option-vol-analysis

Option volatility analysis combines vol surface data, option pricing with Greeks, and historical price data to evaluate implied vs realized volatility. It examines ATM vol term structure, skew, and smile curvature to support derivatives trading and risk management decisions.

Implied volatility is extracted from current option market prices, whereas realized volatility is calculated from historical equity price movements. Comparing them reveals whether options are overvalued or undervalued, informing risk management and trading strategy development.

Yes, you can price options with full Greeks and compare the theoretical output to observed market data. The Skill leverages option pricing and historical pricing summaries to validate valuations and support trading strategy assessment.

Yes, the analysis supports both equity and FX derivatives by utilizing equity vol surface and FX vol surface dependencies. It extracts ATM vol term structure, skew, and smile curvature to evaluate options across different asset classes.

Evaluating ATM vol term structure, skew, and smile curvature requires extracting vol surface data and applying pricing models with Greeks. This integrated approach reveals volatility dynamics across strikes and maturities for derivatives trading and risk management.

Yes, historical equity pricing data is required to compute realized volatility and compare it against implied volatility from the vol surface. This comparison is essential for identifying mispriced options and developing trading strategies.