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options-analytics-agent-guide

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AI agent for options pricing, Greeks, and strategy analysis

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Options Analytics Agent Guide

Overview

An AI agent for options pricing, risk analysis, and strategy evaluation. It combines Black-Scholes and binomial models, Greeks calculations, implied volatility surfaces, and portfolio risk analytics into a conversational interface. Researchers and quantitative analysts can query options data, price exotic derivatives, and evaluate trading strategies through natural language.

Core Capabilities

from options_agent import OptionsAgent

agent = OptionsAgent(llm_provider="anthropic")

# Price an option
result = agent.price(
    option_type="call",
    strike=100,
    spot=105,
    expiry_days=30,
    risk_free_rate=0.05,
    volatility=0.20,
    model="black_scholes",
)

print(f"Price: ${result.price:.2f}")
print(f"Delta: {result.delta:.4f}")
print(f"Gamma: {result.gamma:.4f}")
print(f"Theta: {result.theta:.4f}")
print(f"Vega: {result.vega:.4f}")
print(f"Rho: {result.rho:.4f}")

Greeks Analysis

# Full Greeks surface
surface = agent.greeks_surface(
    strike=100,
    spot_range=(80, 120),
    expiry_range=(7, 90),  # days
    volatility=0.25,
)

surface.plot_delta_surface("delta_surface.png")
surface.plot_gamma_surface("gamma_surface.png")
surface.plot_theta_decay("theta_decay.png")

Strategy Evaluation

# Evaluate an options strategy
strategy = agent.evaluate_strategy(
    legs=[
        {"type": "call", "strike": 100, "action": "buy", "qty": 1},
        {"type": "call", "strike": 110, "action": "sell", "qty": 1},
    ],
    spot=105,
    expiry_days=30,
    volatility=0.20,
)

print(f"Strategy: {strategy.name}")  # Bull Call Spread
print(f"Max profit: ${strategy.max_profit:.2f}")
print(f"Max loss: ${strategy.max_loss:.2f}")
print(f"Breakeven: ${strategy.breakeven:.2f}")

strategy.plot_payoff("payoff.png")
strategy.plot_pnl_scenarios("scenarios.png")

Implied Volatility

# Calculate implied volatility
iv = agent.implied_volatility(
    market_price=5.50,
    option_type="call",
    strike=100,
    spot=105,
    expiry_days=30,
    risk_free_rate=0.05,
)
print(f"Implied volatility: {iv:.2%}")

# Volatility smile/surface
vol_surface = agent.volatility_surface(
    ticker="SPY",
    date="2025-03-10",
)
vol_surface.plot("vol_surface.png")

Use Cases

  1. Options pricing: Black-Scholes and numerical methods
  2. Risk management: Greeks and portfolio risk metrics
  3. Strategy analysis: P&L profiles and breakeven analysis
  4. Volatility analysis: IV surfaces and skew analysis
  5. Education: Interactive derivatives teaching tool

References