---
id: gh-option-vol-analysis
name: "option-vol-analysis"
url: https://skills.yangsir.net/skill/gh-option-vol-analysis
author: anthropics
domain: investment
tags: ["options", "volatility", "derivatives", "trading", "greeks"]
install_count: 1100
rating: 4.30 (120 reviews)
github: https://github.com/anthropics/financial-services-plugins/tree/main/plugins/partner-built/lseg/skills/option-vol-analysis
---

# option-vol-analysis

> 分析期权波动率，结合波动率曲面、期权定价与希腊值、历史价格数据，评估隐含波动率与已实现波动率的差异，辅助期权交易策略决策。适用于定价期权、分析波动率表面、计算希腊值、评估波动率溢价或制定波动率交易策略。

**Stats**: 1,100 installs · 4.3/5 (120 reviews)

## Before / After 对比

### 波动率分析时间对比

**Before**:

用户需要手动从多个数据源收集波动率曲面、期权报价和历史价格，再自行计算隐含波动率与已实现波动率的对比，并解读希腊值。整个过程繁琐耗时，且容易因数据分散或计算错误导致分析失真。

**After**:

此技能自动拉取波动率曲面、期权定价和历史数据，一键生成完整的波动率分析报告，包含表面形状、希腊值表格和隐含vs已实现对比，并给出策略建议。大幅缩短分析时间，提升准确性。

| Metric | Before | After | Change |
|---|---|---|---|
| 单次分析耗时 | 60分钟 | 10分钟 | -83% |
| 数据错误率 | 30% | 5% | -83% |

## Readme

# 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.


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*Source: https://skills.yangsir.net/skill/gh-option-vol-analysis*
*Markdown mirror: https://skills.yangsir.net/api/skill/gh-option-vol-analysis/markdown*