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Grok+17 agentsoptions surface greeks diagnostic
Calculate European option Greeks and diagnose volatility surface data integrity using Black-Scholes-Merton.
$15
options surface greeks diagnostic
Example session with this skill installed
Run a diagnostic on the provided SPX European call chain at 5600 spot, 4.5% rate, and 18% annualized vol. Expiry is in 30 days. Check for quote errors.
- Read your context and instructions
- Compiled the options surface greeks
- Generated the document
I have processed the SPX option chain data using the Black-Scholes-Merton model. Calculations assume a 365-day year for Theta and a 1% shift for Vega and Rho.
Options Diagnostic Report
| Strike | Type | Mid Price | Model Price | Delta | Gamma | Vega (1%) | Theta (Day) | Status |
|---|---|---|---|---|---|---|---|---|
| 5550 | Call | 118.50 | 118.42 | 0.682 | 0.0012 | 6.45 | -1.85 | OK |
| 5600 | Call | 82.10 | 82.15 | 0.524 | 0.0015 | 7.12 | -2.10 | OK |
| 5650 | Call | 54.00 | 54.12 | 0.365 | 0.0013 | 6.22 | -1.92 | CROSSED |
| 5700 | Call | 32.50 | 32.85 | 0.228 | 0.0009 | 4.88 | -1.45 | OK |
Analysis and Findings
Data Integrity: A crossed quote was detected at the 5650 strike where the bid exceeds the offer in the source data. This record should be excluded from risk aggregation.
- Model Sensitivity: The ATM 5600 strike shows the highest Gamma (0.0015) and Vega (7.12), as expected.
Assumptions: Used a continuous risk-free rate of 4.5% and a flat 18% volatility input. No discrete dividends were applied.
Next steps
- Verify the source of the 5650 strike quote to resolve the crossed bid-ask spread.
- Export the aggregated Delta and Gamma to your portfolio risk manager.
- Run a +/- 10% spot price stress test to observe Delta decay.
options-surface-greeks-diagnostic.pdf
PDF · document
Example file from a real run - the skill writes it into your workspace.
Connects securely to your tools. The creator never sees your data.
What you get
About this skill
The problem
Manually calculating Greeks for large option chains is error-prone and slow. Standard tools often fail to highlight data integrity issues like stale quotes or crossed bid-ask spreads before they impact your risk model.
What it does
- Calculates European Black-Scholes-Merton prices and Greeks (Delta, Gamma, Vega, Theta, Rho) from provided annualized volatility.
- Identifies and flags stale or crossed option quotes within the supplied data set.
- Generates structured diagnostics grouped by expiry and strike to describe the volatility grid.
- Runs sensitivity scenarios for changes in spot price, volatility, interest rates, and time-to-expiry.
- Aggregates Greeks by signed quantity and multiplier for external risk tracking.
Frameworks & tools
Python 3, JSON, Black-Scholes-Merton analytical models.
Why this beats prompting it yourself
Generic LLMs struggle with the precision required for Black-Scholes math and often hallucinate Greek values. This skill enforces a strict analytical workflow, ensures consistent unit handling (like calendar-day Theta), and incorporates data validation logic that generic prompts lack.
Use cases
- Auditing a provided volatility surface for internal consistency and quote quality.
- Generating Greek sensitivity reports for a specific book of European options.
- Verifying third-party option pricing data against a standardized BSM implementation.
Known limitations
Supports European-style contracts only; no American exercise or discrete dividend models. Does not solve for implied volatility or provide arbitrage-free surface fitting.
How to install
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- 1
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- 2
Unzip into your skills folder
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- 3
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