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What is Option Volatility Analysis?

Options are financial contracts that give the holder the right (but not the obligation) to buy or sell an asset at a specific price by a specific date. The price of an option depends heavily on volatility — how much the underlying asset is expected to move. Higher expected volatility means options are more expensive. Implied volatility is the market’s forecast of future volatility, derived from current option prices. Realized volatility is how much the asset actually moved historically. The difference between the two — the volatility premium — tells you whether options are cheap or expensive. If implied vol is significantly higher than realized vol, options are “rich” (expensive); if lower, they are “cheap.” This is the fundamental input to most options trading strategies. The volatility surface maps implied volatility across different strike prices and expiration dates, revealing the market’s view of risk. The Greeks (delta, gamma, vega, theta) quantify how an option’s price changes with different market factors.

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Command

/analyze-option-vol <underlying e.g. .SPX or EURUSD> [strike] [expiry]
Analyzes the volatility environment by generating the vol surface, pricing options with full Greeks, and comparing implied vs. realized volatility.

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Workflow

1

Generate Vol Surface

Calls equity_vol_surface or fx_vol_surface to get ATM vol, risk reversals, and butterflies across tenors.
2

Discover Option Templates

Calls option_template_list for available types, expiries, and strikes.
3

Price the Option

Calls option_value to get premium, delta, gamma, vega, theta, and implied vol.
4

Compute Realized Vol

Calls tscc_historical_pricing_summaries for 1Y daily data. Computes 20-day, 60-day, and 90-day realized vol.
5

Synthesize

Presents vol surface summary, Greeks, implied vs. realized comparison, vol regime assessment, and strategy recommendations.

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Output

Lead with key vol finding (implied rich/cheap vs. realized). Follow with surface summary, option pricing, Greeks, and detailed comparison. See the Option Vol Analysis skill for domain knowledge on vol surface interpretation and Greeks analysis.