/analyze-option-vol

description: Analyze option volatility with vol surface, Greeks, and implied vs realized vol comparison
argument-hint: "<underlying e.g. .SPX or EURUSD> [strike] [expiry]"

Analyze Option Volatility

> This command uses LSEG volatility surfaces, option pricing, and historical data tools. See [CONNECTORS.md](../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.