option-vol-analysis

Analyze option volatility by combining vol surface data, option pricing with Greeks, and historical price data to assess implied vs realized volatility. Use…

INSTALLATION
npx skills add https://github.com/anthropics/financial-services-plugins --skill option-vol-analysis
Run in your project or agent environment. Adjust flags if your CLI version differs.

SKILL.md

$27

  • Vol Surface Snapshot: Call equity_vol_surface or fx_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_list to find available option types, expiries, and strikes for the underlying.
  • Option Pricing: Call option_value for specific options of interest. Extract premium, delta, gamma, vega, theta, implied vol.
  • Historical Data: Call tscc_historical_pricing_summaries or qa_historical_equity_price for 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.

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