fsi-lseg-cmd-analyze-option-vol
Skill16 starsChanged 9 months agoApache-2.0View on GitHub
Analyze option volatility with vol surface, Greeks, and implied vs realized vol comparison — usage: /analyze-option-vol <underlying e.g. .SPX or EURUSD> [strike] [expiry]
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The file
We split this skill into the rules it gives an agent
7 rules. About 0 are common, 2 are distinctive, and 5 are very specific to this project.
≈0
Common · estimate
Many files like this have a rule of this kind.
≈2
Distinctive · estimate
This author's own choices. Worth a look.
5
Very specific
Tied to their project's names, files or tools. Probably skip.
- Common
- Distinctive
- Very specific
- Distinctive: line 21
Ask the user for:
- Distinctive: line 28
Call or Put (optional, defaults to both)
- Very specific: line 34
For equities/indices/futures: Call equity_vol_surface.
- Very specific: line 36
For FX: Call fx_vol_surface.
- Very specific: line 42
Call option_template_list for the underlying.
- Very specific: line 46
Call option_value with the underlying, strike, and expiry.
- Very specific: line 52
Call tscc_historical_pricing_summaries with interval: "P1D", tenor: "1Y".
≈ “Common” is an estimate: at least 1 in 5 of the 350,495 skill files we read have a rule of the same kind, not the same words. “Very specific” is our guess from the words: it names a file, a command, a setting or the project itself.
Files
Analyze Option Volatility
This command uses LSEG volatility surfaces, option pricing, and historical data tools. See 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 equity_vol_surface.
For FX: Call fx_vol_surface.
Extract: ATM vol at each tenor, 25-delta risk reversal, 25-delta butterfly.
3. Discover Option Templates
Call option_template_list 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 tscc_historical_pricing_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.
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