SKILL.md
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- Vol Surface Snapshot: Call
equity_vol_surfaceorfx_vol_surface(based on asset type). Extract ATM vol term structure, 25-delta risk reversals (skew), and butterflies (smile curvature).
- Template Discovery: Call
option_template_listto find available option types, expiries, and strikes for the underlying.
- Option Pricing: Call
option_valuefor specific options of interest. Extract premium, delta, gamma, vega, theta, implied vol.
- Historical Data: Call
tscc_historical_pricing_summariesorqa_historical_equity_pricefor 1Y daily history.
- Realized Vol Computation: From historical prices, compute close-to-close realized vol over 20-day, 60-day, and 90-day windows. Compare to matching implied vol tenors.
- Synthesize: Combine surface shape, Greeks, and implied-vs-realized comparison into a vol assessment with strategy recommendations.
Output Format
Vol Surface Summary
Tenor
ATM Vol
25d RR
25d BF
1M
...
...
...
3M
...
...
...
6M
...
...
...
1Y
...
...
...
Greeks Table
Greek
Call
Put
Premium
...
...
Delta
...
...
Gamma
...
...
Vega
...
...
Theta
...
...
Implied Vol
...
...
Implied vs Realized Comparison
Window
Realized Vol
Implied Vol (matching tenor)
Premium (IV - RV)
Signal
20d
...
1M ATM
...
Rich/Cheap
60d
...
3M ATM
...
Rich/Cheap
90d
...
6M ATM
...
Rich/Cheap
Assessment
State the vol regime (low/normal/elevated/crisis), whether implied is rich or cheap vs realized, surface shape signals (skew direction, term structure shape), and recommended strategies with key Greeks and rationale.