option-vol-analysis

Name: option-vol-analysis
Author: anthropics/financial-services

$npx mdskill add anthropics/financial-services/option-vol-analysis

Compare implied and realized volatility to price options accurately.

Assess option premiums by contrasting market expectations with historical returns.
Integrates equity and FX vol surfaces with historical price datasets.
Derives Greeks and volatility metrics from aggregated surface data.
Delivers actionable recommendations on vol premiums and trading strategies.

SKILL.md

.github/skills/option-vol-analysisView on GitHub ↗

---
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

1. **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).
2. **Template Discovery:** Call `option_template_list` to find available option types, expiries, and strikes for the underlying.
3. **Option Pricing:** Call `option_value` for specific options of interest. Extract premium, delta, gamma, vega, theta, implied vol.
4. **Historical Data:** Call `tscc_historical_pricing_summaries` or `qa_historical_equity_price` for 1Y daily history.
5. **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.
6. **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.

More from anthropics/financial-services

Skill	Description
3-statement-model	Complete, populate and fill out 3-statement financial model templates (Income Statement, Balance Sheet, Cash Flow Statement) . Use when asked to fill out model templates, complete existing model frameworks, populate financial models with data, complete a partially filled IS/BS/CF framework, or link integrated financial statements within an existing template structure. Triggers include requests to fill in, complete, or populate a 3-statement model template
accrual-schedule	Build the period-end accrual schedule — for each accrual, compute the entry, cite the support, and draft the JE. Use during month-end close; the JE is a draft for controller approval, not a posting.
ai-readiness	Scan the portfolio for the highest-leverage AI opportunities and rank where to deploy operating-partner time. Ingests quarterly updates and financials across multiple portfolio companies, identifies quick wins at each, and stacks them into a single ranked action list. Use during quarterly portfolio reviews, annual planning, or when deciding which companies get AI investment first. Triggers on "AI readiness", "AI opportunity scan", "where should we deploy AI", "AI across the portfolio", "AI quick wins", or "which portcos are ready for AI".
audit-xls	Audit a spreadsheet for formula accuracy, errors, and common mistakes. Scopes to a selected range, a single sheet, or the entire model (including financial-model integrity checks like BS balance, cash tie-out, and logic sanity). Triggers on "audit this sheet", "check my formulas", "find formula errors", "QA this spreadsheet", "sanity check this", "debug model", "model check", "model won't balance", "something's off in my model", "model review".
bond-futures-basis	Analyze the bond futures basis by pricing futures, identifying the cheapest-to-deliver, and comparing with yield curves to assess delivery option value and basis trading opportunities. Use when analyzing bond futures, computing the basis, identifying CTD bonds, calculating implied repo rates, or evaluating basis trades.
bond-relative-value	Perform relative value analysis on bonds by combining pricing, yield curve context, credit spreads, and scenario stress testing. Use when analyzing bond richness/cheapness, computing spread decomposition, comparing bonds, assessing bond value vs curves, or running rate shock scenarios.
break-trace	Root-cause a reconciliation break to its source transaction or posting — follow the audit trail from the break row back to the originating entry on each side and state what differs and why. Use after gl-recon has classified a break.
buyer-list	Build and organize a universe of potential acquirers for sell-side M&A processes. Identifies strategic and financial buyers, assesses fit, and prioritizes outreach. Use when preparing for a sell-side mandate, building a buyer universe, or evaluating potential partners. Triggers on "buyer list", "buyer universe", "potential acquirers", "who would buy this", "strategic buyers", or "financial sponsors".
catalyst-calendar	Build and maintain a calendar of upcoming catalysts across a coverage universe — earnings dates, conferences, product launches, regulatory decisions, and macro events. Helps prioritize attention and position ahead of events. Triggers on "catalyst calendar", "upcoming events", "what's coming up", "earnings calendar", "event calendar", or "catalyst tracker".
cim-builder	Structure and draft a Confidential Information Memorandum for sell-side M&A processes. Organizes company information into a professional, investor-ready document with consistent formatting and narrative flow. Use when preparing sell-side materials, drafting a CIM, or organizing company data for a sale process. Triggers on "CIM", "confidential information memorandum", "offering memorandum", "info memo", "draft CIM", or "sell-side materials".