Script for alerting to risky logins

My company has recently deployed a hybrid Office365 and we are in the middle of migrating users. We have purchased licenses for conditional access via the enterprise mobility suite. there is a lot of information in the portal for administrators, however we are looking for a way to alert users to the fact that they have logged in from a different IP address than previously, or from a geographic location different from previously within a short space of time. I have seen this with my personal gmail and others but there does not appear to be a way to do this natively in Office 365. See this article - we want to be able to do something similar. I suspect it can be done with a script in exchange online. [login to view URL]