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Option Vol Analysis

AnthropicOfficialCreated by LSEGDistributed by Anthropic

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  • Business and productivity
  • Apache-2.0
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From the author

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.
— the description by LSEG

AutoGineer summary

Written by AutoGineer from the skill’s own files, not by the author

This skill enables an AI agent to act as a derivatives analyst, systematically evaluating market volatility. By integrating implied volatility surface data with historical price analysis and option pricing models, the agent provides a structured assessment of whether options are priced as rich or cheap relative to realized volatility. It follows a rigorous workflow to extract surface metrics, compute Greeks, and synthesize findings into actionable trading strategy recommendations.

What it does

  • Retrieves and interprets implied volatility surfaces for equities and FX.
  • Calculates precise option values and Greeks including delta, gamma, vega, theta, and rho.
  • Computes realized volatility from historical price data across multiple time windows.
  • Compares implied versus realized volatility to identify potential mispricing.
  • Analyzes surface shape signals such as skew and term structure curvature.
  • Generates structured reports including volatility summaries and strategy recommendations.

When to use it

  • When evaluating the cost of options relative to historical market movement.
  • When analyzing the shape of volatility surfaces to identify market sentiment.
  • When pricing specific options to understand risk exposure via Greeks.
  • When developing or validating volatility-based trading strategies.
  • When assessing whether volatility is currently elevated or suppressed.

Advantages

  • Provides a data-driven approach to identifying volatility premiums.
  • Standardizes the analysis of complex derivatives data into clear, actionable tables.
  • Combines forward-looking market expectations with backward-looking historical performance.
  • Enables rapid assessment of risk metrics across different tenors and strikes.

Usage examples

“Analyze the current volatility environment for SPX and determine if 1-month options are rich or cheap.”
The agent retrieves the SPX vol surface, calculates 20-day realized volatility, compares it to the 1M ATM implied vol, and provides a summary table with a 'Rich' or 'Cheap' signal.
“Price a 3-month 4500 strike call on ES and provide the Greeks.”
The agent identifies the correct template, computes the option value, and returns a table detailing the premium, delta, gamma, vega, theta, and implied volatility.

Install

  1. Download the skill as a ZIP:

    https://mp-staging.autogineer.com/agent-skills/anthropics/option-vol-analysis/download

  2. Unzip it into the cross-client skills folder of your project:

    mkdir -p .agents/skills && unzip option-vol-analysis.zip -d .agents/skills

Documentation by LSEG

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
TenorATM Vol25d RR25d BF
1M.........
3M.........
6M.........
1Y.........
Greeks Table
GreekCallPut
Premium......
Delta......
Gamma......
Vega......
Theta......
Implied Vol......
Implied vs Realized Comparison
WindowRealized VolImplied 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.

Files

ATTRIBUTION.md

Attribution

This folder is an unmodified copy of the Agent Skill "option-vol-analysis", distributed by AutoGineer (https://autogineer.com/agent-skills).

The skill's own files are unmodified copies. AutoGineer is not affiliated with or endorsed by the author or the publisher.

Files added by AutoGineer

  • ATTRIBUTION.md: this file, written by AutoGineer

  • LICENSE: copied from LICENSE

Requirements and compatibility

Written for: Claude Code, Claude apps

Works with: Claude Code, Claude apps, OpenAI Codex, GitHub Copilot, Cursor, Gemini CLI, Kiro, OpenCode, Goose, Amp, Roo Code, JetBrains Junie, Factory Droid, Devin (ex-Windsurf), Mistral Vibe, OpenHands, Letta

“Works with” means the tool reads the open Agent Skills format; a skill written for one tool may use features others lack.

Security

No issues found by our static scan· No issues found

A static scan is not a guarantee. Skills are third-party content: review a skill before you let an agent use it.

Attribution and licence

Created by
LSEG
Publisher
Anthropic (Official)
Distributed by
Anthropic
Source
anthropics/financial-services · plugins/partner-built/lseg/skills/option-vol-analysis · commit 6056506
Licence
Apache License 2.0 (redistribution allowed)
  • LICENSE (added by AutoGineer from LICENSE)
  • ATTRIBUTION.md (written by AutoGineer)
Synced

AutoGineer is not affiliated with or endorsed by LSEG or Anthropic.

Download ZIP

The ZIP holds the skill’s files, its licence files and an ATTRIBUTION.md. Download option-vol-analysis.zip