: Quant Companion MCP

Data sources (no API key required)

• CBOE delayed quotes — the keyless backbone:

  • Option chain: https://cdn.cboe.com/api/global/delayed_quotes/options/_SPX.json (contains both AM-settled monthly SPX and PM-settled SPXW weeklies/0DTE — ~32k contracts with open interest, IV, and Greeks).

  • Vol indices: https://cdn.cboe.com/api/global/delayed_quotes/quotes/_{SYM}.json

• TreasuryDirect — live upcoming auctions: https://www.treasurydirect.gov/TA_WS/securities/upcoming

Optional: set FMP_API_KEY or FINNHUB_API_KEY for a fully live economic calendar (tick-precise CPI / PCE / PPI release dates). Without a key, the calendar is built from rule-based releases (jobless claims, NFP, ISM), the 2026 FOMC schedule, a curated macro table, and live Treasury auctions — every event is source-tagged so you know its provenance.

Methodology & conventions

• Greeks: vectorized Black–Scholes, q=0 (index options), r=TE_RISK_FREE (default 4.3%; gamma is ~insensitive to it). Normal CDF via an Abramowitz–Stegun approximation (max error ~7e-8); no scipy.

• Time to expiry: years from now (ET) to 16:00 ET on the expiration date, floored at ~30 minutes so 0DTE gamma stays finite at the close.

• GEX convention: dealers assumed long calls / short puts → call gamma adds, put gamma subtracts. Dollar gamma per 1% move per option = gamma × OI × 100 × spot² × 0.01. Positive total GEX ⇒ dealers long gamma (vol-dampening / mean-reverting); negative ⇒ short gamma (moves amplified).

• Zero-gamma flip: net signed dollar gamma is recomputed across 81 spot levels (±10%); the flip is the zero-crossing nearest spot.

• Max-pain: the strike minimizing total option-holder intrinsic payout for that expiration.

• Expected move (0DTE): the ATM straddle mid (~1-sigma for the session).

• DEX / vanna / charm: same dealer (long-calls / short-puts) sign convention as GEX.

These are standard market-positioning heuristics computed from delayed open interest, not a guarantee of dealer books or future price. Use as one input alongside your own read.

Install

cd traders-edge-mcp
/Library/Frameworks/Python.framework/Versions/3.13/bin/python3 -m venv .venv
.venv/bin/pip install -r requirements.txt

Configure (Claude Desktop)

Add to ~/Library/Application Support/Claude/claude_desktop_config.json:

{
  "mcpServers": {
    "traders-edge": {
      "command": "/Users/<you>/Claude/mcp/traders-edge-mcp/.venv/bin/python",
      "args": ["/Users/<you>/Claude/mcp/traders-edge-mcp/traders_edge_mcp.py"]
    }
  }
}

(See claude_desktop_config.example.json.) Restart Claude Desktop after editing.

Test

.venv/bin/python test_traders_edge.py     # offline math/parsing tests

Disclaimer

For research and educational use only. Not investment advice. Market data is delayed; positioning metrics are modeled heuristics. You are responsible for your own trading decisions.

License

MIT — see LICENSE.