alphagbm-vol-smile

Business

2D volatility smile and skew analysis for a single expiration date. Maps IV across strikes to reveal put skew, call skew, and smile shape. Returns smile curve data, skew metrics (25-delta skew, risk reversal), and shape classification. Use when: analyzing put/call skew, checking if puts are expensive, understanding directional fear in options pricing, finding skew trades. Triggers on: "vol smile AAPL", "skew analysis NVDA", "put skew for TSLA", "is the smile steep for SPY", "volatility skew META", "smile shape for GOOGL".

QUICK START

How to use this skill

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AlphaGBM Volatility Smile

Prerequisites

API Key: Set env ALPHAGBM_API_KEY (format agbm_xxxx...).
Base URL: Default https://alphagbm.zeabur.app. Override with env ALPHAGBM_BASE_URL.

What This Skill Does

Analyzes the volatility smile (or skew) for a single expiration -- the curve of implied volatility plotted against strike prices. Reveals how the market prices tail risk, directional fear, and supply/demand imbalances across the options chain.

Key Outputs

Output	What It Shows
Smile Curve	IV at each strike for the selected expiry -- the raw smile data
25-Delta Skew	IV(25d put) - IV(25d call) -- the standard measure of directional skew
Risk Reversal	Price of 25d call minus 25d put -- a tradeable expression of skew
Smile Shape	Classification: normal, flat, reverse, winged, or smirk
Skew Percentile	Current skew vs. 252-day history -- is skew unusually steep or flat?

What Smile Shape Means for Trading

Shape	Description	Market Implication	Trade Ideas
Normal	OTM puts have higher IV than OTM calls	Standard hedging demand -- puts are expensive	Sell put spreads, buy call spreads
Flat	IV roughly equal across strikes	Low fear, balanced positioning	Neutral strategies (iron condors)
Reverse	OTM calls have higher IV than OTM puts	Upside speculation or short squeeze risk	Sell call spreads if overpriced
Winged	Both OTM puts and calls elevated	Expecting a large move, direction unknown	Sell straddles/strangles if IV is high
Smirk	Asymmetric -- one side significantly steeper	Directional fear concentrated on one side	Trade the steep side if skew is extreme

API Endpoint

Volatility Smile

GET /api/options/tools/vol-smile/<SYMBOL>?expiry=2026-04-17

Query parameters:

expiry (optional): Expiration date in YYYY-MM-DD format. Defaults to nearest monthly expiry if omitted.

Returns the smile curve (strikes, IVs, deltas), skew metrics, shape classification, and skew percentile for the specified expiration.

How to Use

Input

Required: Ticker symbol
Optional: Expiration date (defaults to nearest monthly), moneyness range

Output Structure

{
  "ticker": "AAPL",
  "price": 218.45,
  "expiry": "2026-04-18",
  "dte": 20,
  "smile": {
    "strikes": [190, 195, 200, 205, 210, 215, 220, 225, 230, 235, 240],
    "ivs":    [42.1, 39.5, 36.8, 34.0, 31.5, 29.2, 27.5, 28.8, 30.5, 32.8, 35.2],
    "deltas": [-0.10, -0.15, -0.22, -0.30, -0.40, -0.48, 0.52, 0.42, 0.32, 0.22, 0.14]
  },
  "skew_metrics": {
    "skew_25d": -8.3,
    "risk_reversal_25d": -2.45,
    "skew_10d": -14.6,
    "atm_iv": 28.3
  },
  "shape": "normal",
  "skew_percentile": 72,
  "interpretation": "Put skew is moderately steep (72nd percentile). OTM puts are pricing ~8 vol points above equidistant calls -- standard hedging demand with slight elevation."
}

Example Queries

User Says	What Happens
"Vol smile AAPL"	Smile curve for nearest monthly expiry with skew metrics
"Skew analysis NVDA"	Full smile + skew percentile vs. history
"Put skew for TSLA"	Focuses on put-side IV, 25d skew, skew percentile
"Is the smile steep for SPY?"	Compares current 25d skew to 252-day range
"Smile shape GOOGL April expiry"	Shape classification for specified expiration

Mock Data

Demo tickers available without API key: AAPL, NVDA, SPY, TSLA, META. Smile data uses realistic IV snapshots from mock-data/.

Related Skills

alphagbm-vol-surface -- See the full 3D surface across all expirations
alphagbm-iv-rank -- Is overall IV high or low vs. history?
alphagbm-options-strategy -- Steep skew suggests certain spread strategies
alphagbm-options-score -- Use skew insights to find better-scored contracts

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