Options Greeks Analysis Engine
Calculate, decompose, and optimize options positions using Greeks-based risk analysis
What You Can Do
You can decompose complex options strategies into their Greek components, interpret second-order risk effects (gamma concentration, vega surface positioning), and execute contextual rebalancing decisions. The skill guides you through stress-testing portfolio sensitivity to market moves, identifying theta decay optimization windows, and constructing dynamic hedges for equity or index exposure—all without external data feeds.
Features
Example Output
Example 1: Iron Condor Position Decomposition
- Short 95 Put (delta: -0.15, gamma: -0.08, theta: +0.12/day)
- Long 90 Put (delta: +0.05, gamma: +0.03, theta: -0.02/day)
- Short 105 Call (delta: -0.18, gamma: -0.09, theta: +0.11/day)
- Long 110 Call (delta: +0.06, gamma: +0.04, theta: -0.02/day)
- Net Position: Delta +0.22 (bullish bias), Gamma -0.10 (short convexity), Theta +0.19/day (decay advantage)
- Recommendation: Monitor gamma risk if underlying approaches 95 strike; rebalance if delta drifts beyond ±0.30
Example 2: Vega Concentration Alert Calendar spread position shows 60% of vega exposure concentrated in 30-DTE strikes. Volatility crush scenario (implied vol -15%) would cost $8,200. Hedge with long vega position in 60-DTE or consider rolling to later term.
What's Included
- SKILL.md: Core methodology for Greeks decomposition, contextual analysis, and rebalancing triggers
- Position Decomposition Template: Structured worksheet for multi-leg strategy Greeks breakdown
- Risk Stress-Test Checklist: Scenario framework (gap moves, vol spikes, time decay) and sensitivity quantification
- Rebalancing Decision Framework: Logic tree for timing hedges, duration adjustments, and assignment monitoring
- Greeks Interpretation Guide: Reference table linking Greek values to actionable trading decisions
Who It's For
- Options traders managing multi-leg strategies and daily portfolio risk monitoring
- Derivatives desk managers requiring rapid Greeks decomposition and rebalancing oversight
- Equity derivatives analysts constructing and monitoring volatility or calendar spreads
- Risk managers stress-testing portfolio sensitivity to market dislocations and tail events
- Quant traders analyzing relative value opportunities and implied volatility surface positioning
Best For
- Multi-leg options strategy decomposition (spreads, butterflies, iron condors, straddles, diagonals)
- Daily Greeks monitoring and portfolio risk decomposition by underlying, strike, or maturity
- Dynamic rebalancing decisions around earnings, volatility events, and assignment risk
- Stress-testing portfolio sensitivity to gap moves, volatility spikes, and time decay scenarios
- Comparing similar strategies on Greeks metrics (calendar spread vs. diagonal spread risk profiles)
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