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longbridge-options-volatility

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Original

English
🇨🇳

Translation

Chinese

longbridge-options-volatility

longbridge-options-volatility

Prompt-only analysis skill. Compares implied volatility (IV) against historical volatility (HV), computes IV percentile rank, and surfaces the volatility smile / skew for options strategy guidance.
Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.
仅基于提示词的分析技能。对比隐含波动率（IV）与历史波动率（HV），计算IV百分位排名，并呈现波动率微笑/偏斜，为期权策略提供指导。
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

  • "TSLA 期权 IV 现在贵不贵" / "TSLA 期權 IV 現在貴不貴" / "Is TSLA IV elevated?"
  • "NVDA 波动率微笑怎么样" / "NVDA vol smile"
  • "这个期权 IV 在历史什么分位" / "IV percentile for this contract"
  • "现在适合买期权还是卖期权" / "Should I be long or short vol?"
For option quotes or chain discovery route to 
longbridge-derivatives
. For P&L and Greeks payoff route to 
longbridge-options-pnl
.
  • "TSLA 期权 IV 现在贵不贵" / "TSLA 期權 IV 現在貴不貴" / "Is TSLA IV elevated?"
  • "NVDA 波动率微笑怎么样" / "NVDA vol smile"
  • "这个期权 IV 在历史什么分位" / "IV percentile for this contract"
  • "现在适合买期权还是卖期权" / "Should I be long or short vol?"
若需期权报价或合约链查询，请使用
longbridge-derivatives
。若需盈亏分析和希腊值回报，请使用
longbridge-options-pnl
。

CLI

CLI 命令

Run 
longbridge <subcommand> --help
to verify exact flags. Primary calls (may be run concurrently):
bash
undefined
运行
longbridge <subcommand> --help
查看具体参数。主要调用命令（可并发执行）：
bash
undefined

1. Option chain — get IV across strikes for a specific expiry

1. 期权合约链——获取特定到期日不同行权价的IV

longbridge option chain <SYMBOL> --date <YYYY-MM-DD> --format json
longbridge option chain <SYMBOL> --date <YYYY-MM-DD> --format json

2. Option volume — call/put volume for sentiment context

2. 期权成交量——获取认购/认沽成交量，辅助判断市场情绪

longbridge option volume <SYMBOL> --format json
longbridge option volume <SYMBOL> --format json

3. Daily kline — compute historical volatility (60-day window typical)

3. 日线K线——计算历史波动率（通常采用60天窗口）

longbridge kline <SYMBOL> --period day --count 60 --format json
longbridge kline <SYMBOL> --period day --count 60 --format json

If unsure of exact flags:

若不确定具体参数：

longbridge option --help longbridge kline --help
undefined
longbridge option --help longbridge kline --help
undefined

Workflow

工作流程

  1. Resolve symbol to 
    <CODE>.<MARKET>
    format (e.g. 
    TSLA.US
    , 
    700.HK
    ).
  2. Fetch option chain for the nearest liquid expiry to get IV by strike.
  3. Fetch daily kline (60 bars) and compute HV:
    • Daily log returns: 
      r_i = ln(close_i / close_{i-1})
    • HV (annualised): 
      σ_HV = std(r) × √252
  4. Compute IV percentile using the ATM IV from the chain. Compare against the 60-day kline range as a rough proxy if historical IV series is unavailable.
  5. Build smile / skew:
    • Sort chain rows by strike; extract call IV and put IV at each strike.
    • Put skew = (OTM put IV − ATM IV); if put skew > 0 the market fears downside.
  6. Output structured report (template below). Cite Longbridge Securities.
  1. 解析标的代码为
    <CODE>.<MARKET>
    格式（例如
    TSLA.US
    、
    700.HK
    ）。
  2. 获取期权合约链：选取流动性最高的近期到期合约，获取各行权价对应的IV。
  3. 获取日线K线数据（60条）并计算HV：
    • 日对数收益率：
      r_i = ln(close_i / close_{i-1})
    • 年化HV：
      σ_HV = std(r) × √252
  4. 计算IV百分位：使用合约链中的平值（ATM）IV。若无法获取历史IV序列，可将其与60天K线的波动范围对比作为粗略参考。
  5. 构建波动率微笑/偏斜：
    • 按行权价对合约链排序；提取每个行权价对应的认购IV和认沽IV。
    • 认沽偏斜 = （虚值认沽IV − 平值IV）；若认沽偏斜>0，表明市场担忧下跌风险。
  6. 输出结构化报告（模板如下）。注明数据来源为Longbridge Securities。

Output template

输出模板

{Symbol} volatility snapshot — Source: Longbridge Securities

[IV vs HV]
- ATM IV (nearest expiry): X%
- 60-day HV: X%
- IV/HV ratio: X  → {rich / fair / cheap}

[IV Percentile (60-day proxy)]
- Estimated percentile: ~N-th  (low <30 / mid 30–70 / high >70)

[Vol Smile / Skew]
- Put skew (OTM put IV − ATM IV): +X pp  → {downside fear / balanced}
- Call skew (OTM call IV − ATM IV): +X pp
- Shape: {positive skew / flat / negative skew}

[Strategy signal]
- IV rich (>70th pct) → consider premium-selling strategies (covered call, short strangle)
- IV cheap (<30th pct) → consider premium-buying strategies (long straddle, long call/put)
- Skew elevated → put spreads may offer better risk/reward than naked puts

⚠️ 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} 波动率快照 — 数据来源：Longbridge Securities

[IV 与 HV 对比]
- 平值IV（近期到期合约）：X%
- 60天HV：X%
- IV/HV比率：X  → {偏高 / 合理 / 偏低}

[IV百分位（60天参考）]
- 预估百分位：约第N位 （低<30 / 中30–70 / 高>70）

[波动率微笑/偏斜]
- 认沽偏斜（虚值认沽IV − 平值IV）：+X个百分点  → {担忧下跌 / 市场均衡}
- 认购偏斜（虚值认购IV − 平值IV）：+X个百分点
- 形态：{正偏斜 / 平坦 / 负偏斜}

[策略信号]
- IV偏高（>70百分位）→ 考虑卖出期权策略（备兑认购、卖出宽跨式）
- IV偏低（<30百分位）→ 考虑买入期权策略（买入跨式、买入认购/认沽期权）
- 偏斜程度较高 → 认沽价差策略可能比裸卖认沽期权具备更优风险收益比

⚠️ 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 MCP 也不可用，请安装 longbridge-terminal切換至 MCP；若 MCP 也不可用，請安裝 longbridge-terminalFall 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
Chain returns < 5 strikes流动性不足，无法可靠建构波动率微笑流動性不足，無法可靠建構波動率微笑Insufficient liquidity to build vol smile reliably
Kline < 20 bars价格历史不足，跳过 HV 计算價格歷史不足，跳過 HV 計算Insufficient price history; skipping HV calculation
场景简体回复繁體回復English reply
command not found: longbridge
切换到MCP；若MCP也不可用，请安装longbridge-terminal切換至MCP；若MCP也不可用，請安裝longbridge-terminalFall 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
合约链返回行权价数量<5流动性不足，无法可靠构建波动率微笑流動性不足，無法可靠建構波動率微笑Insufficient liquidity to build vol smile reliably
K线数据条数<20价格历史数据不足，跳过HV计算價格歷史不足，跳過HV計算Insufficient price history; skipping HV calculation

MCP fallback

MCP 备选方案

CLI commandMCP tool
longbridge option chain --date
mcp__longbridge__option_chain_info_by_date
longbridge option volume
mcp__longbridge__option_volume
longbridge kline
mcp__longbridge__candlesticks
CLI命令MCP工具
longbridge option chain --date
mcp__longbridge__option_chain_info_by_date
longbridge option volume
mcp__longbridge__option_volume
longbridge kline
mcp__longbridge__candlesticks

Related skills

相关技能

  • Option quotes / chain discovery → 
    longbridge-derivatives
  • P&L diagram and Greeks → 
    longbridge-options-pnl
  • Strategy selection → 
    longbridge-options-strategy
  • Advanced vol strategies → 
    longbridge-options-advanced
  • Underlying price → 
    longbridge-quote
  • 期权报价/合约链查询 → 
    longbridge-derivatives
  • 盈亏图表与希腊值 → 
    longbridge-options-pnl
  • 策略选择 → 
    longbridge-options-strategy
  • 高级波动率策略 → 
    longbridge-options-advanced
  • 标的价格查询 → 
    longbridge-quote

File layout

文件结构

longbridge-options-volatility/
└── SKILL.md          # prompt-only, no scripts/
longbridge-options-volatility/
└── SKILL.md          # 仅含提示词，无scripts/目录