option-vol-analysis

To analyze implied vs realized option volatility, combine volatility surface data, option pricing with Greeks, and historical price data to assess the vol premium. This process evaluates whether implied volatility is overpriced or underpriced relative to historical realized volatility.

Compute Greeks and assess option pricing by feeding volatility surface data into an option pricing model. This calculates sensitivity metrics like delta and gamma while evaluating the fair value of options across different strikes and maturities.

Yes, you can use historical price data to evaluate volatility trading strategies by comparing historical pricing summaries against current volatility surfaces. This helps identify historical vol patterns and assess the potential profitability of vol premium strategies.

Assess vol premiums for equity and FX options by analyzing equity and FX volatility surfaces alongside option values and historical underlying prices. This approach highlights discrepancies between implied and realized volatility across different asset classes.

Option volatility analysis requires vol surface data appropriate for the underlying asset, utilizing equity_vol_surface for equities and fx_vol_surface for currencies. These surfaces provide the implied volatility inputs necessary for accurate option pricing and Greeks computation.

Option template lists provide standardized option contract specifications needed to structure pricing analysis. Combined with historical pricing summaries, they ensure the option pricing models and volatility surface inputs are correctly aligned with tradable market instruments.