Option Volatility Analysis
OfficialFreeAssess implied vs realized volatility for options trading.
Free · Opens the source repo
What Option Volatility Analysis does
The Option Volatility Analysis skill is designed for derivatives analysts who need to evaluate option volatility in a structured manner. By integrating vol surface data, option pricing with Greeks, and historical price data, this skill allows users to make informed decisions when pricing options and analyzing volatility surfaces. The workflow begins with capturing the vol surface, which reflects the market's expectations of future volatility across various strikes and expirations. From there, users can derive specific option prices and Greeks, facilitating a detailed comparison of implied volatility against realized volatility derived from historical data.
This skill emphasizes a systematic approach to volatility analysis. It guides users through a series of MCP tools that streamline the process of gathering necessary data. Users start by obtaining the implied vol surface for equities or FX pairs, followed by discovering available option templates. Then, they can price specific options to extract key Greeks and analyze the historical performance of the underlying asset to compute realized volatility. The final step synthesizes these insights into a comprehensive assessment, which includes recommendations based on the volatility regime and market conditions.
The output format is structured to provide clarity and actionable insights. Users receive a summary of the vol surface, detailed Greeks tables, and a comparison of implied versus realized volatility across different time windows. This structured output helps analysts quickly identify whether options are priced rich or cheap relative to historical performance, guiding their trading strategies effectively. The skill is particularly useful for professionals engaged in options trading, risk management, and volatility arbitrage strategies.
When to use it
Use this skill when you need to price options accurately and assess volatility strategies based on market data.
When not to use it
This skill may not be suitable for users looking for basic options trading tools without in-depth analysis requirements.
What you can build with it
Options Pricing Analysis
Utilize the skill to price specific options based on the vol surface and extract essential Greeks for trading decisions.
Volatility Surface Assessment
Analyze the vol surface to understand market sentiment and identify potential trading opportunities based on surface shape.
Historical Volatility Comparison
Compute realized volatility from historical data and compare it with implied volatility to assess market pricing efficiency.
How to install Option Volatility Analysis
View source1. Install with the skills CLI
npx skills add anthropics/financial-services/option-vol-analysis --agent claude-code2. Or install it manually
Download the skill folder and drop it into ~/.claude/skills/ for all projects, or .claude/skills/ to scope it to one repo. Restart Claude Code so it picks up the new skill.
Anthropic's agentic coding CLI, and the reference implementation of Agent Skills. Drop a skill folder into ~/.claude/skills and Claude Code loads it automatically whenever a task matches the skill's description. Claude Code docs
Inside SKILL.md
Written by anthropicsOption 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
- Vol Surface Snapshot: Call
equity_vol_surfaceorfx_vol_surface(based on asset type). Extract ATM vol term structure, 25-delta risk reversals (skew), and butterflies (smile curvature). - Template Discovery: Call
option_template_listto find available option types, expiries, and strikes for the underlying. - Option Pricing: Call
option_valuefor specific options of interest. Extract premium, delta, gamma, vega, theta, implied vol. - Historical Data: Call
tscc_historical_pricing_summariesorqa_historical_equity_pricefor 1Y daily history. - 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.
- 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.
Frequently asked questions about Option Volatility Analysis
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