Option Vol Analysis
- 1.1k installs
- 33.8k repo stars
- Updated July 22, 2026
- anthropics/financial-services-plugins
option-vol-analysis is a finance skill for derivatives volatility and Greeks analysis.
About
The option-vol-analysis skill combines volatility surface data, option pricing with Greeks, and historical price series to assess implied versus realized volatility for derivatives desks. Agents act as derivatives analysts routing MCP tool calls for surfaces, greeks, and historical vol before synthesizing trade or hedge recommendations. Workflows emphasize data-backed vol assessments rather than invented implied vol figures. The skill triggers when users price options, analyze vol surfaces, or compare implied to realized volatility. Vol surface, Greeks, and historical price integration. Implied versus realized volatility assessment workflows. Derivatives analyst framing for options pricing tasks. MCP tool routing for vol and pricing data sources. Data-backed vol commentary without invented statistics. Analyze option volatility with vol surfaces, Greeks, and implied versus realized vol comparisons.
- Vol surface, Greeks, and historical price integration.
- Implied versus realized volatility assessment workflows.
- Derivatives analyst framing for options pricing tasks.
- MCP tool routing for vol and pricing data sources.
- Data-backed vol commentary without invented statistics.
Option Vol Analysis by the numbers
- 1,074 all-time installs (skills.sh)
- +30 installs in the week ending Jul 28, 2026 (Skillselion tracking)
- Ranked #131 of 1,136 Finance & Trading skills by installs in the Skillselion catalog
- Security screen: LOW risk (skills.sh audit)
- Data as of Jul 28, 2026 (Skillselion catalog sync)
What option-vol-analysis says it does
Analyze option volatility by combining vol surface data, option pricing with Greeks, and historical price data
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| Installs | 1.1k |
|---|---|
| repo stars | ★ 33.8k |
| Security audit | 3 / 3 scanners passed |
| Last updated | July 22, 2026 |
| Repository | anthropics/financial-services-plugins ↗ |
How do implied and realized vol compare for this option position?
Analyze option volatility with vol surfaces, Greeks, and implied versus realized vol comparisons.
Who is it for?
Derivatives analysts pricing options or analyzing vol surfaces.
Skip if: Skip for equity-only fundamental analysis without options data.
When should I use this skill?
User analyzes option vol, implied vs realized vol, or vol surfaces.
What you get
Vol assessment with surfaces, Greeks, and historical context from MCP tools.
- Vol comparison report
- Greek-aware option prices
- Strategy evaluation summary
Files
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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What data sources are combined?
Vol surfaces, option Greeks pricing, and historical price series.
What is the analyst role?
Derivatives analyst synthesizing MCP tool outputs into vol assessments.
Does it invent vol figures?
No; assessments must be data-backed from routed MCP tools.
Is Option Vol Analysis safe to install?
skills.sh reports 3 of 3 security scanners passed. Review the Security Audits panel on this page before installing in production.