options-pricing
Options Pricing provides quantitative models for valuing derivatives on crypto assets like BTC and ETH across platforms including Deribit, Lyra, and Aevo. The skill currently includes a working Black-Scholes calculator with Greeks computation and an implied volatility solver, with planned support for binomial trees, Monte Carlo simulation, and volatility surface analysis. Use it to hedge spot positions, identify mispriced options, and assess portfolio risk.
Options Pricing computes theoretical option values and Greeks for crypto derivatives using Black-Scholes and planned binomial models.
AI-generated summary based on this skill's SKILL.md
Decision gist · record as of 2026-06-24
Options Pricing computes theoretical option values and Greeks for crypto derivatives using Black-Scholes and planned binomial models. Options Pricing provides quantitative models for valuing derivatives on crypto assets like BTC and ETH across platforms including Deribit, Lyra, and Aevo. The skill currently includes a working Black-Scholes calculator with Greeks computation and an implied volatility solver, with planned support for binomial trees, Monte Carlo simulation, and volatility surface analysis. Use it to hedge spot positions, identify mispriced options, and assess portfolio risk.
Use it when
- Options Pricing computes delta, gamma, theta, vega, and rho to quantify portfolio Greeks for hedging and risk management.
- Options Pricing includes an implied volatility solver and supports volatility surface construction and term structure analysis.
Verify before relying
Read SKILL.md below before installing (3 files). Open directory: indexed for reading, not audited.
Install
agiprolabs/claude-trading-skills/options-pricing · repository language: Python
Open directory. Skills are indexed for reading, not audited. Review a skill's body before installing it.
Frequently asked questions
AI-generated answers based on this skill's SKILL.md and metadata
What models does options-pricing support for crypto option valuation?
Options Pricing provides Black-Scholes and binomial tree models for pricing European and American crypto options on assets like BTC and ETH. The skill includes a working Black-Scholes calculator with Greeks computation and an implied volatility solver. Planned enhancements will add Monte Carlo simulation and volatility surface analysis to support structured products and multi-leg strategies across platforms including Deribit, Lyra, and Aevo.
How do I use options-pricing to calculate the Greeks for portfolio risk?
Options Pricing computes delta, gamma, theta, vega, and rho to quantify portfolio Greeks for hedging and risk management. These sensitivities help you understand how option values respond to underlying price changes, time decay, volatility shifts, and interest rate moves. Use the Greeks output to determine hedging ratios and adjust positions to maintain your target risk exposure on crypto derivatives.
Can options-pricing construct implied volatility surfaces and analyze volatility term structure?
Options Pricing includes an implied volatility solver and supports volatility surface construction and term structure analysis. This lets you examine volatility smile and skew patterns across strikes and maturities, compare realized versus implied volatility, and identify potential mispricings in crypto options markets. Surface analysis helps you assess market expectations and refine hedging strategies.
What is the difference between European vs American option pricing in options-pricing?
Options Pricing handles both European and American crypto options. European options can only be exercised at expiration and are priced using Black-Scholes; American options allow early exercise and are priced using binomial trees. The skill helps you value both styles on crypto assets, enabling you to hedge spot positions and compare pricing across different exercise features.
How does options-pricing help with structured products and multi-leg strategies?
Options Pricing values structured products and multi-leg option strategies like covered calls and protective puts. By combining single-option Greeks and pricing models, the skill lets you assess payoff profiles, compute net Greeks, and identify arbitrage opportunities across legs. This supports both hedging spot crypto holdings and constructing synthetic positions.
Which crypto derivatives platforms does options-pricing work with?
Options Pricing is designed for major crypto options platforms including Deribit, Lyra, Aevo, and Zeta Markets. The skill values derivatives on BTC, ETH, SOL, and other crypto assets using quantitative models. It's released under the MIT license, making it freely available for integration into your trading and risk management workflows.
SKILL.md
Rendered from the published skill. Quoted content, verbatim.
Options Pricing
> Status: STUB — This skill provides a basic Black-Scholes implementation and an overview of planned capabilities. Full implementation is awaiting community contribution.
Options pricing is the quantitative foundation of derivatives trading. For crypto markets, options on BTC and ETH trade actively on Deribit, Lyra, and Aevo, while Solana options are emerging on platforms like Zeta Markets and PsyOptions. Understanding pricing models, implied volatility surfaces, and Greeks is essential for hedging, volatility trading, and constructing structured products.
This skill is informational and analytical only. It does not provide financial advice or trading recommendations.
Current Capabilities
This stub includes a working Black-Scholes calculator with Greeks computation and a basic implied volatility solver. See scripts/black_scholes.py for the implementation.
```python import math from scipy.stats import norm
def black_scholes_call(S: float, K: float, T: float,
(truncated - see the full file via the links below)
File tree — 3 files
skills/options-pricing/SKILL.md
skills/options-pricing/references/planned_features.md
skills/options-pricing/scripts/black_scholes.py
Let your AI agent find skills like this
Example. Real query, live index.
You found this page by searching. An agent finds it by wishing: SkillFed indexes 56,283 agent skills by what they can do, searchable in plain language.
wish › “Price European and American crypto options using Black-Scholes and binomial models”
Give your agent the search over MCP, or paste the wish link into any chat. No install? Search from any chat →
Related skills
Options Payoff generates P&L curves and payoff diagrams for single and multi-leg option strategies, from basic calls and puts to complex spreads, butterflies, and condors. It calculates Black-Scholes pricing, the full Greeks suite, and implied volatility, then visualizes strategy performance across underlying price ranges. Built for research and backtesting within the Vibe-Trading framework.
This skill models options strategies through theoretical pricing and Greeks analysis, helping traders evaluate covered calls, spreads, iron condors, and other positions without real-time market subscriptions. It calculates strategy profit/loss, position sizing, and risk exposure using Black-Scholes formulas and historical volatility data from FMP API. Built for learning and simulation, not live trading.
Compute Greeks and implied volatility for options using the Black-Scholes framework. Input spot price, strike, expiration, and market price to derive delta, gamma, theta, vega, and rho—essential metrics for understanding position sensitivity and risk exposure.
options-strategy lets you backtest complex option portfolios—from covered calls and protective puts to iron condors and butterflies—by synthesizing theoretical prices via Black-Scholes and tracking Greeks exposure across time. The engine accepts daily underlying data, applies historical volatility, and outputs trade-by-trade records, daily Greeks aggregates, and performance metrics for strategy validation.
This skill teaches time-series volatility modeling and options-market approaches to quantify and predict market uncertainty. Learn EWMA and GARCH frameworks for volatility forecasting, understand implied volatility extraction from option prices, and interpret volatility smile, skew, and term structure patterns. Use it to calculate volatility risk premiums, analyze the VIX, and support derivatives pricing and portfolio hedging decisions.
Access real-time options data including quotes, chains, Greeks (Delta, Gamma, Theta, Vega), and implied volatility for HK and US markets. Explore HK warrants, callable bull/bear certificates, and warrant issuer lists. The skill routes to strategy frameworks, P&L analysis, and volatility research as needed.
More skills option-vol-analysis (Apache-2.0) · Digital Oracle Main (NOASSERTION) · crypto-derivatives (MIT) · Trading Signals Skill (unlicensed)