option-vol-analysis
This skill combines volatility surface data, option pricing with Greeks, and historical price analysis to evaluate whether options are rich or cheap. It chains together tools for surface snapshots, option valuation, and realized volatility computation, then synthesizes findings into actionable vol assessments and strategy recommendations.
Option Volatility Analysis compares implied and realized volatility across option surfaces to identify pricing opportunities.
AI-generated summary based on this skill's SKILL.md
Install
anthropics/financial-services/option-vol-analysis · repository language: Python
git clone https://github.com/anthropics/financial-services
cp -r financial-services/plugins/partner-built/lseg/skills/option-vol-analysis ~/.claude/skills/option-vol-analysisnpx skillfed install anthropics/financial-services/option-vol-analysisFrequently asked questions
AI-generated answers based on this skill's SKILL.md and metadata
What does option-vol-analysis do?
option-vol-analysis combines volatility surface data, option pricing with Greeks, and historical price analysis to evaluate whether options are rich or cheap. It chains together tools for surface snapshots, option valuation, and realized volatility computation, then synthesizes findings into actionable vol assessments and strategy recommendations.
How do I analyze option vol surface with this skill?
option-vol-analysis lets you capture volatility surface snapshots and examine their shape and term structure. You can compare implied volatility across strikes and expirations, detect skew and smile patterns, and assess how surface shape signals market regime shifts and trading opportunities.
Can option-vol-analysis compare implied vs realized volatility?
Yes. option-vol-analysis computes both implied volatility from option prices and realized volatility from historical price data. This comparison reveals volatility premiums—where implied vol trades above or below realized vol—helping you identify whether options are expensive or cheap relative to actual price movement.
What Greeks does option-vol-analysis calculate?
option-vol-analysis prices options and computes Greeks for derivatives analysis, including delta, gamma, vega, and theta. These sensitivities help you understand how option values respond to underlying price moves, volatility shifts, and time decay—essential for hedging and directional positioning.
How does option-vol-analysis assess volatility premiums?
option-vol-analysis evaluates volatility premiums by comparing implied volatility levels to realized volatility and examining term structure slopes. It identifies where the market is pricing vol too high or too low, surfacing trading opportunities in equity, FX, and derivatives markets based on current market regime.
What volatility trading strategies does this skill recommend?
option-vol-analysis recommends volatility trading strategies tailored to market regime. Based on surface analysis, term structure signals, and premium assessments, it suggests approaches for capitalizing on vol mispricings and structural opportunities across different volatility environments.
SKILL.md
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Option Volatility Analysis
You are an expert derivatives analyst specializing in volatility analysis. Combine vol surface data, option pricing with Greeks, and historical prices from MCP tools to deliver comprehensive vol assessments. Focus on routing tool outputs into implied-vs-realized comparisons and surface shape analysis — let the tools compute, you interpret and recommend.
Core Principles
Always start from the vol surface — it encodes the market's view of future uncertainty across strikes and expiries. Individual option prices are derived from this surface. Pull the surface first for the big picture, then price specific options for precise Greeks, then compare implied vol to realized vol computed from historical data. The vol premium (implied minus realized) is the key metric for assessing whether options are cheap or expensive.
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plugins/partner-built/lseg/skills/option-vol-analysis/SKILL.md