Option Volatility Analysis

Core Principles

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.

Output Format

Vol Surface Summary

Greeks Table

Implied vs Realized Comparison

Assessment