longbridge-options-advanced

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Original

English

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Translation

Chinese

longbridge-options-advanced

Prompt-only analysis skill. Covers advanced options and volatility strategies for experienced traders — calendar/diagonal spreads, dynamic delta hedging, vol arbitrage, and skew trading — grounded in live Longbridge data.

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

仅基于提示词的分析Skill。为资深交易者提供进阶期权与波动率策略内容——包括日历/对角价差、动态Delta对冲、波动率套利以及偏斜交易——所有内容基于Longbridge实时数据。

回复语言：匹配用户输入语言——简体中文 / 繁体中文 / 英文。

When to use

使用场景

"我想做日历价差，近月和远月 IV 哪个贵？" / "Calendar spread — near vs far month IV?"
"TSLA 偏斜很陡，怎么交易 skew？" / "TSLA skew is steep, how to trade it?"
"如何做动态 Delta 对冲？" / "How do I dynamically delta-hedge?"
"什么情况下做 Long Vol vs Short Vol？" / "When to go long vol vs short vol?"
"SABR 模型是什么？" / "Explain the SABR model"

For basic strategies route to

longbridge-options-strategy

. For P&L and Greeks route to

longbridge-options-pnl

"我想做日历价差，近月和远月 IV 哪个贵？" / "Calendar spread — near vs far month IV?"
"TSLA 偏斜很陡，怎么交易 skew？" / "TSLA skew is steep, how to trade it?"
"如何做动态 Delta 对冲？" / "How do I dynamically delta-hedge?"
"什么情况下做 Long Vol vs Short Vol？" / "When to go long vol vs short vol?"
"SABR 模型是什么？" / "Explain the SABR model"

基础策略请转向

longbridge-options-strategy

。盈亏（P&L）与希腊值相关内容请转向

longbridge-options-pnl

。

CLI

命令行界面（CLI）

Run

longbridge <subcommand> --help

to verify exact flags.

bash

undefined

运行

longbridge <subcommand> --help

查看具体参数。

bash

undefined

Option chain across expiries — compare IV term structure

longbridge option chain <SYMBOL> --format json longbridge option chain <SYMBOL> --date <NEAR_EXPIRY> --format json longbridge option chain <SYMBOL> --date <FAR_EXPIRY> --format json

Historical price for realized vol and HV regime

longbridge kline <SYMBOL> --period day --count 120 --format json

Underlying spot

longbridge quote <SYMBOL> --format json

undefined

longbridge quote <SYMBOL> --format json

undefined

Strategy reference

策略参考

Calendar spread (时间价差 / 日曆價差)

Structure: sell near-month option, buy same-strike far-month option (both calls or both puts).
Profit from: near-month IV rich vs far-month, or time decay differential.
Risk: large underlying move before near expiry; vega risk if far-month IV drops.
Check: compare ATM IV for near vs far expiry from chain; enter when near/far IV ratio > 1.1.

结构：卖出近月期权，买入相同行权价的远月期权（均为看涨期权或均为看跌期权）。
盈利逻辑：近月隐含波动率（IV）高于远月，或时间衰减差异。
风险：近月到期前标的资产大幅波动；若远月IV下跌则面临Vega风险。
入场信号：从期权链中对比近月与远月的平值IV；当近月/远月IV比值>1.1时入场。

Diagonal spread (对角价差 / 對角價差)

Structure: sell near-month OTM option, buy far-month different-strike option.
vs Calendar: directional bias added via strike selection.

结构：卖出近月虚值期权，买入远月不同行权价的期权。
与日历价差的区别：通过行权价选择增加了方向性偏向。

Dynamic Delta hedging (动态 Delta 对冲 / 動態 Delta 對沖)

Hold option position; hedge Delta with underlying shares or futures.
Re-hedge when Delta drifts beyond a threshold (e.g. ±0.05) or on a time schedule.
Gamma scalping: long gamma + delta-neutral → profit from re-hedging realised vol > IV paid.
Short gamma: short options + hedged → profit if realised vol < IV collected.

持有期权头寸；通过标的股票或期货对冲Delta风险。
当Delta偏离阈值（如±0.05）或按时间计划进行重新对冲。
Gamma scalping（伽马 scalp）：持有正Gamma且Delta中性→当实际波动率高于支付的IV时，通过重新对冲获利。
负Gamma：卖出期权并对冲→当实际波动率低于收取的IV时获利。

Vol arbitrage — Long Vol / Short Vol

Vol arbitrage — Long Vol / Short Vol（波动率套利——做多波动率/做空波动率）

Long Vol: buy options (straddle/strangle) when IV cheap vs expected realised vol.
Short Vol: sell options (strangle/condor) when IV rich; manage gamma risk with hedges.
Signal: IV/HV ratio. IV/HV > 1.3 → rich (short vol candidate); < 0.8 → cheap (long vol candidate).

做多波动率：当IV低于预期实际波动率时，买入期权（跨式/宽跨式）。
做空波动率：当IV偏高时卖出期权（宽跨式/鹰式价差）；通过对冲管理Gamma风险。
信号：IV/HV比值。IV/HV>1.3→IV偏高（做空波动率候选）；<0.8→IV偏低（做多波动率候选）。

Skew trade (偏斜交易 / 偏斜交易)

OTM put IV > OTM call IV = positive skew (norm for equities, fear-driven).
Fade skew: sell OTM puts, buy OTM calls (risk-reversal) when skew excessive.
Follow skew: buy OTM puts when tail risk underpriced.
Measure: compare 25-delta put IV vs 25-delta call IV from the chain.

虚值看跌期权IV>虚值看涨期权IV=正偏斜（股票类标的常见，由恐慌情绪驱动）。
反向偏斜交易：当偏斜过度时，卖出虚值看跌期权，买入虚值看涨期权（风险逆转策略）。
跟随偏斜交易：当尾部风险被低估时，买入虚值看跌期权。
衡量方式：从期权链中对比25Delta看跌期权IV与25Delta看涨期权IV。

SABR model (conceptual)

SABR model (概念介绍)

Stochastic Alpha Beta Rho — captures vol smile dynamics analytically.
Parameters: α (vol level), β (CEV exponent), ρ (spot-vol correlation), ν (vol of vol).
Longbridge data supports manual calibration: extract IV smile from chain, fit SABR numerically.

Stochastic Alpha Beta Rho——通过解析方式捕捉波动率微笑动态。
参数：α（波动率水平）、β（CEV指数）、ρ（标的-波动率相关性）、ν（波动率的波动率）。
Longbridge数据支持手动校准：从期权链提取IV微笑，通过数值方法拟合SABR模型。

Workflow

工作流程

Identify the strategy type from the user's question.
Fetch chain for relevant expiries + kline for HV calculation.
Compute the key signal (IV term structure ratio / IV-HV ratio / skew spread).
Explain structure, entry signal, risk, and exit criteria.
Show example legs with live strikes from the chain.
Output structured response (template below).

从用户问题中识别策略类型。
获取相关到期日的期权链 + 用于计算历史波动率（HV）的K线数据。
计算关键信号（IV期限结构比值 / IV-HV比值 / 偏斜差值）。
解释策略结构、入场信号、风险及退出标准。
展示基于期权链实时行权价的示例头寸。
输出结构化回复（模板如下）。

Output template

输出模板

{Symbol} advanced options analysis — Source: Longbridge Securities

[Vol regime]
- ATM near-month IV: X%  |  ATM far-month IV: X%  |  Term ratio: X
- 60-day HV: X%  |  IV/HV: X  → {rich / fair / cheap}
- Put skew (25Δ put − 25Δ call): +X pp

[Strategy: {Name}]
Rationale: {1-2 sentences}
Legs:
  Sell: {OCC} @ ${prem}  (IV: X%)
  Buy:  {OCC} @ ${prem}  (IV: X%)
Net debit/credit: ${X}
Max profit: ${X}  |  Max loss: ${X}
Key risk: {describe}
Re-hedge trigger (if delta-hedged): Delta drift ±{threshold}

⚠️ 以上分析仅供参考，不构成投资建议。/ 以上分析僅供參考，不構成投資建議。/ For reference only. Not investment advice.

{Symbol} advanced options analysis — Source: Longbridge Securities

[Vol regime]
- ATM near-month IV: X%  |  ATM far-month IV: X%  |  Term ratio: X
- 60-day HV: X%  |  IV/HV: X  → {rich / fair / cheap}
- Put skew (25Δ put − 25Δ call): +X pp

[Strategy: {Name}]
Rationale: {1-2 sentences}
Legs:
  Sell: {OCC} @ ${prem}  (IV: X%)
  Buy:  {OCC} @ ${prem}  (IV: X%)
Net debit/credit: ${X}
Max profit: ${X}  |  Max loss: ${X}
Key risk: {describe}
Re-hedge trigger (if delta-hedged): Delta drift ±{threshold}

⚠️ 以上分析仅供参考，不构成投资建议。/ 以上分析僅供參考，不構成投資建議。/ For reference only. Not investment advice.

Error handling

错误处理

Situation	简体回复	繁體回復	English reply
`command not found: longbridge`	切换到 MCP；若不可用，请安装 longbridge-terminal	切換至 MCP；若不可用，請安裝 longbridge-terminal	Fall back to MCP; if unavailable, install longbridge-terminal
stderr `not logged in`	请执行 `longbridge auth login`	請執行 `longbridge auth login`	Run `longbridge auth login`
Only one expiry available	无法构建日历价差，仅有单一到期日	無法構建日曆價差，僅有單一到期日	Cannot build calendar spread — only one expiry available
Kline < 60 bars	HV 样本不足，波动率比较仅供参考	HV 樣本不足，波動率比較僅供參考	HV sample insufficient; vol comparison is indicative only

Situation	简体回复	繁體回復	English reply
`command not found: longbridge`	切换到 MCP；若不可用，请安装 longbridge-terminal	切換至 MCP；若不可用，請安裝 longbridge-terminal	Fall back to MCP; if unavailable, install longbridge-terminal
stderr `not logged in`	请执行 `longbridge auth login`	請執行 `longbridge auth login`	Run `longbridge auth login`
Only one expiry available	无法构建日历价差，仅有单一到期日	無法構建日曆價差，僅有單一到期日	Cannot build calendar spread — only one expiry available
Kline < 60 bars	HV 样本不足，波动率比较仅供参考	HV 樣本不足，波動率比較僅供參考	HV sample insufficient; vol comparison is indicative only

MCP fallback

MCP备选方案

CLI command	MCP tool
`longbridge option chain`	`mcp__longbridge__option_chain_expiry_date_list`
`longbridge option chain --date`	`mcp__longbridge__option_chain_info_by_date`
`longbridge kline`	`mcp__longbridge__candlesticks`
`longbridge quote`	`mcp__longbridge__quote`

CLI command	MCP tool
`longbridge option chain`	`mcp__longbridge__option_chain_expiry_date_list`
`longbridge option chain --date`	`mcp__longbridge__option_chain_info_by_date`
`longbridge kline`	`mcp__longbridge__candlesticks`
`longbridge quote`	`mcp__longbridge__quote`

Related skills

File layout

文件结构

longbridge-options-advanced/
└── SKILL.md          # prompt-only, no scripts/

longbridge-options-advanced/
└── SKILL.md          # prompt-only, no scripts/

longbridge-options-advanced

Original

Translation

longbridge-options-advanced

longbridge-options-advanced

When to use

使用场景

CLI

命令行界面（CLI）

Option chain across expiries — compare IV term structure

Option chain across expiries — compare IV term structure

Historical price for realized vol and HV regime

Historical price for realized vol and HV regime

Underlying spot

Underlying spot

Strategy reference

策略参考

Calendar spread (时间价差 / 日曆價差)

Calendar spread (时间价差 / 日曆價差)

Diagonal spread (对角价差 / 對角價差)

Diagonal spread (对角价差 / 對角價差)

Dynamic Delta hedging (动态 Delta 对冲 / 動態 Delta 對沖)

Dynamic Delta hedging (动态 Delta 对冲 / 動態 Delta 對沖)

Vol arbitrage — Long Vol / Short Vol

Vol arbitrage — Long Vol / Short Vol（波动率套利——做多波动率/做空波动率）

Skew trade (偏斜交易 / 偏斜交易)

Skew trade (偏斜交易 / 偏斜交易)

SABR model (conceptual)

SABR model (概念介绍)

Workflow

工作流程

Output template

输出模板

Error handling

错误处理

MCP fallback

MCP备选方案

Related skills

相关Skill

File layout

文件结构