option-vol-analysis

anthropics/financial-services

Analyze option volatility, Greeks, and implied vs realized vol to assess pricing and trading strategies.

What is option-vol-analysis?

Expert derivatives analysis tool that combines volatility surface data, option pricing with Greeks, and historical price comparisons. Use when pricing options, analyzing vol surfaces, computing Greeks, assessing vol premiums, or evaluating vol trading strategies.

Pull implied volatility surfaces for equities, indices, and FX pairs across strikes and expiries
Price individual options and compute full Greeks (delta, gamma, vega, theta, rho)
Compute realized volatility from historical price data over multiple time windows (20d, 60d, 90d)
Compare implied vs realized volatility to identify vol premiums and assess whether options are rich or cheap
Analyze surface shape including ATM term structure, risk reversals (skew), and butterflies (smile curvature)
Synthesize vol regime assessment with strategy recommendations based on Greeks and premium signals

How to install option-vol-analysis

npx skills add https://github.com/anthropics/financial-services --skill option-vol-analysis

Prerequisites

Access to MCP tools for vol surfaces (equity_vol_surface, fx_vol_surface)
Access to option pricing and Greeks computation (option_value)
Access to historical pricing data (tscc_historical_pricing_summaries or qa_historical_equity_price)
Valid RIC codes or currency pairs for the underlying assets

Claude Code

Cursor

Windsurf

Cline

How to use option-vol-analysis

1.Call equity_vol_surface or fx_vol_surface to retrieve the implied vol surface for your underlying
2.Use option_template_list to discover available option types, expiries, and strikes
3.Call option_value for specific options to extract premium, delta, gamma, vega, theta, and implied vol
4.Retrieve 1-year historical OHLC data using tscc_historical_pricing_summaries or qa_historical_equity_price
5.Compute realized volatility over 20-day, 60-day, and 90-day windows from historical prices
6.Compare implied vol to realized vol across matching tenors to identify vol premiums
7.Analyze surface shape (ATM term structure, risk reversals, butterflies) for regime and skew signals
8.Synthesize findings into vol assessment with strategy recommendations and key Greeks

Use cases

Good for

Determine whether to buy or sell options by comparing implied vol to realized vol across tenors
Assess skew and smile patterns in the vol surface to identify directional or volatility trading opportunities
Evaluate specific option positions by computing Greeks and understanding sensitivity to underlying price, vol, and time decay
Monitor vol term structure changes to detect shifts in market expectations across different expiries
Compare vol premiums across strikes and expiries to identify relative value in option strategies

Who it's for

Derivatives traders and analysts
Options market makers and risk managers
Quantitative researchers evaluating vol trading strategies
Portfolio managers hedging with options
Financial engineers pricing exotic derivatives

option-vol-analysis FAQ

What is the vol premium and why does it matter?

The vol premium is implied vol minus realized vol. A positive premium means options are expensive relative to recent price movement, suggesting you should sell vol; a negative premium suggests buying vol. It's the key metric for assessing whether options are fairly priced.

How do I use the Greeks to manage option positions?

Delta tells you directional exposure; gamma shows how delta changes with price moves; vega measures vol sensitivity; theta quantifies daily time decay. Use these to understand position risk and hedge accordingly.

What do risk reversals and butterflies tell me about the vol surface?

Risk reversals (25-delta RR) measure skew — the difference in vol between out-of-the-money puts and calls. Butterflies measure smile curvature. Together they reveal the market's view of tail risk and directional bias.

Should I compare 20-day realized vol to 1-month implied vol?

Yes. Match the realized vol window to the implied vol tenor: 20-day realized to 1M ATM vol, 60-day realized to 3M ATM vol, 90-day realized to 6M ATM vol. This ensures you're comparing apples to apples.

What vol regime signals should I watch?

Low vol (realized and implied both depressed) suggests limited opportunity; normal vol is baseline; elevated vol may indicate rich premiums to sell; crisis vol (spikes) often creates skew and tail-risk opportunities.

Full instructions (SKILL.md)

Source of truth, from anthropics/financial-services.

name: option-vol-analysis description: Analyze option volatility by combining vol surface data, option pricing with Greeks, and historical price data to assess implied vs realized volatility. Use when pricing options, analyzing volatility surfaces, computing Greeks, assessing vol premiums, or evaluating vol trading strategies.

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.

Available MCP Tools

equity_vol_surface — Implied vol surface for equities/indices. Input: RIC (e.g., ".SPX@RIC") or RICROOT (e.g., "ES@RICROOT"). Returns vol by strike/delta and expiry.
fx_vol_surface — Implied vol surface for FX pairs. Input: currency pair (e.g., "EURUSD"). Returns vol by delta and expiry. FX surfaces are quoted in delta space.
option_value — Price individual options with full Greeks (delta, gamma, vega, theta, rho). Use after identifying specific strikes from the vol surface.
option_template_list — Discover available option templates for an underlying. Use to find valid expiries and strikes before pricing.
tscc_historical_pricing_summaries — Historical OHLC data. Use to compute realized vol from price history.
qa_historical_equity_price — Historical equity prices. Alternative source for realized vol computation.

Tool Chaining Workflow

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.