Options Strategy Analyzer
Overview
This skill provides comprehensive analysis, simulation, and risk management for options trading strategies. It combines theoretical pricing with practical P/L simulation to help users understand the risk/reward profile of various options positions.
Core Features:
- Black-Scholes Pricing: Theoretical option value calculation
- Greeks Calculation: Delta, Gamma, Theta, Vega, Rho
- Strategy Simulation: P/L charts for common strategies (covered calls, spreads, etc.)
- Volatility Analysis: Implied vs. historical volatility, IV Rank/Percentile
- Risk Management: Position sizing, max loss calculation, earnings event awareness
- Educational Focus: Provides clear explanations of concepts and trade-offs
When to Use This Skill
Explicit Triggers:
- "Analyze a covered call on AAPL"
- "Show me the P/L for a protective put on TSLA"
- "What's a good options strategy for a high-volatility stock?"
- "Calculate the Greeks for this SPY call option"
- "Simulate an iron condor on QQQ for next month"
- "Help me with an options play for the upcoming earnings report"
- "What are the risks of a cash-secured put?"
- User mentions specific options strategies: covered call, protective put, cash-secured put, credit/debit spread, iron condor, straddle, strangle
Implicit Triggers:
- User wants to hedge a stock position
- User is looking for income-generating strategies
- User is speculating on a large price move (up or down)
- User asks about managing risk for an options trade
When NOT to Use:
- Simple stock analysis (use
us-stock-analysis)
- Portfolio-level risk management (use
portfolio-risk-analyzer)
- Macroeconomic analysis (use
macro-regime-detector)
Workflow
Step 1: Gather Inputs
The user must provide the following parameters for analysis:
options-analyzer analyze \
--ticker AAPL \
--strategy covered-call \
--stock-price 175.00 \
--strike-price 180.00 \
--expiry-date 2026-04-17 \
--option-type call \
--risk-free-rate 0.05 \
--dividend-yield 0.005 \
# Optional:
--volatility 0.35 # (If not provided, script fetches historical volatility)
--num-shares 100
--num-contracts 1
Required Parameters:
--ticker: Underlying stock symbol--strategy: One of covered-call, protective-put, cash-secured-put, credit-spread, debit-spread, iron-condor, straddle, strangle--stock-price: Current price of the underlying stock--strike-price: Strike price of the option(s)--expiry-date: Expiration date of the option(s) (YYYY-MM-DD)--option-type: call or put--risk-free-rate: Current risk-free rate (e.g., 10-year Treasury yield)
Optional Parameters:
--volatility: Implied volatility (if known, otherwise calculated from historical data)--dividend-yield: Annual dividend yield of the stock--num-shares: Number of shares held (for covered calls/puts)--num-contracts: Number of options contracts
Step 2: Execute Analysis Script
Run the main analysis script with the gathered parameters:
python3 skills/options-analyzer/scripts/options_analyzer.py --ticker AAPL ...
The script performs the following actions:
- Fetches historical data via yfinance to calculate historical volatility (if not provided).
- Uses the Black-Scholes model to calculate the theoretical price of the option(s).
- Calculates all relevant Greeks (Delta, Gamma, Theta, Vega, Rho).
- Simulates the P/L of the strategy across a range of potential stock prices at expiration.
- Identifies key metrics: max profit, max loss, break-even point(s).
- Generates a P/L chart (ASCII or image) and a summary report.
Step 3: Analyze Results and Provide Recommendations
The script generates a JSON output and a human-readable Markdown report.
JSON Output (options_analysis_YYYY-MM-DD_HHMMSS.json):
{
"strategy": "Covered Call",
"ticker": "AAPL",
"theoretical_premium": 2.50,
"greeks": {
"delta": 0.45,
"gamma": 0.05,
"theta": -0.02,
"vega": 0.12,
"rho": 0.01
},
"simulation": {
"max_profit": 750.00,
"max_loss": -17250.00,
"break_even": 172.50,
"pnl_data": [...]
},
"recommendations": [
"This strategy profits if AAPL stays below $182.50 by expiration.",
"Time decay (theta) is beneficial, generating daily income.",
"High volatility (vega) increases the premium received but also risk."
]
}
Markdown Report (options_analysis_YYYY-MM-DD_HHMMSS.md):
- Strategy Overview: Explanation of the covered call strategy.
- Trade Setup: Summary of the user's inputs.
- Theoretical Premium: Calculated value of the option.
- The Greeks Explained: What each Greek means for this specific trade.
- P/L Simulation: Max profit, max loss, break-even points.
- P/L Chart: Visual representation of profit/loss at expiration.
- Risk Analysis: Key risks associated with the strategy.
- Earnings Alert: Checks if an earnings report falls within the trade duration.
Step 4: Present Findings to User
Synthesize the Markdown report into a clear, educational response.
- Start with a high-level summary of the strategy's goal.
- Explain the key metrics (max profit/loss, break-even).
- Use the "Greeks Explained" section to educate the user on the trade's dynamics.
- Highlight any warnings, such as an upcoming earnings report.
- Attach the P/L chart image if generated.
Supported Strategies
- Covered Call: Long stock, short call (income, limited upside)
- Protective Put: Long stock, long put (hedging, downside protection)
- Cash-Secured Put: Short put, cash collateral (income, willing to buy stock)
- Credit Spread: Short option, long further OTM option (income, defined risk)
- Debit Spread: Long option, short further OTM option (directional bet, defined risk)
- Iron Condor: Short call spread + short put spread (range-bound, income)
- Straddle: Long call + long put at same strike (speculating on large move)
- Strangle: Long OTM call + long OTM put (cheaper straddle, needs larger move)
Important Considerations
- American vs. European Options: The Black-Scholes model is for European options (exercised only at expiration). While most US stock options are American, this provides a standard theoretical benchmark. Always mention this limitation.
- Liquidity: Remind users to check the bid-ask spread and open interest for the specific option contract. Illiquid options can have high transaction costs.
- Earnings: Always check for earnings dates within the option's life. Volatility crush after earnings can significantly impact the value of options. The script should automatically flag this.
- Not Financial Advice: Include a disclaimer that all analysis is for educational purposes only and not financial advice.
