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

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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)

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Workflow#

Step 1: Gather Inputs#

The user must provide the following parameters for analysis:

bash

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:

bash

python3 skills/options-analyzer/scripts/options_analyzer.py --ticker AAPL ...

The script performs the following actions:

1. Fetches historical data via yfinance to calculate historical volatility (if not provided).
2. Uses the Black-Scholes model to calculate the theoretical price of the option(s).
3. Calculates all relevant Greeks (Delta, Gamma, Theta, Vega, Rho).
4. Simulates the P/L of the strategy across a range of potential stock prices at expiration.
5. Identifies key metrics: max profit, max loss, break-even point(s).
6. 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):

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.

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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)

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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.