alphagbm-vol-surface

Business

3D volatility surface analysis mapping implied volatility across strikes (moneyness) and expirations. Shows whether options are cheap or expensive at every point on the surface. Returns surface grid data, ATM term structure, skew by expiry, and surface anomalies. Use when: checking if IV is expensive, analyzing term structure, finding mispriced options, understanding volatility dynamics. Triggers on: "vol surface AAPL", "is NVDA IV expensive", "volatility term structure SPY", "surface analysis TSLA", "IV surface META", "show me the vol surface".

QUICK START

How to use this skill

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AlphaGBM Volatility Surface

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

Builds a 3D volatility surface for any optionable ticker, mapping implied volatility across two dimensions -- strike price (moneyness) and time to expiration. Identifies where options are cheap, expensive, or anomalous relative to the surface.

Key Outputs

Output	What It Shows
Surface Grid	IV at each (strike, expiry) coordinate -- the full 3D map
ATM Term Structure	How at-the-money IV changes across expirations (front-month vs. back-month)
Skew by Expiry	Put-call IV differential at each expiration -- measures fear/complacency
Surface Anomalies	Points where IV deviates significantly from the fitted surface -- potential mispricings
Surface Shape	Classification: contango, backwardation, flat, inverted, event-driven

What the Surface Tells You

Contango (front IV < back IV): Normal market, no near-term fear
Backwardation (front IV > back IV): Near-term event expected (earnings, FDA, etc.)
Steep skew: Market pricing tail risk in puts -- hedging demand is high
Flat skew: Balanced sentiment -- no strong directional fear
Anomaly detected: A specific contract is mispriced vs. neighbors -- potential opportunity

Volatility Risk Premium (VRP)

VRP = Implied Vol - Historical Vol

VRP Level	Seller	Buyer
very_high (>=15%)	Very favorable	Unfavorable
high (5-15%)	Favorable	Slightly unfavorable
normal (+/-5%)	Neutral	Neutral
low (-15% to -5%)	Unfavorable	Favorable
very_low (<-15%)	Very unfavorable	Very favorable

API Endpoints

Volatility Surface (3D)

GET /api/options/tools/vol-surface/<SYMBOL>

Returns the full 3D volatility surface with moneyness axis, expiry axis, and IV grid.

IV Snapshot (quick check, no quota cost)

For a fast ATM IV / IV Rank / HV / VRP check without pulling the full surface:

GET /api/options/snapshot/<SYMBOL>

Returns: ATM IV, IV Rank, HV 30d, VRP, VRP level.

How to Use

Input

Required: Ticker symbol
Optional: Moneyness range (e.g., 0.8-1.2), expiration range (e.g., 7-90 days)

Output Structure

{
  "ticker": "AAPL",
  "price": 218.45,
  "surface": {
    "moneyness_axis": [0.85, 0.90, 0.95, 1.00, 1.05, 1.10, 1.15],
    "expiry_axis": ["2026-04-04", "2026-04-18", "2026-05-16", "2026-06-20"],
    "iv_grid": [
      [38.2, 34.5, 31.0, 28.5, 30.2, 33.1, 36.8],
      [36.1, 33.0, 29.8, 27.2, 28.9, 31.5, 34.9],
      [34.5, 31.8, 28.5, 26.0, 27.5, 30.0, 33.2],
      [33.0, 30.5, 27.8, 25.5, 26.8, 29.0, 31.8]
    ]
  },
  "atm_term_structure": {
    "2026-04-04": 28.5,
    "2026-04-18": 27.2,
    "2026-05-16": 26.0,
    "2026-06-20": 25.5
  },
  "skew": {
    "2026-04-18": {"25d_put_iv": 33.0, "25d_call_iv": 28.9, "skew": -4.1}
  },
  "shape": "contango",
  "anomalies": [
    {
      "strike": 200,
      "expiry": "2026-04-18",
      "iv": 38.5,
      "expected_iv": 34.2,
      "deviation_sigma": 2.3,
      "signal": "overpriced"
    }
  ]
}

Example Queries

User Says	What Happens
"Vol surface AAPL"	Full 3D surface with term structure, skew, anomalies
"Is NVDA IV expensive?"	Compares current surface to 30-day historical average
"Volatility term structure SPY"	ATM IV across all expirations with shape classification
"Surface analysis TSLA"	Full surface + anomaly detection for mispriced contracts
"Front-month vs back-month IV for META"	Term structure with contango/backwardation call

Mock Data

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

Related Skills

alphagbm-vol-smile -- Zoom into a single expiration's smile/skew curve
alphagbm-iv-rank -- Is IV high or low vs. its own history?
alphagbm-options-score -- Use surface insights to find the best-scored contracts
alphagbm-options-strategy -- High IV surface suggests selling premium; low IV suggests buying

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