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Option Vol Analysis

OrganizationPopular
anthropics
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.

Overview

Publisheranthropics
Repositoryfinancial-services
Skill nameoption-vol-analysis
Stars
38.4K
Forks
5.5K
Bundled files
Instructions only
LicenseApache-2.0
Links
Skill sourceRepository
  • Markdown instructions

    A SKILL.md file the model loads on demand, so it only costs tokens when a request actually matches.

  • Works with any LLM

    AI skills are plain Markdown, not provider-specific code, so this works with GPT, Claude, Gemini, Grok, or a local model.

  • Self-contained

    Everything the model needs lives in the instructions — no extra files to sync.

  • Open source

    Published by anthropics on GitHub. Read the source before you install it.

Installation

Install the Option Vol Analysis AI skill in TypingMind to use it with any LLM, or drop it into another agent that reads SKILL.md.

1

Install in TypingMind

TypingMind installs a skill straight from its GitHub folder — it reads SKILL.md, bundles the resource files, and stores the result locally.

  1. Open the app and go to Plugins → Skills.
  2. Choose "Install from GitHub".
  3. Paste the skill folder URL below and confirm.
    https://github.com/anthropics/financial-services/tree/main/plugins/partner-built/lseg/skills/option-vol-analysis
  4. Enable the skill in any chat where you want it available.
Plugins → Skills → Add skill → From GitHub URL, then paste the folder URL and press Continue.
2

Install in another agent

Any agent that reads the Agent Skills format can use this skill — copy the folder into that agent's skills directory.

Claude Code — .claude/skills
git clone --depth 1 https://github.com/anthropics/financial-services.git /tmp/financial-services
mkdir -p .claude/skills
cp -r /tmp/financial-services/plugins/partner-built/lseg/skills/option-vol-analysis .claude/skills/option-vol-analysis
Restart Claude Code after copying so it picks up the new skill.

Use it in TypingMind

Enable Option Vol Analysis in any TypingMind chat and the model takes it from there. Its name and description sit in the system prompt, and the moment a request matches, the model loads the full instructions itself — you never invoke it by hand, and it costs no tokens until it is actually used.

The model loads Option Vol Analysis on its own as soon as a request matches it.

Works with any AI model

AI skills are plain Markdown instructions rather than provider-specific code, so Option Vol Analysis is not tied to the model it was written for. Install it once in TypingMind and use it with GPT-5, Claude, Gemini, Grok, DeepSeek, Mistral, Llama, or a local model you run yourself — all on your own API keys.

  • Loaded only when it is needed

    The system prompt carries just the name and description. The instructions are fetched on the first matching request, so an idle skill costs nothing.

  • Switch models mid-chat

    Because the skill is instructions rather than code, changing model does not break it — the next model reads the same SKILL.md.

Skill instructions

This is the SKILL.md content the model loads. Read it before installing — a skill is instructions your model will follow.

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.
  • fx_vol_surface — Implied vol surface for FX pairs. Input: currency pair (e.g., "EURUSD"). Returns vol by delta and expiry. FX surfaces are quoted in delta space.
  • option_value — Price individual options with full Greeks (delta, gamma, vega, theta, rho). Use after identifying specific strikes from the vol surface.
  • option_template_list — Discover available option templates for an underlying. Use to find valid expiries and strikes before pricing.
  • tscc_historical_pricing_summaries — Historical OHLC data. Use to compute realized vol from price history.
  • qa_historical_equity_price — Historical equity prices. Alternative source for realized vol computation.

Tool Chaining Workflow

  1. Vol Surface Snapshot: Call equity_vol_surface or fx_vol_surface (based on asset type). Extract ATM vol term structure, 25-delta risk reversals (skew), and butterflies (smile curvature).
  2. Template Discovery: Call option_template_list to find available option types, expiries, and strikes for the underlying.
  3. Option Pricing: Call option_value for specific options of interest. Extract premium, delta, gamma, vega, theta, implied vol.
  4. Historical Data: Call tscc_historical_pricing_summaries or qa_historical_equity_price for 1Y daily history.
  5. Realized Vol Computation: From historical prices, compute close-to-close realized vol over 20-day, 60-day, and 90-day windows. Compare to matching implied vol tenors.
  6. Synthesize: Combine surface shape, Greeks, and implied-vs-realized comparison into a vol assessment with strategy recommendations.

Output Format

Vol Surface Summary

TenorATM Vol25d RR25d BF
1M.........
3M.........
6M.........
1Y.........

Greeks Table

GreekCallPut
Premium......
Delta......
Gamma......
Vega......
Theta......
Implied Vol......

Implied vs Realized Comparison

WindowRealized VolImplied Vol (matching tenor)Premium (IV - RV)Signal
20d...1M ATM...Rich/Cheap
60d...3M ATM...Rich/Cheap
90d...6M ATM...Rich/Cheap

Assessment

State the vol regime (low/normal/elevated/crisis), whether implied is rich or cheap vs realized, surface shape signals (skew direction, term structure shape), and recommended strategies with key Greeks and rationale.

Frequently asked questions

What does the Option Vol Analysis AI skill do?

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.

Why use Option Vol Analysis on TypingMind?

Because you install it once and use it with any model. Option Vol Analysis is plain Markdown rather than provider-specific code, so the same skill runs on GPT-5, Claude, Gemini, Grok, or a local model — and you can switch model mid-chat without it breaking. TypingMind runs on your own API keys, so you pay providers directly instead of a per-seat subscription, and your skills and chats stay in your own storage.

How do I install Option Vol Analysis in TypingMind?

Open Plugins → Skills → Install from GitHub in TypingMind and paste https://github.com/anthropics/financial-services/tree/main/plugins/partner-built/lseg/skills/option-vol-analysis. TypingMind reads its SKILL.md and installs it as a skill you can enable per chat.

Which AI models can use Option Vol Analysis?

Any model you connect in TypingMind. AI skills are plain Markdown instructions rather than provider-specific code, so GPT, Claude, Gemini, Grok, and local models can all load this skill when a request matches it.

How many AI models can I use with Option Vol Analysis?

As many as you like. As long as a model supports skills, you can use Option Vol Analysis with it — GPT, Claude, Gemini, Grok, DeepSeek, Mistral, Llama and more — all on TypingMind with your own API keys.

Is the Option Vol Analysis AI skill free?

Yes. It is published on GitHub by anthropics under the Apache-2.0 license. You only pay your own AI provider for the tokens you use.

What are AI skills?

An AI skill is a reusable instruction bundle that teaches an AI model how to do one specific task. It follows the open Agent Skills format: a SKILL.md file with a name and description, plus any scripts, templates or reference files the model may need. The model reads the instructions only when your request matches the skill, so an installed skill costs nothing until it is used.

How are AI skills different from plugins or MCP servers?

A plugin or MCP server gives a model new tools to call — code that runs somewhere and returns a result. An AI skill gives the model knowledge and process instead: how to approach a task, which steps to follow, what good output looks like. Skills are plain Markdown, so they need no server, no API key and no runtime, and they work with any model.

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