I wonder if it is possible to create an executable module from a Python script. I need to have the most performance and the flexibility of Python script, without needing to run
There's pyrex that compiles python like source to python extension modules
rpython which allows you to compile python with some restrictions to various backends like C, LLVM, .Net etc.
There's also shed-skin which translates python to C++, but I can't say if it's any good.
PyPy implements a JIT compiler which attempts to optimize runtime by translating pieces of what's running at runtime to machine code, if you write for the PyPy interpreter that might be a feasible path.
The same author that is working on JIT in PyPy wrote psyco previously which optimizes python in the CPython interpreter.