option-vol-analysis
Analyze option volatility by combining vol surface data, option pricing
by anthropicsFree
Description
option-vol-analysis is an agent skill from Anthropic's financial-services collection, listed on skills.sh. It analyses option volatility for an equity index, an equity or an FX pair by combining the implied volatility surface, option prices with Greeks, and historical prices. The agent starts from the vol surface, which shows the market's view of future uncertainty across strikes and expiries. It then prices specific options for precise Greeks: delta, gamma, vega, theta and rho. Realised volatility is computed from historical price data and compared with implied volatility. The gap between the two, the volatility premium, is the main measure of whether options look cheap or expensive. Equity surfaces are looked up by RIC or RICROOT codes, and FX surfaces are quoted in delta space. The MCP tools do the computing, and the agent interprets the results and gives its view. It suits derivatives analysts who want a written assessment of implied against realised volatility.…
Highlights
- Implied against realised volatility
- Volatility premium as the core signal
- Option Greeks: delta, gamma, vega, theta, rho
- Equity and FX volatility surfaces
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option-vol-analysis FAQ
What does the option-vol-analysis skill do?
It assesses option volatility by comparing implied volatility from the vol surface with realised volatility from historical prices.
How do I install it?
Run: npx skills add https://github.com/anthropics/financial-services --skill option-vol-analysis
What is the volatility premium?
Implied volatility minus realised volatility. The skill uses it to judge whether options are cheap or expensive.
What identifiers does it accept?
Equity surfaces take a RIC such as .SPX@RIC or a RICROOT such as ES@RICROOT. FX surfaces take a currency pair such as EURUSD.
Has it been checked for security?
skills.sh lists three audits: Gen Agent Trust Hub Pass, Socket Pass and Snyk Pass.
What are the best option-vol-analysis alternatives?
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