ES Payoff Live

The need

The static ES Options Payoff tool is great for sketching an idea, but it can’t answer the questions that actually drive a trade: What is ES doing right now? Is implied vol rich or cheap vs what’s been realized? Is the term structure in backwardation? What does the front-expiry ATM straddle imply for the day’s expected move? Those questions need live data, and they need it synthesized: not just printed in a table.

Broker platforms ship most of these numbers individually, scattered across tabs and panels, in a UI built around order entry rather than research. ES Payoff Live pulls everything into one screen designed for thinking, not clicking: live feed in, payoff & greeks out, regime synthesis underneath, snapshot-and-replay for after-hours work.

What it does

• Live ES + VIX family feed: front-month ES futures plus VIX, VIX1D, VIX9D, and VIX3M streamed from a broker API into an in-process WebSocket broadcaster.
• Multi-leg payoff with calendar/diagonal support: same Black-76 engine as the static tool, but with a “1st Expiry” overlay that solves the awkward case where the front leg of a calendar has expired but the back leg hasn’t.
• Live greeks per leg: bid/ask mid, IV, delta, gamma, theta, vega pulled per-strike on demand from the chain snapshot.
• Expected-move ladder: ATM straddle priced at multiple DTE targets so the term structure of expected move is visible at a glance.
• Realized vs implied vol: HV5/10/20/30 against VIX1D/VIX9D/VIX and an IV÷RV ratio that flags rich/cheap premium.
• 25Δ risk reversal and max-pain: skew read in vol points and a max-pain strike computed from the chain’s open interest.
• Climate & regime synthesis: rule-based label (Risk-On Uptrend, Volatility Stress, Range-Bound, etc.) plus a plain-language narrative on the current vol environment.
• Snapshot mode: freeze the full chain to disk with a single click, then replay the position as it was at that moment for after-hours research.
• Weekend-resilient state: warm parquet replay on restart and last-known fallback for halted instruments mean the dashboard isn’t blank when the market is closed.
• Public-view mode: a dedicated /public route hides tooltips, legends, and dev controls so the same dashboard can be shared as a clean screenshot.

Tech stack

• Python + FastAPIAsync server hosting both the REST/HTML surface and the WebSocket broadcaster. ~2k lines of Python, ~3.6k lines of front-end.
• ib_insyncAsync wrapper over the broker’s native TWS API. Handles the live tickers, front-month resolution, chain pulls, and reconnects.
• In-memory ring buffer + parquet warehouseEvery tick lands in a per-stream ring buffer with periodic atomic flush to date-partitioned parquet on disk. Warm reload replays the buffer on restart.
• DuckDBReads the parquet warehouse with union_by_name to survive schema drift across days.
• Black-76 in vanilla JSSame futures-options pricing model as the static tool: lifted forward as the canonical math engine on the client.
• Chart.js 4.4Drives the payoff, decay-sweep animation, and the half-dozen mini ES trend sparklines (2W / 1M / 3M / 6M / 1Y / 5Y).
• WebSocket diff broadcasterServer pushes only what changed (live ticks, chain updates, expected-move recompute, market-read refresh) at a configurable Hz.
• No build step on the clientOne index.html, one app.js, one stylesheet. Open the file, read the code: same shape as the static predecessor.

What the design buys you

• Survives a restart with zero blank state: warm parquet replay means the chart, expected move, and VIX tiles repopulate immediately. Worst case loses one flush cycle of ticks.
• Survives a closed market: cash VIX halts overnight and on weekends, but the dashboard falls back to last-known close per instrument so the regime read stays meaningful.
• One screen for thinking: the climate label, regime narrative, vol regime card, and expected-move ladder are intentionally co-located so reading the market is one glance, not five tabs.
• Snapshots are first-class: after-hours research replays the exact chain state from a known moment, with the same UI as live.
• Clean handoff for screenshots: the /public route strips informational chrome without forking the codebase, so what gets shared looks like a product, not a developer’s console.

Why it’s not a public web app

The live data feed comes from a per-user broker subscription that’s tied to my account. Market-data licensing prohibits redistributing the raw feed, so this can’t be hosted publicly the way the static tool can: it runs locally against my own broker session. Screenshots and architecture detail are public; the live ticks stay on my machine.

Status

Used daily as personal trading infrastructure. Active code base: the regime synthesis, snapshot mode, and weekend-resilience were all added on top of the original payoff engine over time. Source not currently public.

Disclaimer

Not investment advice. Pricing uses the standard Black-76 model with live broker quotes. Regime labels and posture suggestions are rule-based heuristics, not signals. Trade your own capital.

Links