Option Vol Analysis

anthropics/financial-services-pluginsOfficial

This chains together volatility surface data, option pricing with Greeks, and historical price feeds to compare implied versus realized volatility across timeframes. You pull the vol surface first for market structure (ATM term structure, skew, smile), price specific options for Greeks, then compute realized vol from historical data to assess whether options are rich or cheap. The workflow is prescriptive: surface snapshot, then template discovery, then pricing, then historical comparison, ending with a structured output that includes vol surface tables, Greeks, and implied vs realized spreads with trade signals. Best for volatility trading setups where you need to justify whether to buy or sell premium based on the vol premium spread.

skills.sh installs: 1K
GitHub stars: 33.5K
last updated: Jul 14, 2026

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Install

$ npx -y skills add anthropics/financial-services-plugins --skill option-vol-analysis --agent claude-code

Installs into .claude/skills of the current project.

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.