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.Command
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.