Option Vol Analysis
- 1 installs
- 34k repo stars
- Updated August 4, 2026
- anthropics/financial-services
Option-vol-analysis is a Claude skill that assesses option volatility by combining vol-surface data, Greeks, and realized vol from MCP tools.
About
Option-vol-analysis is a skill that analyzes option volatility by combining vol-surface data, option pricing with Greeks, and historical prices from MCP tools. It pulls the vol surface, prices specific options for Greeks, computes realized volatility over multiple windows, and compares implied versus realized to judge whether options are rich or cheap. A derivatives analyst uses it when pricing options, reading surface shape, or evaluating vol trades.
- Combines vol-surface data, option pricing with Greeks, and historical prices via MCP tools
- Computes realized vol over 20/60/90-day windows and compares to matching implied tenors
- Assesses vol regime and whether implied is rich or cheap, with strategy recommendations
Option Vol Analysis by the numbers
- 1 all-time installs (skills.sh)
- Ranked #909 of 1,106 Finance & Trading skills by installs in the Skillselion catalog
- Data as of Aug 5, 2026 (Skillselion catalog sync)
option-vol-analysis capabilities & compatibility
- Capabilities
- macro rates monitor · model update · morning note
- Use cases
- data analysis · research · trading
What option-vol-analysis says it does
Analyze option volatility by combining vol surface data, option pricing with Greeks, and historical price data to assess implied vs realized volatility.
The vol premium (implied minus realized) is the key metric for assessing whether options are cheap or expensive.
compute close-to-close realized vol over 20-day, 60-day, and 90-day windows
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| Installs | 1 |
|---|---|
| repo stars | ★ 34k |
| Last updated | August 4, 2026 |
| Repository | anthropics/financial-services ↗ |
What it does
Analyze option volatility by comparing implied vs realized vol and reading vol-surface shape and Greeks.
Who is it for?
Derivatives analysts assessing implied vs realized vol and surface shape for vol trades
Skip if: Macro or rates dashboards; this skill focuses on option volatility and Greeks
When should I use this skill?
When pricing options, analyzing vol surfaces, computing Greeks, or evaluating vol trading strategies
What you get
A vol assessment: surface summary, Greeks table, implied-vs-realized comparison, and a regime read with strategy recommendations.
- vol surface summary
- Greeks table
- implied-vs-realized comparison
By the numbers
- six MCP tools available
- realized vol over 20/60/90-day windows
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 is the key metric in option-vol-analysis?
The vol premium, implied vol minus realized vol, which indicates whether options are cheap or expensive.
What windows does it use for realized vol?
It computes close-to-close realized vol over 20-day, 60-day, and 90-day windows and compares to matching implied tenors.