workflow-derivatives-option-strategies

name	workflow-derivatives-option-strategies
description	WHAT: Construct and analyze multi-leg option strategies (straddle, strangle, iron condor, butterfly, collar, spread, and custom structures); aggregate P&L and Greeks across all legs; map breakeven points and payoff profile. WHEN: Invoke for hedging recommendations, structured payoff design, yield-enhancement strategies, or any analysis requiring a net position view across two or more option legs.

Multi-Leg Option Strategy Analysis

What this skill covers

A structured pipeline for building multi-leg option strategies, aggregating Greeks across legs, running scenario analysis, and producing a full payoff diagram dataset. Supports all standard strategy types recognized by option_strategy (straddle, strangle, iron condor, butterfly, bull/bear spread, collar, covered call, protective put, calendar spread, diagonal spread, risk reversal, and custom). Strategies are fully decomposed: each leg is priced individually and then consolidated into a net position view.

Workflow

Phase 1 — Strategy Specification

1. Define the strategy structure: strategy type, underlying, legs (option type, strike, expiry, quantity, long/short direction), and net position size.
2. Call fmp_quote to obtain current spot price.
3. Call fmp_treasury_rates for the risk-free rate at the weighted-average leg tenor.
4. Call fmp_key_metrics for current dividend yield.

Phase 2 — Per-Leg Pricing

5. For each leg, call option_pricer with:
   • model: "black_scholes" for European legs; "binomial" for American legs.
   • Leg-specific strike, expiry, option type, and volatility.
   • Use a consistent volatility source per leg — preferably from workflow-derivatives-vol-surface or implied_volatility solved from market prices via yf_options_chain.
6. Record each leg's fair value and Greeks: delta, gamma, theta, vega, rho.

Phase 3 — Strategy Aggregation

7. Call option_strategy with the full multi-leg specification including all strikes, expiries, quantities, and directions.
   • The tool returns: net premium paid/received, max profit, max loss, breakeven points, and aggregated Greeks.
8. Cross-check the net premium from option_strategy against the sum of per-leg prices from Phase 2. Discrepancy > $0.01 per share must be investigated.
9. Classify the strategy net position:
   • Net premium paid (debit spread): maximum loss equals the debit.
   • Net premium received (credit spread): maximum loss equals the spread width minus the credit.

Phase 4 — Greeks Aggregation

10. Aggregate net Greeks across all legs (weighted by quantity and direction):
    • Net delta: directional exposure equivalent to this many shares.
    • Net gamma: convexity; indicates delta stability.
    • Net theta: daily carry; positive for net short vol strategies.
    • Net vega: volatility sensitivity; positive for long vol strategies.
    • Net rho: interest rate sensitivity; typically minor for short-dated structures.
11. Flag any strategy where net vega changes sign across the current spot (e.g., vega-flipping butterfly wings) — document the inflection point.

Phase 5 — Scenario Analysis

12. Call sensitivity_matrix with spot ranging ±10% and ±20% from current on one axis and implied vol ±5 vol points on the other axis to generate a 5 × 5 P&L grid.
13. Call scenario_analysis with base (current spot, current vol), bull (spot +15%, vol −3 pts), and bear (spot −15%, vol +5 pts) cases for the overall strategy P&L.

Phase 6 — Payoff Diagram Data

14. Generate payoff at expiry across a spot range of ±30% in 2% increments:
    • For each spot level, compute intrinsic value per leg and aggregate.
    • Output as a two-column table (spot price, strategy P&L) for direct chart import.

Output Format

Strategy Summary

Field	Value
Strategy type	—
Underlying	—
Current spot	—
Net premium	— (debit/credit)
Max profit	—
Max loss	—
Breakeven point(s)	—
Probability of profit (approx.)	—

Leg Detail

Leg	Type	Strike	Expiry	Direction	Qty	Price	Delta	Gamma	Theta	Vega

Net Greeks

Greek	Net Value	Interpretation
Net delta	—	Directional shares equivalent
Net gamma	—	Convexity (positive = accelerating delta)
Net theta	—	Daily time decay ($)
Net vega	—	P&L per 1 vol point move
Net rho	—	P&L per 1% rate move

Scenario Analysis

Scenario	Spot	Vol	Strategy P&L
Bear	−15%	+5 pts	—
Base	flat	flat	—
Bull	+15%	−3 pts	—

Sensitivity Matrix: P&L vs Spot and Vol

(5 × 5 grid — output from sensitivity_matrix)

Payoff at Expiry

Spot	Strategy P&L

Tool-Call Traceability

#	Tool	Key Inputs	Output

Quality Gates

• Every leg priced with option_pricer using a consistent volatility source.
• option_strategy net premium cross-checked against sum of per-leg prices; discrepancy ≤ $0.01.
• Net Greeks computed for all five Greeks across all legs.
• Maximum profit and maximum loss verified to be analytically consistent with payoff diagram.
• Breakeven points verified by interpolating the payoff table (P&L crosses zero at stated breakeven).
• Scenario analysis (scenario_analysis) present with base, bull, and bear.
• Sensitivity matrix (sensitivity_matrix) produced: spot ± 20% × vol ± 5 pts.
• Volatility source consistent across all legs (do not mix ATM vol for one leg with skew vol for another without documentation).
• Every number in output maps to a row in the traceability table.

Related Skills

• workflow-derivatives-option-pricing — single-leg pricing as the building block for each leg.
• workflow-derivatives-vol-surface — consistent vol inputs by strike and expiry.
• workflow-derivatives-structured-products — structured notes embed multi-leg option strategies as components.
• corp-finance-analyst-derivatives — agent body with full strategy type list and calling conventions.