SKILL.md
Analyze Option Volatility
This command uses LSEG volatility surfaces, option pricing, and historical data tools. See [CONNECTORS.md](../CONNECTORS.md) for available tools.
Analyze the volatility environment for an underlying by generating the vol surface, pricing options with full Greeks, and comparing implied vs realized volatility.
See the option-vol-analysis skill for domain knowledge on vol surface interpretation and Greeks analysis.
Workflow
1. Gather Input
Ask the user for:
- Underlying asset (required):
- Equities/indices: RIC format (e.g., "VOD.L@RIC", ".SPX@RIC") - Futures: RICROOT format (e.g., "ES@RICROOT", "CL@RICROOT") - FX: ISO pair (e.g., "EURUSD", "USDJPY")
- Strike price (optional, defaults to ATM)
- Expiry date or tenor (optional, defaults to 3M)
- Call or Put (optional, defaults to both)
Determine whether this is equity/index or FX to select the correct vol surface tool.
2. Generate the Volatility Surface
For equities/indices/futures: Call equityvolsurface.
For FX: Call fxvolsurface.
Extract: ATM vol at each tenor, 25-delta risk reversal, 25-delta butterfly.
3. Discover Option Templates
Call optiontemplatelist for the underlying. Identify available types, expiries, and strikes.
4. Price the Option
Call option_value with the underlying, strike, and expiry.
Extract: premium, delta, gamma, vega, theta, implied vol.
5. Compute Realized Volatility
Call tscchistoricalpricing_summaries with interval: "P1D", tenor: "1Y".
Compute close-to-close realized vol over 20-day, 60-day, 90-day windows. Compare to matching implied vol tenors.
6. Synthesize the Report
Present: vol surface summary table, Greeks table, implied vs realized comparison, vol regime assessment, strategy recommendations.
Output Format
Lead with the key vol finding (implied rich/cheap vs realized). Follow with the surface summary, option pricing, and detailed comparison.