Alphagbm Vol Smile

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/?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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Source & license

This open-source skill is cataloged on AgentStack and links to its original source — we do not rehost the code.

• Author: AlphaGBM
• Source: AlphaGBM/skills
• License: MIT
• Homepage: https://www.alphagbm.com/skills

Install and usage instructions live in the source repository linked above.