Option Vol Analysis

This chains together vol surface data, option pricing with Greeks, and historical price feeds to compare implied versus realized volatility. You pull the vol surface first for market context, 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, template discovery, option pricing, historical data pull, realized vol calculation, then synthesis into a vol regime assessment with strategy recommendations. Useful when you need to evaluate vol premiums or surface shape rather than just price a single option. The Greeks tables and implied vs realized comparison format make it straightforward to spot mispricings across tenors.

skills.sh installs: 2.1K
GitHub stars: 41.2K
last updated: Aug 21, 2026

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Install

$ npx -y skills add anthropics/financial-services --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.