option-vol-analysis

option-vol-analysis is a skill for Claude Code from yuping322/financial-services-plugins-new. It costs 51 tokens per session (936 once invoked), scanned A, original, Apache-2.0.

An analysis of option volatility, the market's estimate of how much an asset may move. It compares implied volatility from option prices with realized volatility calculated from past prices and includes option risk measures called Greeks.

In plain words
What is it for?
Use it to inspect volatility across strikes and expiries, price specific options, calculate Greeks, compare implied and realized volatility, and assess volatility strategies.
Why use it?
It helps show whether options are pricing more or less future movement than the asset has recently experienced.

Skill for Claude Code

Written for Claude Code: shipped in a Claude Code plugin.

Part of the lseg plugin — 8 skills, 8 commands shipped together

Good fit Use it to inspect volatility across strikes and expiries, price specific options, calculate Greeks, compare implied and realized volatility, and assess volatility strategies.

Compare 6 skills from other repositories ↓
Install with agentmods
npx agentmods add skills/yuping322/financial-services-plugins-new/option-vol-analysis
Install

Getting it into your agent

One page per mod, every tool's command on it. A separate URL per tool would split the same page into five that compete with each other.

Any agent
npx skills add yuping322/financial-services-plugins-new --skill option-vol-analysis
Clone the repo
git clone --depth 1 https://github.com/yuping322/financial-services-plugins-new

Made for: Claude Code.

Or install lseg, the plugin that ships this one along with the rest of its 8 skills, 8 commands.

Wrote this? Show the measurements

A badge with what this costs and how it scanned, read live from this page, so it follows the numbers instead of freezing them. Markdown for a README, HTML for a documentation site or a project page.

agentmods badge for option-vol-analysis

README.md
[![agentmods](https://agentmods.dev/badge/skills/yuping322/financial-services-plugins-new/option-vol-analysis/github.svg)](https://agentmods.dev/skills/yuping322/financial-services-plugins-new/option-vol-analysis)
Your own site
<a href="https://agentmods.dev/skills/yuping322/financial-services-plugins-new/option-vol-analysis"><img src="https://agentmods.dev/badge/skills/yuping322/financial-services-plugins-new/option-vol-analysis/github.svg" alt="Measured on agentmods" height="20"></a>

Or the 80×15 button, for a site that already has a row of RSS and ATOM ones. Only the verdict fits; the numbers stay here.

agentmods 80×15 button for option-vol-analysis

Your own site · 80×15
<a href="https://agentmods.dev/skills/yuping322/financial-services-plugins-new/option-vol-analysis"><img src="https://agentmods.dev/badge/skills/yuping322/financial-services-plugins-new/option-vol-analysis.svg" alt="Reviewed on agentmods" width="80" height="20"></a>
Per session 51 Skills are progressive disclosure: only the name and description are preloaded; the body loads when the skill is used.
When invoked 936 The whole file, excluding the scripts and references it only reads on demand.
Security scan A 0 findings. A grade says what 26 rules found in the file — not that it is safe.
Origin original No closer match found in the catalogue.
Token cost

What it costs to keep this loaded

Counted locally with the o200k_base tokenizer, which is exact for GPT models; Claude uses its own tokenizer and its counts differ. Treat this as one consistent yardstick across the catalogue rather than a bill. Prices are per million input tokens.

ModelPer sessionOnce invoked
Fable 5.1 $0.00051 $0.00936
Opus 5 $0.00026 $0.00468
Sonnet 5 $0.00010 $0.00187
Haiku 4.5 $0.00005 $0.00094

Measured 7d ago against content hash d4d5a4259077, method: parsed. Prices are Anthropic first-party input rates as of 2026-09-10, from the pricing page.

Security

Grade A, and why

option-vol-analysis scanned grade A with 0 findings against 26 rules in 11 categories — prompt injection, anti-refusal, data exfiltration, privilege escalation, supply chain, agent snooping, system-prompt leakage, SSRF and excessive agency — measured 7d ago.

A static scan of the body, not an audit. Every finding is printed with the line that produced it so you can judge whether it matters here. A mod is markdown that instructs an agent; that is exactly why what it instructs is worth reading.

Nothing flagged

None of the 26 patterns this scan looks for appear in this file: no shell pipes, no recursive deletes, no credential paths, no hidden text, no instruction-override or anti-refusal phrasing, no agent-config snooping. That is not a guarantee, it is the absence of the things that are checkable.

Origin

Copies of this mod

2 near-identical copies found in the catalogue:

partner-built/lseg/skills/option-vol-analysis/SKILL.md · 61 lines

How it starts

The opening of the file, as written. The whole thing — 61 lines — stays where its author put it; the contents beside it link to each section on GitHub.

Option Volatility Analysis

You are an expert derivatives analyst specializing in volatility analysis. Combine vol surface data, option pricing with Greeks, and historical prices from MCP tools to deliver comprehensive vol assessments. Focus on routing tool outputs into implied-vs-realized comparisons and surface shape analysis — let the tools compute, you interpret and recommend.

Core Principles

Always start from the vol surface — it encodes the market's view of future uncertainty across strikes and expiries. Individual option prices are derived from this surface. Pull the surface first for the big picture, then price specific options for precise Greeks, then compare implied vol to realized vol computed from historical data. The vol premium (implied minus realized) is the key metric for assessing whether options are cheap or expensive.

Available MCP Tools

  • equity_vol_surface — Implied vol surface for equities/indices. Input: RIC (e.g., ".SPX@RIC") or RICROOT (e.g., "ES@RICROOT"). Returns vol by strike/delta and expiry.
  • fx_vol_surface — Implied vol surface for FX pairs. Input: currency pair (e.g., "EURUSD"). Returns vol by delta and expiry. FX surfaces are quoted in delta space.
  • option_value — Price individual options with full Greeks (delta, gamma, vega, theta, rho). Use after identifying specific strikes from the vol surface.
  • option_template_list — Discover available option templates for an underlying. Use to find valid expiries and strikes before pricing.
  • tscc_historical_pricing_summaries — Historical OHLC data. Use to compute realized vol from price history.
  • qa_historical_equity_price — Historical equity prices. Alternative source for realized vol computation.

Tool Chaining Workflow

  1. Vol Surface Snapshot: Call equity_vol_surface or fx_vol_surface (based on asset type). Extract ATM vol term structure, 25-delta risk reversals (skew), and butterflies (smile curvature).
  2. Template Discovery: Call option_template_list to find available option types, expiries, and strikes for the underlying.
  3. Option Pricing: Call option_value for specific options of interest. Extract premium, delta, gamma, vega, theta, implied vol.
  4. Historical Data: Call tscc_historical_pricing_summaries or qa_historical_equity_price for 1Y daily history.
  5. Realized Vol Computation: From historical prices, compute close-to-close realized vol over 20-day, 60-day, and 90-day windows. Compare to matching implied vol tenors.
  6. Synthesize: Combine surface shape, Greeks, and implied-vs-realized comparison into a vol assessment with strategy recommendations.

Read the full file on GitHub · 61 lines

Changes

What this file has done since we first saw it

Hashed on every crawl. A supply-chain change to an agent config is a question of when, not whether, so the history is kept rather than the latest state alone.

  1. 7d ago First seen · 61 lines · 51 tokens per session scan A d4d5a4259077

Subscribe to this mod's changes

option-vol-analysis is a skill published in the GitHub repository yuping322/financial-services-plugins-new (17 stars, last pushed 6mo ago), licensed Apache-2.0. It adds 51 tokens to every session and 936 once invoked, about $0.0003 per session on Opus 5. A static security scan graded it A with 0 findings. No closer match exists in the catalogue, so it is treated as the original; first seen 2026-09-03.

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