I built a dashboard to plot historical butterfly prices from an options database that I have locally. I’m using Python and Ipywidgets in a Jupyter Notebook to create a user interface to select the expiration and strikes of the fly and it will plot the closing fly prices versus the SPX. I’m sharing the code as it can serve as a good template for others looking to visualize data or create GUI Dashboards with Python.
The code is currently configured to read a local excel file. I’m having some issues with Python ODBC client due to cross compatibility issues but hope to tackle that soon. It’s configured for SPX and all available dates however the template should provide enough guidance to add that functionality if required. Then one can change the code to price straddles, strangles, ratios, etc. For example, here is the IV term structure for various dates around Brexit:
Hope this helps!