Option Vol Analysis
AnthropicOfficialCreated by LSEGDistributed by Anthropic
- Skill
- Research and analysis
- Business and productivity
- Apache-2.0
- No issues found
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
Download the skill as a ZIP:
https://mp-staging.autogineer.com/agent-skills/anthropics/option-vol-analysis/downloadUnzip 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
Vol Surface Snapshot: Call
equity_vol_surfaceorfx_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_listto find available option types, expiries, and strikes for the underlying.Option Pricing: Call
option_valuefor specific options of interest. Extract premium, delta, gamma, vega, theta, implied vol.Historical Data: Call
tscc_historical_pricing_summariesorqa_historical_equity_pricefor 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.
Files
- ATTRIBUTION.mdAdded by AutoGineer1.0 KiB
- LICENSELicence file added by AutoGineer11.1 KiB
- SKILL.md3.9 KiB
SKILL.md
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_surfaceorfx_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_listto find available option types, expiries, and strikes for the underlying.Option Pricing: Call
option_valuefor specific options of interest. Extract premium, delta, gamma, vega, theta, implied vol.Historical Data: Call
tscc_historical_pricing_summariesorqa_historical_equity_pricefor 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.
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.
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Download ZIP
The ZIP holds the skill’s files, its licence files and an ATTRIBUTION.md. Download option-vol-analysis.zip