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.