| 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
- Define the strategy structure: strategy type, underlying, legs (option type, strike, expiry, quantity, long/short direction), and net position size.
- Call
fmp_quote to obtain current spot price.
- Call
fmp_treasury_rates for the risk-free rate at the weighted-average leg tenor.
- Call
fmp_key_metrics for current dividend yield.
Phase 2 — Per-Leg Pricing
- 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.
- Record each leg's fair value and Greeks: delta, gamma, theta, vega, rho.
Phase 3 — Strategy Aggregation
- 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.
- Cross-check the net premium from
option_strategy against the sum of per-leg prices from Phase 2. Discrepancy > $0.01 per share must be investigated.
- Classify the strategy net position:
- Net premium paid (debit spread): maximum loss equals the debit.
- Net premium received (credit spread): maximum loss equals the spread width minus the credit.
Phase 4 — Greeks Aggregation
- Aggregate net Greeks across all legs (weighted by quantity and direction):
- Net delta: directional exposure equivalent to this many shares.
- Net gamma: convexity; indicates delta stability.
- Net theta: daily carry; positive for net short vol strategies.
- Net vega: volatility sensitivity; positive for long vol strategies.
- Net rho: interest rate sensitivity; typically minor for short-dated structures.
- Flag any strategy where net vega changes sign across the current spot (e.g., vega-flipping butterfly wings) — document the inflection point.
Phase 5 — Scenario Analysis
- Call
sensitivity_matrix with spot ranging ±10% and ±20% from current on one axis and implied vol ±5 vol points on the other axis to generate a 5 × 5 P&L grid.
- Call
scenario_analysis with base (current spot, current vol), bull (spot +15%, vol −3 pts), and bear (spot −15%, vol +5 pts) cases for the overall strategy P&L.
Phase 6 — Payoff Diagram Data
- Generate payoff at expiry across a spot range of ±30% in 2% increments:
- For each spot level, compute intrinsic value per leg and aggregate.
- Output as a two-column table (spot price, strategy P&L) for direct chart import.
Output Format
Strategy Summary
| Field | Value |
|---|
| Strategy type | — |
| Underlying | — |
| Current spot | — |
| Net premium | — (debit/credit) |
| Max profit | — |
| Max loss | — |
| Breakeven point(s) | — |
| Probability of profit (approx.) | — |
Leg Detail
| Leg | Type | Strike | Expiry | Direction | Qty | Price | Delta | Gamma | Theta | Vega |
|---|
Net Greeks
| Greek | Net Value | Interpretation |
|---|
| Net delta | — | Directional shares equivalent |
| Net gamma | — | Convexity (positive = accelerating delta) |
| Net theta | — | Daily time decay ($) |
| 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
Tool-Call Traceability
Quality Gates
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.
