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AlexZWANG1
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option-vol-analysis

Integrate vol surfaces, option pricing with Greeks, and historical prices to compare implied versus realized volatility.

Updated Mar 17, 2026
Search Tags:#pricing#options#historical-data#volatility#Greeks#vol-surface#implied-vs-realized
One-click install
npx skills add https://github.com/AlexZWANG1/Prism --skill option-vol-analysis-alexzwang1
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: option-vol-analysis
Source: https://github.com/AlexZWANG1/Prism/tree/main/financial-services-plugins/partner-built/lseg/skills/option-vol-analysis
Command: npx skills add https://github.com/AlexZWANG1/Prism --skill option-vol-analysis-alexzwang1

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Analyze and manage option volatility by integrating implied vol surfaces, option pricing with Greeks, and historical prices to provide a clear comparison of implied versus realized volatility for strategies and risk management.

Core Features & Use Cases

  • Vol surface-driven pricing: pull equity/fx vol surfaces to establish the market's view on volatility across strikes and maturities.
  • Greeks-enabled pricing: price individual options and extract delta, gamma, vega, theta, and rho to understand risk on positions.
  • Implied vs Realized analysis: compute realized vol from historical prices and compare to implied vols to assess mispricing and strategy viability.
  • Strategy synthesis: synthesize surface shape, Greeks, and IV-RV comparison into actionable trading or hedging recommendations.

Quick Start

Use this skill to generate an implied-vs-realized volatility assessment for a selected option across specified expiries using vol surfaces and historical data.

Frequently Asked Questions about option-vol-analysis

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I compare implied versus realized volatility for options across multiple tenors?▼

To compare implied versus realized volatility, compute realized vol from historical prices and contrast it with implied vols extracted from vol surfaces across specified expiries to identify potential mispricing.

Can I price options and calculate Greeks using equity and FX vol surfaces?▼

Yes, you can price options and calculate Greeks using equity and FX vol surfaces by pulling surface data across strikes and maturities to establish market view and extract delta, gamma, vega, theta, and rho.

What is the best way to assess an option portfolio's volatility risk using Greeks?▼

Assessing an option portfolio's volatility risk involves computing full Greeks from option pricing models to quantify delta, gamma, vega, theta, and rho exposure across positions, enabling structured risk management.

How do I generate a structured volatility assessment from historical data and vol surfaces?▼

Generate a structured volatility assessment by integrating vol surface shapes with historical price data to compute realized vol, then synthesizing this with Greeks to produce actionable trading or hedging recommendations.

Does this approach support computing realized vol from historical prices for strategy viability?▼

Yes, computing realized vol from historical prices is supported to evaluate strategy viability by comparing the calculated historical volatility against current implied vol levels to detect market mispricing opportunities.

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