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More AI Skills apps
About option-vol-analysis

option-vol-analysis
Analyze option volatility by combining vol surface data, option pricing
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.
- Price
- Free
- Made by
- anthropics
- Category
- AI Skills
- Website
- github.com/anthropics/financial-services/option-vol-analysis

