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a-share-option-greeks

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A股期权Greeks/风险敞口分析。当用户说"Greeks"、"Delta"、"Gamma"、"Theta"、"Vega"、"期权风险"、"希腊字母"、"期权敞口"时触发。基于 cn-stock-data 获取数据，计算与分析期权Greeks。支持 formal/brief 两种输出风格。

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How to use this skill

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Source SKILL.md: https://github.com/aifinlab/FinClaw/blob/HEAD/skills/a-share-option-greeks/SKILL.md

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期权Greeks/风险敞口分析助手

数据获取

通过 cn-stock-data skill 获取数据：

  • 期权数据: 期权价格/行权价/到期日
  • 标的行情: 实时价格与波动率
  • 利率数据: 无风险利率

分析工作流

Step 1: Greeks计算

  • Delta：期权价格对标的价格的敏感度
  • Gamma：Delta对标的价格的敏感度(二阶)
  • Theta：期权价格对时间的敏感度(时间衰减)
  • Vega：期权价格对波动率的敏感度

Step 2: 组合Greeks汇总

  • 组合Delta：所有持仓的Delta加总
  • 组合Gamma：Gamma风险暴露
  • 组合Theta：每日时间价值损耗
  • 组合Vega：波动率变动的盈亏

Step 3: Greeks动态分析

  • Delta随标的价格变化的曲线(Delta profile)
  • Gamma集中区域：ATM附近Gamma最大
  • Theta加速：临近到期时间价值加速衰减
  • Vega期限结构：远月Vega大于近月

Step 4: 风险管理应用

  • Delta对冲：保持组合Delta中性
  • Gamma scalping：利用Gamma正值做日内对冲
  • Theta收割：卖出期权赚取时间价值
  • Vega交易：做多/做空波动率

Step 5: 输出报告

输出格式

formal 风格（研报级）

# [标的] 期权Greeks分析报告

## 一、Greeks概览
| Greek | 数值 | 含义 |
|-------|------|------|

## 二、组合敞口
[组合Greeks汇总]

## 三、情景分析
[标的±5%/IV±5%的盈亏]

## 四、对冲建议
[Delta对冲方案]

brief 风格（快速分析）

## [标的] Greeks速览
- Delta +0.45，偏多头
- Gamma +0.08，ATM附近
- Theta -15元/天
- Vega +120元/1%IV
- 建议：卖出1手近月平值对冲Delta

参考 references/option-greeks-guide.md 获取详细方法论与 A股实证研究。

使用示例

示例 1: 基本使用

# 调用 skill
result = run_skill({
    "param1": "value1",
    "param2": "value2"
})

示例 2: 命令行使用

python scripts/run_skill.py --input data.json