option-vol-analysis
Analyze option volatility by combining vol surface data, option pricing with Greeks, and historical price data to assess implied vs realized volatility. Use when pricing options, analyzing volatility surfaces, computing Greeks, assessing vol premiums, or evaluating vol trading strategies.
Best for options tradersWorks with GitHubLow risk
⌘source
- author
@anthropics- language
- Python
★11kstars
1.5kforks
May 6, 2026
✦overview.md
Key Features
- ·Analyze implied vs realized volatility
- ·Compute option Greeks
- ·Assess vol surface shape
- ·Measure vol premium
Use Cases
- →Pricing options on equities or FX
- →Evaluating vol trading strategies
- →Comparing implied volatility to historical realized
Best for
- ✓options traders
- ✓derivatives analysts
- ✓vol trading desks
Not ideal for
- !high-frequency trading
- !algorithmic execution only
FAQs
name
option-vol-analysis
description
Analyze option volatility by combining vol surface data, option pricing with Greeks, and historical price data to assess implied vs realized volatility. Use when pricing options, analyzing volatility surfaces, computing Greeks, assessing vol premiums, or evaluating vol trading strategies.
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.
$install
1-click copynpx skills add anthropics/financial-services --skill option-vol-analysisSafety assessment
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4/ 5
very goodClear and well structured, with only minor parts that might need a second read.
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4/ 5
highMostly actionable with clear steps; only a few small gaps remain.